582bcb7a8e
Add missing Ramsey error code to dsge_likelihood.m
2016-08-24 13:32:11 +02:00
75e52ed71d
Make sure fast_kalman_filter is only used with diffuse_periods=0
...
Closes #1234
2016-08-22 19:24:35 +02:00
178bf4165c
Make sure Zflag for augmented state space is correctly set when measurement error is correlated
2016-08-22 19:24:35 +02:00
7c96e22985
Fix bug in dsge_likelihood.m where diagonal of measurement error covariance matrix was not correctly read out
...
This is a prerequisite for the univariate filter that operates along a vector for H instead of along the diagonal. Because of this, the likelihood in the presence of measurement error was wrong
2016-08-22 19:24:35 +02:00
bffea9b426
Fix error code for inf-likelihood
2016-08-22 19:24:35 +02:00
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
39e7c39243
Filter out infinite likelihoods
2016-08-22 19:24:35 +02:00
72b8c650e5
Add missing logical operator from likelihood functions introduces when removing global penalty
2016-07-18 11:11:43 +02:00
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
329b91d717
Harmonize output of objective functions
...
Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
d8fea3ff13
Correlations and measurement errors in identification:
...
1) Filter out measurement errors with error message that suggests to explicitly write measurement errors in model definition
2) allow identification checks with correlations, by switching to numerical derivatives
2016-05-22 23:10:01 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
fd850ca5bd
Merge branch 'master' into lik_init_5_fixes
...
Conflicts:
doc/dynare.texi
tests/Makefile.am
2016-03-24 17:40:27 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
f28a7a62bb
Only test non-zero measurement error covariance entries for positive definiteness
...
Otherwise, not having measurement error on one variable is not allowed during estimation
2015-12-15 22:37:08 +01:00
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
5bccacaaa5
Fixed lik_init=5.
...
Missing initialization for the vector of state variables (a) and Zflag.
2015-11-04 22:33:15 +01:00
fe0f19dc37
Fixed bug. Wrong size of the state vector...
...
When dsge_likelihood enters (because of of a detected singularity) in
univariate_kalman_filter routine with correlated measurement errors.
2015-10-22 16:10:34 +02:00
a7ed27b889
Document lik_init=5 and add unit test for lik_init
2015-10-18 18:55:33 +02:00
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
...
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
d513d38f73
Filter out failure of k_order_pert in likelihood computation
2015-10-11 17:55:27 +02:00
f7f158f078
Revert "removed global objective_function_penalty_base"
...
This reverts commit 5ade8d7c6f
2015-10-09 14:23:32 +02:00
784b8d893c
Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
...
This reverts commit a6f123fd50
2015-10-09 14:23:32 +02:00
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
...
This reverts commit 1ad8df4635
2015-10-09 14:23:31 +02:00
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
a6f123fd50
reducing penalty value to 0.1 when there is no ground to make it proportional
2015-10-08 20:57:00 +02:00
5ade8d7c6f
removed global objective_function_penalty_base
...
added penalty_objective_function.m and penalty_hessian.m
2015-10-08 20:57:00 +02:00
d125c2effc
Fixed bug (wrong syntax for switch, case 5).
2015-08-27 11:37:07 +02:00
0fd76e0c6f
Assigning unique function for each input argument of lyapunov_symm.m
...
The old way of redefining input arguments to satisfy different options was too error-prone. See 69daaa0460b0ddee97292c39d40355201e316622 of tholden
2015-07-22 15:11:39 +02:00
86322bcb3a
Fix typo in dsge_likelihood.m
...
blkdiag command is not written with ck
2015-07-20 13:10:31 +02:00
d6bc85fdc6
Improve error message for incompatible filter/Kalman option
2015-07-20 13:06:22 +02:00
e2b59630c1
diffuse_kalman_tol not properly triggered
2015-05-07 10:18:55 +02:00
ca8f0ea006
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
2015-04-08 15:49:12 +02:00
214dc74723
- Fixed bugs around analytic derivation.
...
- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
bda19832cd
Integrate error from negative steady state with loglinear model into print_info.m
...
Prevents crashes during estimation. Instead of directly crashing, error handling is done via print_info.m so that penalizing the error during estimation is possible
2014-12-04 20:04:36 +01:00
f48566aeae
Fixed prior bounds (according to the doc in master branch).
...
* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
55808060cf
Removed useless input (complete commit 438a671c3873e5c4e1bb02a54080e930fbc11886).
2014-10-13 17:42:52 +02:00
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
...
- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
2d39fc62e2
Make sure the output arguments of dsge_likelihood.m are actually set
...
Before, trend_coeff and ys were sometimes returned as empty
2014-09-21 11:54:43 +02:00
576ed55dda
Merge branch optimizer_number_5.
