960c075420
Replace "Estimation::mcmc::" by a variable
...
This enables re-using estimation functions for other Bayesian estimation routines such as Bayesian method_of_moments and printing it nicer to the console.
2023-09-07 09:36:27 +02:00
6551b88fc8
Merge branch 'truncated_normal' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2161
2023-09-07 08:56:13 +02:00
8f79e848f0
Remove remnants of GPU code
2023-09-07 08:00:05 +02:00
9afd75ca9b
th_autocovariances.m: rework routing to clarify approach
...
Changes reflect model representation with 1 lag only
2023-09-06 22:14:19 +02:00
7283838a0f
dynare_config.m: sort added paths
2023-09-06 22:11:35 +02:00
02b4242c75
Remove MATLAB:dividebyzero identifier
...
Was removed from Matlab
2023-09-06 15:09:39 +02:00
5f68504919
prior sampling: suppress loop output
2023-09-06 14:14:31 +02:00
d60a19ce49
Finish implementation of truncated normal distribution
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1593
2023-09-06 12:46:41 +02:00
16f921ed62
Add Meson build system
...
Mostly working. The testsuite remains to be done.
In particular, windows/deps/mkoctfile64 is modified to print its version number
on stdout instead of stderr. This is what the standard mkoctfile does, and it
allows easier capture of the output from Meson.
2023-09-04 18:04:00 +02:00
6747f2130e
Perfect foresight: fix illegal memory read with bytecode + endval_steady
...
The exogenous steady state vector was passed as a row-vector to
evaluate_steady_state, thus leading to an incorrectly-sized matrix passed to
bytecode when checking the steady state on the dynamic model (when different
from the static model).
2023-09-01 14:52:57 +02:00
c70f2f1e4b
Allow x13 to deal with missing values
2023-08-31 09:07:51 +02:00
0d21927381
Merge branch 'mod_comp' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2157
2023-08-30 11:47:22 +02:00
01011cb849
Merge branch 'shock_decomp' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2156
2023-08-30 11:46:47 +02:00
38f36258ed
Merge branch 'endogenous_prior' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2153
2023-08-30 11:45:54 +02:00
e70b2fdfcf
makedataset.m: account for short filenames
2023-08-29 16:15:34 +02:00
183e6fbb3b
model_comparison.m: account for short filenames
2023-08-29 16:14:50 +02:00
9e53bd9967
shock_decomposition.m: do not overwrite other output
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1897
2023-08-29 14:40:10 +02:00
0729ee72af
det_cond_forecast.m: cosmetic changes to error messages
2023-08-24 12:38:50 +02:00
a85a00bfcf
endogenous prior: fix logic of missing observations check
...
Message should only be displayed if there are missing observations
2023-08-23 09:32:24 +02:00
Stéphane Adjemian (Argos)
91825d4b5b
Fix cherrypick routine with max and min functions in model block.
2023-07-21 15:36:52 +02:00
710589eb5b
Adds pruning in k_order_simul
...
See issue #1643 about beyond-third-order pruning
2023-07-20 06:58:35 +01:00
Stéphane Adjemian (Ryûk)
c02e550582
Update dseries submodule.
...
Pass more than one variable name to remove and remove_ methods.
2023-07-19 18:23:08 +02:00
d2fecdc5d3
load_*_mh_history_file: remove assignin statements
2023-07-18 10:01:47 -04:00
8532d6abd7
Cosmetic changes to various estimation routines
2023-07-13 14:40:01 -04:00
e6c43c2a29
load_last_mh_history_file: make sure number of blocks and parameters matches loaded files
2023-07-13 14:39:50 -04:00
Stéphane Adjemian (Ryûk)
b5a74b96e5
Merge particles submodule into master.
2023-07-12 14:01:25 +02:00
Stéphane Adjemian (Ryûk)
21dcc911bc
Move files and delete unused folders and files.
2023-07-12 09:29:41 +02:00
Stéphane Adjemian (Argos)
6265a6d2b1
Update dseries submodule (add two arguments to dplot command).
2023-07-07 11:40:41 +02:00
Stéphane Adjemian (Argos)
bd0493d135
Add routine for dynamic contributions in semi-structural models.
2023-07-06 22:26:09 +02:00
Stéphane Adjemian (Argos)
5e869669a0
Set verbose to false by default.
2023-07-06 22:26:07 +02:00
ae67b4a145
Merge branch 'master' into 'master'
...
