stepan
ec4cc46845
Bug fix. This version can be used in the estimated_params block.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2538 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-28 22:43:38 +00:00
stepan
448be1e6f2
Added new function. This function computes the mean of a prior
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distribution (gamma, inverse gamma 1 and 2, beta) given the mode and
the variance.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2535 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-27 17:28:32 +00:00
sebastien
f892795a54
trunk: fixed copyright headers in new files
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2532 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-27 14:39:26 +00:00
michel
f7e2d17635
new function
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2528 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 16:33:24 +00:00
george
bab59b7972
The block using bespoke eigs() is commented out because eigs() intermitently returns different rts
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2527 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 14:51:47 +00:00
michel
d542e8610c
v4.1: added functions for shock_decomposition consistent with smoother
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Dynare interface is missing
need to add mechanism for aggregating shocks
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2525 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 09:52:00 +00:00
michel
9e2f1bdc70
v4.1: started a diagnostics routine that performs tests that are too expansive
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to run systematically
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2524 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 09:34:40 +00:00
michel
558dd91156
v4.1: removed error when a variable isn't present at the current period in the model
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modified header
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2523 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 09:32:58 +00:00
michel
ff473fedfd
v4.1: adding penalty when Jacobian is complex
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2522 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-26 09:03:08 +00:00
sebastien
b953c5cf31
trunk: removed useless global variable in sim1.m and simk.m (doesn't seem to affect performance)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2518 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-24 16:53:29 +00:00
sebastien
5ee346e4fd
trunk: {load,save}_params_and_steady_state now use a text file for communicating (instead of a MAT-file)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2517 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-24 16:29:58 +00:00
michel
7d854cec94
4.1: fixed problem in AIM implementation when some lagged variables are present in the model but with zero coefficient.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2516 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-24 13:28:45 +00:00
michel
e9d3793891
4.1: replacing 'message' by msg and initializing it
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2510 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-23 09:30:59 +00:00
ratto
c198c52fbc
fix when k-step ahead predictions are stored, with k>1, and one-step-ahead predictions have to be filled in stock1.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2509 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-23 09:29:11 +00:00
michel
67b89e7078
4.1: bug correction in Kalman smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2506 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-23 06:33:23 +00:00
stepan
4db8d566e3
Bug fix.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2505 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-22 10:27:38 +00:00
stepan
be73652a97
If a dsge-var is estimated, the posterior IRFs are computed for all
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observed endogenous variables. Merge Needed.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2503 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-21 22:36:18 +00:00
michel
6732f6e235
4.1: fixing bug: ri is a now a column vector, not a matrix anymore. [Needs to be merged in 4.0]
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2501 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-21 18:07:45 +00:00
stepan
b1da38a542
Bug correction (reported by bigbigben).
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2474 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-16 20:45:47 +00:00
michel
48d00e3a93
v4.1: Ondra's changes to make smoothing faster in large models. Still needs to be ported to other smoother routines
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2466 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-14 11:06:34 +00:00
stepan
43d3aebbc4
v4.1: Added a test for the existence of isopenmp mex file (this file
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does not exist if the user did not run buil_matlab.m in ./mex/sources).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2457 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-13 13:28:24 +00:00
sebastien
0787228a9d
trunk dynare.m: completed help message
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2456 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-12 11:20:49 +00:00
stepan
47a4550144
v4.1: "dynare help" issues dynare command synopsis and a description of the options.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2454 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-12 10:27:06 +00:00
stepan
c8a86252c7
v4.1: Added the possibility of multithreading for some mex files
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(OpenMp is used).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2453 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-11 14:57:34 +00:00
stepan
54f7a0376a
v4.1:: Cosmetic changes.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2451 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-06 16:09:35 +00:00
stepan
fd251e6bf7
v4.1:: Added a new function. Computes the autoregressive parameters of
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an AR(p) stochastic process from an autocorrelation function. This
function is used to define a prior over the autocorrelation function
and variance of an autoregressive exogenous variable (productivity,...)
