352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
61ee4e123c
Reset selected_variables_only in shock_decomposition.m
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closes #1350
2016-12-18 09:57:51 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
33d0f44c40
model_diagnostics.m: provide warning that check of dynamic model is not supported for block option instead of crashing
2016-12-17 21:28:04 +01:00
1a8382adfb
OSR: add error indicator and suppress output if noprint options is specified
2016-12-17 19:30:57 +01:00
7254767ccf
Fix bug in osr_obj.m that did not correctly filter out all problems
2016-12-17 19:30:57 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
c03fa143f7
Fix printout of comment in McMCDiagnostics.m
2016-12-17 17:22:05 +01:00
d6d517c4c9
Move MCMC diagnostics files to separated folder
2016-12-17 17:22:04 +01:00
6fd715a3b8
adding simul_backward and simul_backward_linear
2016-12-05 16:17:14 +01:00
c2d72d2292
fix check of path for octave
2016-12-05 12:28:02 +01:00
f5fb81a758
Correct typos in error message and header
2016-12-01 17:49:06 +01:00
95076d5c72
Fixed initial condition of stochastic simulation of backward looking models.
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Do not initialize with the steady state. Use histval if available,
default initialization is 0 (which may be problematic).
2016-12-01 13:32:54 +01:00
ca1c6ecc0e
Increase test tolerance under Octave for lpdfgweibull.m
2016-11-24 11:50:21 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
73e0f9d591
made evaluate_steady_state file consistent with evaluation of auxiliary
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variables in <fname>_static.m file
2016-11-20 15:40:08 +01:00
e14a215556
put Z back
2016-11-20 11:46:21 +01:00
897af97bff
diffuse filter: fixed bug when nonstationary variables aren't observed
2016-11-20 11:08:07 +01:00
1a978e42df
Fix bug in missing_DiffuseKalmanSmootherH3_Z.m
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Closes #1339 by properly factorizing computations
2016-11-19 10:07:16 +01:00
2f9dc09285
diffuse filter: removed special treatment of static variables
2016-11-18 14:36:24 +01:00
383d891e81
updating extended path notes
2016-11-14 16:42:49 +01:00
46b44cd481
missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
2016-11-14 11:54:39 +01:00
89e0a84327
fix typo from 98cf1bfc1d
2016-11-14 11:08:02 +01:00
80157985c0
Merge pull request #1333 from JohannesPfeifer/octave_unit_test
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Two fixes related to Octave unit test
2016-11-13 19:14:50 +01:00
6e93b1ecbf
Merge pull request #1330 from JohannesPfeifer/resol_fix
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resol.m: make sure oo.dr is correctly updated even if function is abo…
2016-11-13 19:14:23 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
fccd164926
Provide lower tolerance to Octave's quadv function as integration otherwise stops prematurely
2016-11-10 17:33:18 +01:00
454ac69191
allow spaces in the name of working directories for parallel execution.
2016-11-07 17:19:38 +01:00
0a40cdf064
Bud fix for cases where record does not contain proposal covariance.
2016-11-07 17:18:41 +01:00
7b03b8aef4
resol.m: make sure oo.dr is correctly updated even if function is aborted prematurely
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ramsey_policy relies on oo_.dr.ys being set in any case
2016-11-07 11:36:06 +01:00
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
7733903661
Merge pull request #1329 from JohannesPfeifer/singularity_warning
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Add more information to singularity warning
2016-11-04 15:12:07 +01:00
fa8028f79a
Merge pull request #1325 from JohannesPfeifer/dyn_forecast
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Fix bug in dyn_forecast.m that led to crashes when periods-option was…
2016-11-04 15:11:44 +01:00
2e79d5ccac
Add more information to singularity warning
2016-11-04 12:28:01 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
Johannes Pfeifer
Michel Juillard
Houtan Bastani
Stéphane Adjemian (Charybdis)
Michel Juillard
Marco Ratto