2014-09-11 17:38:03 +02:00
6d42ec66d5
Account for error code 10 (Inf in Jacobian of the dynamic model) in likelihood functions.
2014-09-10 17:49:33 +02:00
a6bddb2d57
Improve computation of outer product gradient for univariate Kalman algorithms, by exploiting the larger number of individual densities computed during recursions (used in optimizer number 5).
2014-07-23 16:33:39 +02:00
0efcef8f20
Added the possibility to declare non linear prior restrictions over estimated parameters.
...
If a file <MOD_FILE_NAME>_prior_restrictions.m exists in current folder, the value returned by this routine is
substracted to fval (likelihood-lnprior) at the end of dsge_likelihood. The arguments of this routine are: M_,
oo_, options_, dataset_ and dataset_info. Routines for writing <MOD_FILE_NAME>_prior_restrictions.m will be
provided later.
2014-07-21 12:45:49 +02:00
939fb78624
Merge pull request #663 from JohannesPfeifer/master
...
Bugfix and cosmetic fix
2014-07-01 17:56:48 +02:00
03395a7425
Fixed bug. Wrong test on the number of input arguments (because of the new input argument dataset_info in dsge_likelihood).
2014-06-25 14:57:20 +02:00
efcf6bd9c0
Use dseries object in the estimation routines.
2014-06-16 17:41:59 +02:00
ca6803b531
Add forgotten case to likelihood functions
...
Code 25 was not filtered out, leading to cryptic crashes
2014-06-02 14:10:43 +02:00
12026b98a5
Add info about constants to dsge_likelihood.m header
2014-03-19 19:34:34 +01:00
fddee8e1db
Bugfixes for correlated shocks
...
Uses preprocessing capabilities introduced in 07137e804bFixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
06ef8fce30
Fixed typo.
2013-06-28 22:02:24 +02:00
b281830983
Added new initialization mode ofr the Kalman filter and smoother.
2013-06-28 16:26:53 +02:00
268095276c
Factorized code using ispd routine.
2013-06-20 12:59:01 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
8c14339a0f
Merge pull request #399 from JohannesPfeifer/master
...
Bugfix for dsge_likelihood with univariate_kalman_filter
2013-05-31 09:24:35 -07:00
4923ba0952
Introduced new option that allows to set prior (sign) restrictions to irf's
2013-05-30 10:57:39 +02:00
115b16236b
Fix bug in dsge_likelihood for univariate_kalman_filter
...
ÿÿÿ
Lines 399-418 set the measurement covariance matrix and save it to H1.
If it is diagonal, it is not recomputed again as
correlated_errors_have_been_checked is 0. In that case, lines 654-675
are not entered and univariate_kalman_filter tries to use the old H, but
it was named H1 before, leading to a crash. Changing the name of the
matrix H in lines 654-682 to H1 assures that univariate_kalman_filter
uses the correctly updated matrix of the
~correlated_errors_have_been_checked and the previously computed H1 in
the other cases.
2013-05-17 23:54:17 +02:00
7094a45f6d
Revert "Make error message for prior violation more explicit by adding second argument to info()"
...
This reverts commit 2815d5fbd4
2013-05-02 14:31:29 +02:00
2815d5fbd4
Make error message for prior violation more explicit by adding second argument to info()
2013-04-26 20:20:23 +02:00
e1f702f83a
Various fixes to steady state computation in estimation DLL
...
Still not working… Valgrind detects unitialized values during the call to
hybridjs…
2013-04-18 18:28:34 +02:00
40e5c61ec7
Restrict endogenous prior to stationary models and allow for measurement error
2013-03-18 23:46:15 +01:00
a090a7c35e
Add endogenous priors
...
Add option and code for endogenous priors according to
Christiano/Trabandt/Walentin 2011, JEDC. Still needs to be integrated to
manual and pre-processor.
2013-03-17 22:51:23 +01:00
74c300939a
making sure that dsge_likelihood.m always returns a value in fval
2012-10-24 10:02:17 +02:00
dd8f16c8db
Revert "reset penalty to 1.e8." Too big a penaly is not desirable.
...
This reverts commit fcceec896a
2012-10-01 14:23:21 +02:00
fcceec896a
reset penalty to 1.e8.
2012-10-01 08:53:50 +02:00
421e1a39fc
Merge remote-tracking branch 'ratto/master'
2012-09-27 16:36:00 +02:00
894b3d69f4
Added an option to decide if dsge_likelihood should call univariate filters when the covariance matrix of
...
the prediction error is singular (default is yes).
2012-09-27 14:48:07 +02:00
16fa6efc8d
Replace NaN with numeric penalty when diffuse filter does not kill unit roots.