Variable number of parameter MCMC convergence plots
See merge request Dynare/dynare!2127
2023-07-05 10:07:39 +00:00
eb5eefdcf0
Variable number of parameter MCMC convergence plots
...
This change allows the user to change the number of parameters for which the MCMC convergence diagnostics are shown. The user needs to set a value for options_.convergence.brooksgelman.plotrows for an arbitrary number of parameters to be shown, but defaulting to 3 if no input is supplied.
2023-07-05 10:07:38 +00:00
23dbb2b4b9
Fixes local_state_space_iteration_3 and adds a test comparing the various pruning routines used in dynare up to order 3.
...
The considered pruning routines can be found in
- `simult_.m`
- `local_state_space_iteration_2` MEX
- `local_state_space_iteration_3` MEX
- `pruned_state_space_system.m`
2023-07-04 19:15:43 +02:00
d2c324eeee
Amends the various filters to fit the fixed version of local_state_space_iteration_3
...
See MR !2144 for more details
2023-07-01 16:43:48 +02:00
d386bb9f76
Cholesky decomposition: only add to diagonal if really necessary
...
Closes #1891
2023-06-23 11:26:14 -04:00
ed7fe89bfa
Remove unused exo_names_orig_ord
2023-06-23 08:41:12 -04:00
e6920a60a1
Default option: don't save files for csminwel and cmaes
...
Usually these files are not needed (if then user can turn this option on manually) and only clutter the folder.
Moreover, the testsuite crashes on rare occasions if several mod files are run in the same folder and the optimizers write the files simultaneously.
2023-06-23 12:11:23 +02:00
050679cd56
Rename resid.m
...
Closes #1888
2023-06-23 12:10:18 +02:00
782368eb9b
dseries: document saving of atr log
...
Related to dseries@f2bdd617
2023-06-22 13:56:19 -04:00
d5a3a8e16a
Various improvements to perfect foresight homotopy
...
– new option “endval_steady” to pf_setup command to recompute terminal
steady state in the homotopy loop
– new options “homotopy_linearization_fallback” and
“homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver
commands, to get an approximate solution when homotopy fails to go to 100%
– new options “homotopy_initial_step_size”, “homotopy_min_step_size”,
“homotopy_step_size_increase_success_count” and “homotopy_max_completion_share”
to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour
– removed option “homotopy_alt_starting_point” to pf_solver command, not really
useful
– new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”,
“steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to
control the computation of the terminal steady state (and remove the
equivalent options which previously had different names in pfwee_solver command)
2023-06-21 15:58:23 +02:00
3a789ca780
🐛 dynare_solve would incorrectly accept some guess values leading to NaN residuals
...
If the guess value passed to dynare_solve was such that the residuals were all
below tolerance, except some that were NaN, then this guess value would be
incorrectly accepted as a solution.
2023-06-20 15:35:36 +02:00
8fa37a0439
perfect_foresight_with_expectation_errors_solver: remove obsolete code
...
This should have been removed in c1b78e26ac
2023-06-16 16:45:04 +02:00
d4b5e156d1
perfect_foresight_with_expectation_errors_solver: check convergence of informational iterations
...
Error out if an iteration failed.
Also display an informative message about those iterations.
2023-06-16 16:45:04 +02:00
396267260a
Block solvers: improvement to error messages
...
– Do not mention internal options_ structure
– Remain agnostic about whether we are in a steady state or a deterministic simulation
[skip ci]
2023-06-15 15:49:50 +02:00
c1b78e26ac
perfect_foresight_with_expectation_errors_{setup,solver}: streamline handling of guess values
...
– Remove the terminal_steady_state_as_guess_value option to pfwee_solver
– pfwee_setup now sets the same guess values as pf_setup (i.e. terminal steady
state at all periods)
– With constant_simulation_length option, pfwee_solver uses terminal steady
state as guess values for periods that are added to the simulation
2023-06-15 15:37:48 +02:00
30c17ad346
🐛 Steady state: wrong value of maxit was used for some block/bytecode cases
...
It was using the value of maxit for perfect foresight simulations.
2023-06-15 15:37:48 +02:00
c7b4ea40f8
🐛 Steady state computation: fix crash if bytecode (without block) does not find a solution
...
ys was uninitialized and it would crash further down in the function.
2023-06-15 15:37:48 +02:00
Stéphane Adjemian (Ryûk)
a541e1e6d0
Update dseries submodule.