instead of defining a prior over the variance of the innovation and
the autoregressive parameters. This can be done in the steady state file.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2450 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-06 16:08:15 +00:00
sebastien
161ff7483d
trunk pm3.m: removed useless empty plot (thanks to Jamie Hall for reporting this)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2448 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-05 10:52:14 +00:00
george
7ac5750ac4
added options_.use_k_order=1
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2447 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-03 12:00:46 +00:00
george
68535ae212
passes mexext to k_order and reads and unpacks data passed back
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2446 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-03 11:14:36 +00:00
sebastien
7107df448c
trunk pm3.m: fixed typo (thanks to Jamie Hall for reporting this)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2439 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-26 11:13:04 +00:00
sebastien
4d48c68913
trunk: added GPL header to describe_missing_data.m
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2435 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-20 16:58:47 +00:00
sebastien
e287be53ca
trunk: changed to GPL headers in Marco Ratto's files
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2433 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-20 16:53:09 +00:00
stepan
52458e94ff
v4.1:: Removed the test for complex matrices E and D. Added a test for
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complex numbers in the jacobian matrix.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2432 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-19 17:49:28 +00:00
stepan
0bb00c71eb
v4.1::
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+ Added new file for prior sampling (prior_sample.m).
+ Undo previous change on prior_draw.m (transposition of pdraw).
+ Bug correction in prior_draw.m.
+ Added field in options_: the default number of mc simulations in the
prior distribution.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2431 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-19 16:27:04 +00:00
stepan
5f02e69a67
v4.1:: Added a test for complex numbers in matrices E and D before the
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call to mjdgges.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2430 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-19 15:37:55 +00:00
stepan
476e2d847f
v4.1:: Transposition of the output argument. pdraw is a column vector.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2429 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-18 11:19:29 +00:00
stepan
474fc0bd61
v4.1:: Removed useless global declaration.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2428 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 22:01:20 +00:00
stepan
7ceecc51b6
v4.1:: Changed header.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2427 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 20:17:52 +00:00
stepan
95b5c69c35
v4.1::
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+ Removed input arguments 2 and 3.
+ Removed the prior bounds.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2426 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 20:07:37 +00:00
stepan
060f47c79c
v4.1:: Added default domain for the gamma and inverted gamma
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distributed random variables (instead of NaNs).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2425 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 17:23:07 +00:00
stepan
74c8e53140
v4.1:: Vectorization of the prior sampling algorithm.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2424 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 17:21:05 +00:00
stepan
d082bc09b1
v4.1:: Added bounds to the uniform distribution (consistently with
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the other prior distributions).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2423 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 17:19:47 +00:00
stepan
01ba142329
v4.1:: Changes related to the gamma variate generator.
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+ Changed headers.
+ Allows vector of coefficients when calling the Beta random generator.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2422 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 16:00:40 +00:00
stepan
a05b5e9481
v4.1:: Changes related to the gamma variate generator.
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+ Added algorithms from Devroye (1986, chapter 9).
+ Now we can generate independent gamma variates (and, as a consequence, beta)
with parameter a <= 0.5. This was not possible with the algorithm of
the previous version.
+ Algorithms are specialized depending on fix(a)=a, a<1 or a>1.
+ This new version can handle vectors for a and b (same length).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2421 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-17 15:22:58 +00:00
michel
dc0f0934ce
corrected bug in moments_varendo
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2420 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-16 22:19:23 +00:00
stepan
81af16d314
v4.1:: Added a function to test if a variable is integer.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2419 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-16 11:12:24 +00:00
stepan
e1b8fb9bc4
v4.1:: Reparametrization of the exponential distribution.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2418 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-16 10:31:50 +00:00
stepan
bce9aba538
v4.1:: Added a random number generator for the exponential distribution.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2417 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-16 09:55:30 +00:00
stepan
e75b7f97ab
v4.1:: Added an error message when minus the hessian matrix at the posterior
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"mode" is not positive definite.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2416 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-12 17:40:26 +00:00
stepan
ba080ab910
v4.1:: Changes related to lyapunov_symm.
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+ Fixed a bug introduced in the previous commit.
+ Added a threshold parameter for the complex blocks in the upper
triangular matrix T in lyapunov_symm.m (new field in options_)
+ Cosmetic changes.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2414 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-12 14:16:10 +00:00