2012-09-26 16:00:18 +02:00
8d4c812671
Merge remote-tracking branch 'ratto/master'
2012-09-17 10:29:53 +02:00
b756ee1819
Analytic derivatives: make them work for lik_init==2 as well
...
(lik_init =3 and =4 still to be worked out)
2012-09-14 17:07:38 +02:00
e637319be5
bug fix. the diffuse filter should simply penalize the likelihood with the NaN without breaking the estimation (this is in line with missing_observations_kalman_filter_d.m).
2012-09-14 17:05:35 +02:00
3658b02455
Fixed bug. If info==19 (steady state routine returns check=1) info(2) is NaN, so that it is not possible to define an endogenous penalty. In this case we just add one to objective_function_penalty_base.
...
(cherry picked from commit d2912b264c326b3f349984b605787045b028b992)
2012-09-14 17:05:31 +02:00
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
...
objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
2012-08-28 12:17:07 +02:00
6b91301365
Reduce memory requirements for analytic Hessian.
...
Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
2012-08-21 16:00:55 +02:00
2e9ae5df28
dealing with info == 8 (Nan in Jacobian) during estimation
2012-08-06 12:00:03 +02:00
6b3bd9dd0b
penalty is now passed as a field of bayestopt_ (or BayesInfo)
2012-08-02 22:23:29 +02:00
47353a276b
bug fix: the anlytic hessian was wrong with estimated stderr.
...
Manual cherry pick from Commit: 36853cb7615de41ca61ed92decf8bbe81ab40cba
2012-08-02 14:57:20 +02:00
ed4d37341c
Fix problem with models where steadystate files change parameter values.
...
1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
379972d715
Removed prior_penalty in dsge_likelihood.
...
If options_.prior_trunc is set to zero (the default is strictly positive) then prior_correction is infinite because the prior density is zero (this is not true for the uniform prior)... This does not help the optimizer. Even if we do not fall in this case (because options_.prior_trunc>0 or becuase only uniform priors are used for the bounded parameters) the meaning of this correction is unclear.
2012-07-04 13:04:49 +02:00
abad13d020
Kill estimation if the likelihood is complex or NaN.
2012-06-14 15:32:15 +02:00
2a8436aa44
Extends the block Kalman filter to the missing observations case (not called for the moment)
2012-06-11 10:39:25 +02:00
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
69d015a777
Asymptotic Hessian now works also for univariate stationary KF.
2012-06-08 15:26:14 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
...
2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
c26a211827
analytic_derivation and loglinear are incompatible
2012-06-08 11:33:33 +02:00
7f9d2968d9
fixed bug introduced in previous commit: offset needs to be computed for analytic derivatives.
2012-06-08 08:50:07 +02:00
06ca265272
Complete the bug fix for the calibrated correlations in the structural and measurement covariance matrices.
...
Call set_all_parameters routine in dsge_likelihood. Note that
correlations between innovations are not allowed in dsge-var models.
2012-06-07 15:13:39 +02:00
3cbd702b3e
Fixed bugs (initialization of the Kalman filter with the fixed point of the Riccatti equation).
2012-06-06 18:25:07 +02:00
dc7c0fa74d
Include prior info in penalty with Bayesian estimation.
...
This can improve a bit optimization routines when parameter go beyond prior bounds during line search algorithms or when numerical gradient is computed.
2012-05-31 14:44:16 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
...
This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
bb02c4d6df
Bug fix for univariate KF (nobs was not defined, replaced with pp) + provisions fro eliminating dsge_likelihood_hh function;
2012-04-29 21:18:33 +02:00
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
...
- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
636cd1bae6
calling always multivariate Kalman filter first, even if univariate
...
diffuse Kalman filter was used before
2012-01-22 18:59:19 +01:00
cfb5114d41
corecting logic for selecting univariate diffuse filter and dealing
...
with correlated measurement errors
2012-01-22 18:37:29 +01:00
111347469f
adding comment explaining initialization of persistent variable
...
penalty in dsge_likelihood.m and dsge_likelihood_hh.m Removed misleading
initialization code. Added call to dsge_likelihood_hh in
initial_estimation_checks to initialize persistent variable in that
function as well.
2012-01-09 21:23:17 +01:00
f9d2dec97f
preparing dsge_loglikelihood.m for future integration of estimation DLL
2012-01-08 21:55:02 +01:00
d12e1b7801
replaced BayesInfo.penalty by penalty as it is now a persistent variable
2012-01-08 17:58:22 +01:00
bf69bac140
Fixed typo in comments.
2011-12-26 17:46:49 +01:00
Johannes Pfeifer
Marco Ratto
Houtan Bastani
Stéphane Adjemian (Lupi)
Johannes Pfeifer
Michel Juillard
Sébastien Villemot
Sébastien Villemot
Sébastien Villemot
Ferhat Mihoubi
Ferhat