879d92fbf8
Move many functions towards consistent naming
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Related to #1776
2023-10-24 22:21:15 +02:00
3a115d4fcc
Remove full oo_ input from likelihood functions
2023-10-02 09:48:34 +02:00
268a668f32
occbin.dynare_resolve.m: remove oo_ structure as full input
2023-10-02 09:29:15 +02:00
8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
01f29784d7
bug: initialize undefined variable in OccBin smoother
2023-09-25 12:08:44 +02:00
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
f0aa2fb86f
cosmetic change
2023-02-03 14:25:59 +01:00
22e6fb1814
make sure also ALL updated variables in period 1 are reconstructed with smoother_redux. test model changed accordingly.
2023-02-03 14:20:28 +01:00
21c9d59e8c
incorporate information about states in period 0 for occbin with smoother_redux
2023-02-03 14:18:32 +01:00
b90dff1986
retrieve states in period 0 from smoother and deploy this to:
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- allow having binding regimes in period 1 with occbin
- further improve recovering of smoothed variables in period 1 under smoother_redux option
2023-02-03 14:18:10 +01:00
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
178e892e04
big fix for initialization of diffuse filter with correlated observation error covariance matrix
2022-11-18 12:41:15 +01:00
f8adfa3fa5
with smoother_redux, factor out definition of nk to reconstruct filtered variables, and use a local variable nk (so options_.nk may remain empty).
2022-10-20 15:30:37 +02:00
6d03a65488
bug fix for smoother_redux and state uncertainty with OCCBIN
2022-07-26 18:07:39 +02:00
74672bb294
DsgeSmoother.m: delete redundant line
2022-06-27 11:23:19 +02:00
9304b535f4
port to occbin smoother the same computational improvements done for standard one under smother_redux option. This also require to provide occbin reduced state-space matrices as output argument of missing_DiffuseKalmanSmootherH3_Z.m
2022-06-02 09:52:47 +02:00
12c4e03d7b
bug fixes in retrieving the k-step ahead predictions and updated variables from occbin simulations
2022-06-02 09:52:47 +02:00
10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
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It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
2022-04-13 14:54:25 +02:00
06a7e6c7be
bug fixes with occbin smoother: reset nested waitbars and fix names of outut structure of solver
2022-01-06 15:01:35 +01:00
bec52fe731
with occbin smoother do not overwrite updated variables that have been already computed with reduced state space
2021-07-21 17:50:58 +02:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
e5b51f3257
DsgeSmoother.m: header cosmetics
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[skip CI]
2021-06-15 11:16:41 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
7c8f486727
Allow setting initial state for Kalman filter
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Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
7e770f69e7
Remove workaround for errors in MEX files
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Because at some point throwing exceptions from MEX files (with mexErrMsgTxt())
was not working under Windows 64-bit, we had designed a workaround to avoid
using exceptions.
Most MEX files were returning an error code as their first (or sometimes last)
argument, and that code would have to be checked from the MATLAB code.
Since this workaround is no longer needed, this commit removes it. As a
consequence, the interface of many MEX files is modified.
For some background, see https://www.dynare.org/pipermail/dev/2010-September/000895.html
2020-01-10 18:33:11 +01:00
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
cf8213f7a0
fix to the Kitigawa transformation that allows to reduce the computing time of the likelihood in large models, with a lot of static variables, by 30-50%.
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This fixes the bug in e97e5c34072f9dc09285#1312 .
2018-01-26 11:47:39 +01:00
8ccebd9e23
DsgeSmoother.m: provide informative error instead of crashing when model cannot be solved
2017-08-16 19:26:24 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
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Closes #1161
2016-04-12 11:36:43 +02:00
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Johannes Pfeifer
Marco Ratto
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Marco Ratto
Michel Juillard
Houtan Bastani
Johannes Pfeifer