Marco Ratto
037eca4b9c
Fixed bug with ML estimation with analytic derivatives
2012-12-19 13:16:15 +01:00
Stéphane Adjemian (Charybdis)
e0018f8bca
Added overload subsasgn method in dynSeries class.
...
Following syntax:
ts{'GDP_US'} = ts.{'GDP_US'}.log
applies the log function to the variable GDP_US in the dynSeries object ts. Note that this works on an arbitrary number of variables and that regular expressions can be used (see previous commits).
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
732d321606
Added the possibility to get the name of the i-th variable in a dynSeries object.
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The following syntax
A.name{i}
where A is a dynSeries object, returns the name of the i-th variable in A.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
1f48a2bffe
Added overloaded mrdivide method in dynSeries class.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
b48e0a8d75
Added set_names method in dynSeries class.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
65bc1f2980
Fixed texinfo header.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
96dea568b1
Added overload mtimes method in dynSeries class.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
7878b806d6
Cosmetic changes.
2012-12-12 16:16:11 +01:00
Stéphane Adjemian (Charybdis)
2b6915cf8f
Added missing init and tex member in overload plus method (dynSerie class).
2012-12-12 16:16:10 +01:00
Stéphane Adjemian (Charybdis)
ad68019a06
Added overload minus method in dynSeries class.
2012-12-12 16:16:10 +01:00
Stéphane Adjemian (Charybdis)
f1a4ac5fff
Added overloaded uminus method in the dynSeries class.
2012-12-12 16:16:10 +01:00
Stéphane Adjemian (Charybdis)
1de31adf34
Added overload plus method for dynSeries class.
2012-12-12 16:16:10 +01:00
Stéphane Adjemian (Charybdis)
e27dd38c7f
Added overloaded isempty function for dynSeries class.
2012-12-12 16:16:10 +01:00
Sébastien Villemot
9ec22085b0
Fix wrong count of forward looking vars in check with block option
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Bug introduced in c121aa14b1
2012-12-11 18:10:01 +01:00
Michel Juillard
bcb59e373d
fixed bug in conditional forecasts whith constraints on only one period
2012-12-10 21:14:00 +01:00
Stéphane Adjemian (Charybdis)
2098beb089
Added save method (m, mat, csv formats) in dynSeries class.
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
73c96097bd
Append 'Y' to yearly dates.
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
c858b366f9
Added dot access to format method (dynDate).
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
96321a8afd
Added the possibility to select variables in a dynSeries object. It is possible to use regular expressions. Examples are given in unitary test #6 of subsref overloaded method.
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
e9458a8954
Removed useless functions (dynSeries).
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
78e9194fb4
Fixed horzcat overloaded method (dynSeries).
2012-12-07 16:43:06 +01:00
Stéphane Adjemian (Charybdis)
325b06de24
Updated texinfo headers.
2012-12-07 16:43:06 +01:00
Houtan Bastani
454638d778
removed useless calls to set_default_options (already set in global_initialization.m)
2012-12-06 15:42:18 +01:00
Houtan Bastani
38bc29ff05
clean up resol
2012-12-06 14:58:58 +01:00
Marco Ratto
0ab2c28fd5
-) fixed bugs when there is only one parameter estimated or when simulated moments uncertainty provides zero diagonal terms in the covariance matrix of model matrices;
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-) fixed bug in computing numerical derivatives of the LRE matrices in getJJ;
2012-12-05 09:46:12 +01:00
Houtan Bastani
967eb63bbb
fix typo
2012-12-04 11:31:41 +01:00
Stéphane Adjemian (Charybdis)
e1527b215e
Added the possibility to populate an empty dynSeries object with a data file (csv, mat or m files).
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For instance, the following syntax is allowed:
dbload = dynSeries();
mydata = dbload('data_file.csv');
2012-12-03 16:15:37 +01:00
Stéphane Adjemian (Charybdis)
9783060575
Removed useless path instructions.
2012-12-03 16:15:37 +01:00
Stéphane Adjemian (Charybdis)
f89b5cfe38
Allow instantiation of dynSeries classw with a datafile (csv, mat or m). Fixed various bugs.
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For instance, the follwing syntax is allowed:
data = dynSeries('mydata.csv');
assuming that the csv file is in the matlab's path.
2012-12-03 16:15:36 +01:00
Stéphane Adjemian (Charybdis)
16cba161ac
Fixed bug (removed first row of data).
2012-12-03 16:15:36 +01:00
Stéphane Adjemian (Charybdis)
7f10bccf4a
Moved isweekly, ismonthly, isquaterly and isyearly routines from matlab/@dynSeries/private to matlab/utilities/dates. Adapted dynare_config conformably to these changes.
2012-12-03 16:15:36 +01:00
Stéphane Adjemian (Charybdis)
d4595a85a0
Moved get_cells_id routine from matlab/@dynSeries/private to matlab.