2023-06-14 10:47:57 +02:00
dcf56b89cd
Bytecode: rework message verbosity
...
Now uses options_.verbosity to decide what to print:
– if options_.verbosity == 0, prints nothing
– if options_.verbosity >= 1, prints iteration counter and duration, and fatal errors
– if options_.verbosity >= 2, additionally print floating point exceptions and
details about algorithmic decisions
2023-06-13 16:59:07 +02:00
d81e3992c3
perfect_foresight_solver_core: fix crash when bytecode does not converge
...
The bug was introduced in commit 7722e8e36b
2023-06-12 19:19:21 +02:00
4431a89e87
perfect_foresight_solver_core.m: when relevant, use bytecode MEX to recompute ∞-norm of residuals
...
Since commit 7722e8e36b
2023-06-12 19:18:45 +02:00
73ae1ac8ce
evaluate_steady_state: minor simplification
2023-06-12 19:18:44 +02:00
8cf8731c65
det_cond_forecast.m: use better syntax for ignored outputs
2023-06-12 19:18:44 +02:00
37870e4a40
evaluate_steady_state: accept exogenous steady state as argument instead of whole oo_ structure
...
This is a move towards a more functional programming style.
2023-06-07 17:58:19 +02:00
7722e8e36b
Perfect foresight: inner functions no longer return a modified oo_
...
They now only return what’s really their output (simulated paths, maximum
residual error…). This is a move towards a more functional programming style.
2023-06-06 18:13:10 +02:00
6ed90b3dbf
🐛 Homotopy for extended path (order 0) was utterly broken
...
The convergence test was wrong.
2023-06-06 17:54:04 +02:00
fe142b663e
Perfect foresight: allow homotopy for purely backward/forward/static models
...
This was previously disabled, but the code seems to work.
2023-06-06 17:26:07 +02:00
1cf83dc278
perfect_foresight_solver: always use perfect_foresight_problem MEX for computing residuals
...
The MEX no works on models without leads or lags.
This is essentially a revert of 74dc4f81f0#1850
2023-06-06 17:06:10 +02:00
Stéphane Adjemian (Argos)
8e42f6d137
Update dseries submodule (new method returning last observed period for each variable).
2023-06-05 11:21:53 +02:00
Stéphane Adjemian (Ryûk)
b1933d58dd
Bug fix (undefined variable).
2023-06-04 08:07:28 +02:00
37eb10971b
dynare_estimation_init.m: make sure OccBin estimation can be run after previous shocks(surprise) block
2023-06-02 08:43:14 -04:00
37bc08eb5b
Merge branch 'parallel' into 'master'
...
masterParallel.m: assign explicit empty window title to allow passing full path in quoted strings
Closes #1887
See merge request Dynare/dynare!2133
2023-06-01 08:26:52 +00:00
5a6d03a2e7
CI: adapt for new location of MATLAB binaries
2023-05-30 17:12:30 +02:00
e14c59384d
CI: adapt for new location of MATLAB binaries
2023-05-30 15:53:17 +02:00
ad2d986c5e
masterParallel.m: assign explicit empty window title to allow passing full path in quoted strings
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1887
2023-05-24 06:45:24 -04:00
Stéphane Adjemian (Ryûk)
03db691ab3
Update dseries submodule (add --with-legend option to dplot command).
2023-05-19 18:48:44 +02:00
df018ab14d
dynare_sensitivity.m: do not alter qz_criterium
2023-05-16 09:22:13 -04:00
Stéphane Adjemian (Guts)
43cb9b01c3
Update submodule dseries ( fix #53 ).
2023-05-12 17:23:53 +02:00
Stéphane Adjemian (Ryûk)
15027db136
Add missing initialization.
2023-05-11 15:59:38 +02:00
Stéphane Adjemian (Ryûk)
1f60657d99
Update dseries submodule (add new plotting routine for dseries objects).
2023-05-11 14:51:20 +02:00
Stéphane Adjemian (Ryûk)
015513380f
Add new class for priors.
...
This commit only changes the routine used to draw random deviates from
the prior distribution, without relying on persistent variables (which allows
parallelisation).
2023-04-26 10:39:13 +02:00
8bb9a398aa
Octave compatibility: ignore new warning introduced for qz() in Octave 9
...
Should have been in commit 421eb1482c
2023-04-26 10:30:04 +02:00
b8352b251d
macOS: provisions to detect Apple Silicon architecture (maca64 and mexmaca64)
...
