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Author SHA1 Message Date
Stéphane Adjemian (Ryûk) 8fa8ee8235
Bug fix (wrong dimension for exogenous variables). 
Also removed the distinction between exogenous and endogenous variables when
replacing variables by columns in the data matrix.
 2021-12-17 20:54:28 +01:00
Stéphane Adjemian (Ryûk) 4512000f0f
Display estimation results PAC/NLS. 2021-12-17 20:53:39 +01:00
Stéphane Adjemian (Ryûk) 8c8a2cf0fa
Add trap if SSR is not a real number. 2021-12-17 14:54:58 +01:00
Stéphane Adjemian (Ryûk) 1cf99b5227
Do not update the database if there is no aux. variables. 2021-12-17 14:21:10 +01:00
Stéphane Adjemian (Ryûk) b297353b06
PAC decomposition between stationary and non-stationary components. 
The taget in PAC equation can be decomposed into an arbitrary number of components (variables
in the VAR auxiliary model).

TODO Iterative OLS estimation (which is not the preferred estimation routine).
TODO Decomposition in the routine evaluating the forecasts for each component.
 2021-12-17 12:17:13 +01:00
Sébastien Villemot f8fc786459
Merge branch 'het_shocks' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1980
 2021-12-15 10:27:06 +01:00
Sébastien Villemot 600e468448
Merge branch 'cosmetics_header' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1979
 2021-12-15 10:26:52 +01:00
Stéphane Adjemian (Ryûk) 4dd3ee8546
Add CLI for some routines. 
- steady,
 - check,
 - evaluate_likelihood,
 - evaluate_posterior_kernel, and
 - evaluate_prior.

*Example*

After running a mod file, on the Matlab's command line:

>> cli.check

EIGENVALUES:
         Modulus             Real        Imaginary

               0                0                0
       1.389e-16        1.389e-16                0
          0.6452           0.6452                0
          0.9707           0.9707                0
           1.038            1.038                0
       1.271e+16        1.271e+16                0
        2.33e+17         2.33e+17                0

There are 3 eigenvalue(s) larger than 1 in modulus
for 3 forward-looking variable(s)