2012-12-03 16:15:36 +01:00
Stéphane Adjemian (Charybdis)
c100a04505
Moved check_file_extension routine from matlab/@dynSeries/private to matlab.
2012-12-03 16:15:36 +01:00
Stéphane Adjemian (Charybdis)
ce6f57a5cb
Fixed bug. Removed file extension.
2012-12-03 16:15:36 +01:00
Michel Juillard
118a823310
fixed bug in stochastic extended path for orders > 1
2012-12-02 14:28:38 +01:00
Sébastien Villemot
c06bd0ae75
Support nograph option for posterior distribution plots
2012-11-29 14:52:33 +01:00
Sébastien Villemot
0421387732
Require Octave 3.6, since we use parfor
2012-11-29 14:52:33 +01:00
Stéphane Adjemian (Charybdis)
8eb6284b3c
Fixed bug (the name of the covariance matrix changed in previous commit).
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
2ff996d077
Do not build the tree for future shocks if options_.ep.stochastic.order = 0.
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
e84b8de476
Fixed typos.
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
f42446033c
Compute tensorial grid (based on a univariate gauss hermite quadrature) for future shocks by default.
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
c9469a3626
Buikd the tree of future shocks in setup_stochastic_perfect_foresight_model_solver routine.
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
74c856b727
Cosmetic change. Redifinition of the nodes (removed the division by the square root of two) so that the routine is specialized for the integration of functions with gaussian weights.
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
5c0d387c4f
Cosmetic change. Changed the organization of options for (stochastic) extended path
2012-11-29 12:56:01 +01:00
Stéphane Adjemian (Charybdis)
63157949ca
Removed useless routine.
2012-11-29 12:56:00 +01:00
Stéphane Adjemian (Charybdis)
e9c552c436
Initialize pfm structure in a new routine (setup_stochastic_perfect_foresight_model_solver).
2012-11-29 12:56:00 +01:00
Stéphane Adjemian (Charybdis)
13ea421137
Added routine computing Gaussian cubature weights and nodes (implementation of algorithms described in Stroud 1971).
2012-11-29 12:56:00 +01:00
Stéphane Adjemian (Charybdis)
7e47128212
Added new routines to load data from m, mat or csv files. Used by dynSeries class.
2012-11-29 12:56:00 +01:00
Stéphane Adjemian (Charybdis)
f01b97da18
Check that freq property is also empty.
2012-11-29 12:56:00 +01:00
Michel Juillard
7c9ce9152d
fixing bug in error message for failed homotopy (steady)
2012-11-28 21:32:15 +01:00
Marco Ratto
892df90629
1) Make the occurrence of sequences of univariate steps more likely;
...
2) also impose a sequence of univariate steps in the first iteration;
2012-11-26 08:25:12 +01:00
Marco Ratto
c9a2dbcb72
Bug fix for when a parameter is orthogonal to any other one in the model.
2012-11-26 08:22:42 +01:00
Stéphane Adjemian (Charybdis)
22956ea4a4
Removed useless instruction (default value of exit_flag is 1).
2012-11-21 10:11:30 +01:00
Stéphane Adjemian (Charybdis)
bb0993973a
Fixed output argument ordering in non_linear_dsge_likelihood.
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Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-21 10:07:30 +01:00
Frédéric Karamé
2ee1ebbe47
fix a bug in the output order
2012-11-21 09:00:43 +01:00
Stéphane Adjemian (Charybdis)
db2615a4c7
Use economy-size decomposition option of qr2 routine.
2012-11-20 14:39:45 +01:00
Stéphane Adjemian (Charybdis)
af23d72cb1
Allow economy-size decomposition with qr2 routine.
2012-11-19 17:43:59 +01:00
Stéphane Adjemian (Charybdis)
9f1ad5568e
New nonlinear filters routines and bug fixes.
...
Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-19 16:23:07 +01:00
Stéphane Adjemian (Charybdis)
93e6b41df5
Added routines that will be used to import data (csv file) in a dynSeries object.
2012-11-19 16:17:00 +01:00
Stéphane Adjemian (Charybdis)
c3ff5d92d3
Cosmetic change.
2012-11-19 16:17:00 +01:00
Michel Juillard
5c893f501b
making extended path ready for parallel computing with parfor
2012-11-17 20:55:01 +01:00
Sébastien Villemot
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
...
Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
Sébastien Villemot
92727ed75c
Remove obsolete stoch_simul_sparse.m
2012-11-16 18:55:42 +01:00
Sébastien Villemot
ddbeb8ceaa
Remove unused oo_.dr.kae, oo_.dr.kad
2012-11-16 17:51:25 +01:00
Sébastien Villemot
31a13db66a
Remove duplicate information in M_.blocksMFS
2012-11-16 17:39:03 +01:00
Frédéric Karamé
6139af89d5
add pruning in the auxiliary particle filter.