Works with MATLAB R2022b beta (ARM)
2023-04-26 10:19:14 +02:00
Stéphane Adjemian (Ryûk)
084e64cdac
Use new prior draw interface.
2023-04-26 10:06:30 +02:00
0c17d656e1
🐛 Steady state computation could fail with block+bytecode+mfs>0
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The Jacobian used for solving a block was not square if there were recursive
variables.
2023-04-20 13:39:26 +02:00
e413696277
Octave compatibility fix: the 3rd output argument to fminsearch was added in Octave 4.4
2023-04-17 18:10:35 +02:00
80a6967827
Remove unused options_.scalv
2023-04-14 16:38:14 +02:00
1faeaf892e
Remove unused options_.terminal_condition
2023-04-14 16:35:43 +02:00
0923187938
🐛 Perturbation solution: gracefully fail if order=2 is requested with bytecode
2023-04-13 17:35:20 +02:00
91fa8d079e
calibrateresiduals: use the sparse representation of the dynamic model
2023-04-13 17:24:47 +02:00
7e1c25d775
backward_model_inversion: use the sparse representation of the dynamic file
2023-04-13 15:51:09 +02:00
ed75e4c176
dynamic_backward_model_for_inversion: turn into a local function of backward_model_inversion
2023-04-13 15:47:43 +02:00
66b648157f
Purely backward models simulation: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
34e82f9697
sim1_purely_forward: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
170a4dce0e
dynamic_forward_model_for_simulation: turn into a local function of sim1_purely_forward
2023-04-13 15:47:43 +02:00
5f42e84b0b
sim1_purely_static: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
4a793f89ff
dynamic_static_model_for_simulation: turn into a local function of sim1_purely_static
2023-04-13 15:47:43 +02:00
942c6f9a20
🐛 static_model_inversion: fix handling of STEADY_STATE() operator
...
Of course, this operator does not make much sense in the context of a static
model, but it should still work.
2023-04-13 15:47:43 +02:00
9deb1e6049
static_model_inversion: use the sparse representation of the dynamic file
2023-04-13 15:47:41 +02:00
bc68915dfa
static_model_for_inversion: turn into a local function of static_model_inversion
2023-04-13 11:55:27 +02:00
Stéphane Adjemian (Ryûk)
4f3a0df884
Do not overwrite solve_algo option.
2023-04-12 09:53:46 +02:00
421eb1482c
Octave compatibility: qz() will be MATLAB-compatible in version 9
...
[skip ci]
2023-04-07 10:26:54 +02:00
Stéphane Adjemian (Ryûk)
51ffe77fb7
Add error flag (new output) to simul_backward_model routine.
2023-04-05 11:09:59 +02:00
c4bc6316d0
Make matlab/missing/mex/mjdgges/mjdgges.m Octave-compatible
...
[skip ci]
2023-04-04 18:40:37 +02:00
cdb786017b
Preprocessor update
...
– ramsey_policy is now fully implemented at the preprocessor level
– 🐛 ramsey_policy: lift restriction that order must be ⩽ 2
– 🐛 Extend incompatibility with deterministic exogenous to ramsey_model command
2023-03-29 16:26:02 +02:00
534515dc66
dyn_ramsey_static.m: simplifications + improve comments
2023-03-29 14:33:01 +02:00
ffe6eb4d40
Preprocessor: overhaul of M_ fields counting Ramsey/discretionary orig endos/eqs
...
– new fields: M_.ramsey_orig_{eq,endo}_nbr
– drop M_.ramsey_eq_nbr and M_.orig_eq_nbr
– new field: M_.discretionary_orig_eq_nbr
2023-03-29 14:33:01 +02:00
674ebce84b
🐛 Ramsey steady state computation could fail if expectation or diff operator is present
...
If auxiliary variables were created *before* the Lagrange multipliers (e.g. aux
vars related to the expectation or diff operators), then the vector of
residuals of the reduced Ramsey steady state problem (with respect to original
variables, as computed by the dyn_ramsey_static_1 subfunction) was incorrect.
2023-03-29 14:31:01 +02:00
4291b4f07e
The preprocessor now sets options_.{ramsey,discretionary}_policy in all cases
2023-03-28 18:30:08 +02:00
69d0aa670b
Preprocessor update
...