The rank condition is verified.
 2021-12-14 14:45:57 +01:00
Johannes Pfeifer 3dc398f590 dynare_estimation_1.m: improve comment on Hessian recomputation 2021-12-14 11:22:41 +01:00
Johannes Pfeifer 7303275bef dsge_likelihood.m: update header 2021-12-14 11:22:41 +01:00
Johannes Pfeifer fdb14b3af8 IVF: turn off near-singularity warning in estimation 2021-12-14 11:21:16 +01:00
Johannes Pfeifer 8a76c689ea IVF: properly deal with error code 2021-12-14 11:21:16 +01:00
Johannes Pfeifer 1bfb9ffbb9 heteroskedastic shocks: take into account first_obs 2021-12-14 11:21:16 +01:00
Sébastien Villemot 301fe42ed8
Merge branch 'varendo' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1978
 2021-12-14 11:09:47 +01:00
Sébastien Villemot 6a41cbdb13
Merge branch 'minimal_state' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1963
 2021-12-14 11:09:28 +01:00
Sébastien Villemot 7770c99f1b
dseries: prevent horse-race condition when saving and loading mat file 2021-12-14 11:00:16 +01:00
Johannes Pfeifer c60a1624d1 identification: separate error code and option 
Solves issues with Monte Carlo sampling where error code affected option for later draws
 2021-12-13 15:14:23 +01:00
Johannes Pfeifer de90c5d246 Provide warning if moments_varendo is not set but conditional_variance_decomposition 2021-12-13 13:08:59 +01:00
Sébastien Villemot 4fac512bfd
Merge branch 'dsge_var' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1973
 2021-12-13 12:40:27 +01:00
Stéphane Adjemian (Ryûk) f687b531fd
Bug fix (wrong indexing in present value evaluation). 2021-12-11 18:44:01 +01:00
Johannes Pfeifer fc05ddd5fe dsge_var_likelihood.m: remove unused output arguments 2021-12-10 12:01:40 +01:00
Johannes Pfeifer 5f732803d8 dsge_var: pass data moments as function inputs instead of via base workspace 
going via base prevents parallel execution
 2021-12-10 12:01:07 +01:00
Sébastien Villemot f7f7c77411
Merge branch 'ramsey_debug' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1977
 2021-12-10 11:12:33 +01:00
Sébastien Villemot ee5eec3224
Merge branch 'disp_th_moments' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1975
 2021-12-10 11:01:59 +01:00
Sébastien Villemot 6dd787569a
Merge branch 'SMM' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1974
 2021-12-10 11:01:37 +01:00
Johannes Pfeifer 741772d514 evaluate_steady_state.m: correctly condition debugging info on existence of objects from steady state file 2021-12-10 09:05:55 +01:00
Johannes Pfeifer f5def11a23 disp_th_moments.m: honor noprint 2021-12-09 09:01:10 +01:00
Johannes Pfeifer 137ba73c4c SMM: add forgotten error code 
[skip CI]
 2021-12-08 19:07:18 +01:00
Johannes Pfeifer d5a2015ded mom: gracefully exit if unobserved moments are matched. 2021-12-08 09:38:41 +01:00
Johannes Pfeifer d039bcbfec evaluate_planner_objective.m: initialize newly introduced options and fix naming 2021-12-07 13:56:01 +01:00
Johannes Pfeifer c07508a917
occbin_write_regimes: distinguish between smoother and simulations 
Closes: #1828
 2021-12-07 12:41:34 +01:00
Sébastien Villemot 36705d505b
Merge branch 'make_ex' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1968
 2021-12-07 12:20:29 +01:00
Normann Rion cf829fb28e
A few fixes for k-order welfare assesment in `evaluate_planner_objective` 
As suggested in !1962
 2021-12-07 12:19:30 +01:00
Johannes Pfeifer ce9bb2f09d make_ex_.m: gracefully exit if user attempts to set non-existent period 0 2021-12-06 15:04:30 +01:00
Johannes Pfeifer 7bc15927a9 realtime_shock_decomposition.m: gracefully exit if nobs-option is not set 2021-12-03 09:19:59 +01:00
Johannes Pfeifer 82689795e4 dyn_first_order_solver.m: add debugging information 2021-12-01 14:36:21 +01:00
Sébastien Villemot 06fd42c19b
Drop the dynare_simul_ MEX in favour of the new Fortran k_order_simul MEX 2021-11-26 17:37:53 +01:00
Sébastien Villemot 74d070c216
Merge branch 'model_diagnostics' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1964
 2021-11-26 17:37:06 +01:00
Sébastien Villemot a3956996f7
Merge branch 'local_state_space_it' of git.dynare.org:normann/dynare 
Ref. !1962
 2021-11-26 17:35:30 +01:00
Johannes Pfeifer 58343c3988 model_diagnostics.m: check for consistent number of equations for Ramsey case before checking for steady state 2021-11-25 16:04:14 +01:00
Johannes Pfeifer 459d6ded6e get_minimal_state_representation.m: set undefined output argument 2021-11-24 18:59:48 +01:00
NormannR 6b566d37c7 Add k-order conditional and unconditional welfare evaluation in evaluate_planner_objective 2021-11-24 17:30:02 +01:00
Stéphane Adjemian (Ryûk) f4a7a5430c
Re-implement PAC equations. 
This commit only introduce new elements in the Dynare language (adding the
 possibility to decompose the target into stationary and non stationary
 components) and insure that all the former codes (ie without decomposition of
 the target) are still working as expected.
 2021-11-24 16:40:35 +01:00
Sébastien Villemot 91aa1f940f
Forbid the “block” option with “ramsey_model”/“ramsey_policy” 
The current implementation needs the Jacobian of the full model, which is not
provided by the block-decomposed routines.

Closes: #1823
 2021-11-23 17:40:02 +01:00
Sébastien Villemot 4b76d76175
evaluate_static_model.m: fix the block without bytecode case 
The routine would not put elements at the right place in the residuals
vector (it would use variable indices instead of equation indices).

Also change the routine so that it computes a residual on evaluated
equations (instead of systematically returning zero for those).

Finally, simplify resid.m by calling this routine instead of embedding a
similar code.

Ref. #1823
 2021-11-23 17:40:02 +01:00
Johannes Pfeifer 0aadc88602 dynare_solve.m: allow turning off display of messages 2021-11-23 12:41:35 +01:00
Johannes Pfeifer 4aaea53cd6 osr1.m: fix display of compatible optimizers 2021-11-23 12:41:04 +01:00
Stéphane Adjemian (Ryûk) c38d58b56f
Remove debugging display (growth neutrality correction). 
(cherry picked from commit 238b66dfe0fd0bcb56becaf1ed96be800d90ba40)
 2021-11-17 15:10:09 +01:00
Stéphane Adjemian (Ryûk) 0c9eb182c4
Cosmetic change. 
This patch provide a mathematically equivalent approach to update the growth
neutrality correction.

(cherry picked from commit 980a890487cd983eba027bdec63c8a777fd793f7)
 2021-11-17 15:08:29 +01:00
Stéphane Adjemian (Ryûk) d3ecfd5de7
Fix bug (growth neutrality correction). 
Non zero mean exogenous variables in non optimizing part where not accounted for
due to a wrong call to `isfield` function. It is not possible to test
simultaneously the existence of a field and a subfield.

(cherry picked from commit 5a7c0fd2dda6c0ccc554994524bbefb95c29e722)
 2021-11-17 15:08:12 +01:00