2012-11-16 17:27:54 +01:00
Sébastien Villemot
bf19ab801f
Remove duplicate information in M_.blocksEQU
2012-11-16 17:16:40 +01:00
Frédéric Karamé
35c77c2e46
typo fixed.
2012-11-16 13:25:41 +01:00
Frédéric Karamé
915a203add
bug fixed.
2012-11-16 13:12:21 +01:00
Frédéric Karamé
919bd97682
add minor modifications.
2012-11-16 12:35:11 +01:00
Frédéric Karamé
202d8a2bd2
minor modifications
2012-11-16 12:35:11 +01:00
Frédéric Karamé
c8c7b9faf6
minor modifications.
2012-11-16 12:35:11 +01:00
Frédéric Karamé
eb9bc512d7
fixed bug in calculation of observed mean and variance + add the possibility for smooth resampling
2012-11-16 12:35:11 +01:00
Frédéric Karamé
3a9eed00df
fixed bugs for estimating a gaussian-mixture distribution.
2012-11-16 12:25:46 +01:00
Frédéric Karamé
186de044f4
fix bugs for sampling in a gaussian-mixture distributions.
2012-11-16 12:25:46 +01:00
Frédéric Karamé
f7e3ad7b25
fix bugs in k-means code.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
f41e969dbe
computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
a184e80a89
computes the nodes and weights for approximating a gaussian distribution.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
d5666529af
computes the density of particles in a gaussian-mixture distribution.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
2fb1065b4f
computes the density of particles in a gaussian distribution.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
56e723c08e
Computes the density of observables as a function of states.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
eb72df7bc6
computes the proposal distribution during the importance sampling step for gaussian-mixture filters. Fix many bugs.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
ab2ae38e8f
computes incremental weights for gaussian-mixture filters.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
7dcdd20f6e
gaussian mixture nonlinear filters: uses gaussian-mixture approximations for particles. Fix bugs and normalize the way likelihood is calculated.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
b0788fae50
computes the proposal distribution during the importance sampling step in gaussian nonlinear filters. Uses a nonlinear Kalman filter and several gaussian approximations.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
553c26e0b3
gaussian nonlinear filter : uses a gaussian approximation for particles.
...
fix bugs and normalize the way we write the likelihood.
2012-11-16 12:25:45 +01:00
Frédéric Karamé
4725a2054d
compute incremental weights for gaussian filters.
2012-11-16 12:25:44 +01:00
Frédéric Karamé
a96850a090
fix bugs on sorting variables.
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test different cases before doing resampling
2012-11-16 12:25:44 +01:00
Frédéric Karamé
f0fcfa3b62
fix bugs in the univariate smooth resampling approach.
2012-11-16 12:25:44 +01:00
Frédéric Karamé
c6e5368a9d
fix bug for weights initialization.
...
fix bug for calculating observed predicted mean and variance with the correct weights.
2012-11-16 12:25:44 +01:00
Frédéric Karamé
edf9955c09
fix bug when comparing xparam with upper and lower bounds.
2012-11-16 12:23:18 +01:00
Frédéric Karamé
b6c72f18fa
-add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
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-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
2012-11-16 12:18:55 +01:00
Frédéric Karamé
6350962186
Fixed copyright.
2012-11-16 12:18:55 +01:00
Frédéric Karamé
7fd1df2505
Fixed bug when comparing xparam1 with upper and lower bounds.
2012-11-16 12:18:54 +01:00
Stéphane Adjemian (Charybdis)
79b5db3037
Cosmetic change.
2012-11-15 13:54:21 +01:00
Stéphane Adjemian (Charybdis)
89356ba248
Added a unitary test in the overloaded colon method of the dynDate class, using the new feature introduced in the previous commits.
2012-11-15 13:53:35 +01:00
Stéphane Adjemian (Charybdis)
67e8db365c
Changed subsref overloaded method (dynDate): added a new interface to populate empty dynDate objects with specified frequency. Added unitary test.
...
For instance if we instantiate an empty dynDate object for quaterly dates:
qq = dynDate('Q');
Then we can populate this object as follows (2009 second quarter):
d1 = qq(2009,2);
2012-11-15 12:40:24 +01:00
Stéphane Adjemian (Charybdis)
0b7e5910ae
Changed a condition in dynDate constructor (for yearly dates).
2012-11-15 12:34:11 +01:00
Stéphane Adjemian (Charybdis)
e71ccaef0b
Added the possibility to instantiate empty quaterly, monthly or weekly dynDate objects. Added unitary test.
2012-11-15 11:07:43 +01:00
Stéphane Adjemian (Charybdis)
2313ec2d94
Fixed function name, header and error message.
2012-11-14 12:32:03 +01:00