– 🐛 Incorrect stochastic transformation with endo lead ⩾ 2 or exo lead ⩾ 1 in
external functions
– New solution for solving the Ramsey steady state with Lagrange multipliers
with lead or lag ⩾ 2. Now generates a dedicated file for derivatives of static
model w.r.t. multipliers using chain rule derivation (#633 , #1119 , #1133 )
– 🐛 Incorrect cost table used when computing temporary terms in static model
with “use_dll”
– 🐛 Crash when writing the (static) set_auxiliary_variables file in the
presence of external functions
2023-03-28 14:49:28 +02:00
9fa64ee0d4
ramsey_policy and estimation: remove incorrect check about number of instruments
...
These should only be warnings, and they are already implemented in
model_diagnostics (see 39ae080997
2023-03-24 12:31:41 +01:00
43190b001f
Fix typo in commit 647ff5cd20
2023-03-17 18:19:03 +01:00
4f52ba0dbc
CI: bump to MATLAB R2023a
2023-03-17 16:32:13 +01:00
13908ee068
Provisions for MATLAB R2023a
2023-03-17 16:32:09 +01:00
5642e994fc
CI: bump to MATLAB R2023a
2023-03-17 16:29:00 +01:00
647ff5cd20
MATLAB compatibility: warning subscripting:noSubscriptsSpecified removed in R2023a
2023-03-17 16:03:37 +01:00
f07d73e63e
CI: use system-wide Octave binary
2023-03-16 17:43:39 +01:00
816e94e9f9
Octave fix: do not change the global recursive delete confirmation setting
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Only change the setting locally, as is done in isolder.m and
parallel/dynareParallelRmDir.m.
2023-03-16 17:24:18 +01:00
060c694066
model_diagnostics: remove workaround for Octave
...
The rank() and null() functions accept a tolerance argument since at least
Octave 3.8.
2023-03-16 17:24:18 +01:00
441173ec5a
Remove workaround for eig() function under Octave
...
The eig() function has been been able to return the left eigenvectors since at
least Octave 4.4.
2023-03-16 17:24:18 +01:00
b7477ac0b6
cmaes: remove broken local isoctave() function
2023-03-16 17:24:18 +01:00
56ffc87e1c
Remove workaround for gaminv() bug fixed in Octave 4.4
...
See #161 and http://savannah.gnu.org/bugs/?52569
2023-03-16 17:24:18 +01:00
704f3596cb
CI: use system-wide Octave binary
2023-03-16 17:17:19 +01:00
Stéphane Adjemian (Ryûk)
6e0a09f5fa
Add interface to flip endogenous and exogenous variables.
...
Calls to change_type can be done in a file named model-inversion-setup.inc in
the current folder. The file is included, between the declaration of the
exogenous variables and the model block, in the aggregate mod file if and only
if the macrovariable InvertModel exists and is equal to True. To invert a model,
the user just has to run the aggregated mod file with -DInvertModel=True on the
command line.
2023-03-16 14:12:21 +01:00
c8045e2c5e
model_diagnostics.m: fix logic of using block information
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Also fixes bug with rank not working with sparse matrices
2023-03-15 18:11:37 -04:00
ff318d1163
Merge branch 'model_diagnostics' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2125
2023-03-13 17:59:43 +01:00
39ae080997
model_diagnostics.m: fix logic of Ramsey instrument checks
...
The mapping from economic to steady state instruments is not one-to-one. Trigger warnings instead of errors.
2023-03-13 10:39:06 -04:00
Stéphane Adjemian (Ryûk)
7583790851
Improve error message.
2023-03-09 11:25:04 +01:00
Stéphane Adjemian (Ryûk)
a3b249c375
Update dseries submodule (fill_ method).
2023-03-08 18:16:11 +01:00
Stéphane Adjemian (Ryûk)
0d39cab9e1
Add option to print parameter values.
2023-03-04 22:31:54 +01:00
Stéphane Adjemian (Ryûk)
c006645c7f
Remove output argument.
2023-03-04 20:10:50 +01:00
Stéphane Adjemian (Ryûk)
2ab19c1aa9
Do not compute variables if they are not returned.
2023-03-04 20:10:06 +01:00
Stéphane Adjemian (Ryûk)
656a7bf867
Cosmetic changes.
2023-03-04 18:03:59 +01:00
Stéphane Adjemian (Ryûk)
f6a76066f9
Remove warning.
2023-03-04 17:52:50 +01:00
Stéphane Adjemian (Ryûk)
0b9141fdca
Remove and rename routine (print_equations).
...
Also:
- rename first input argument,
- remove second argument (always expand expectations).
2023-03-04 17:49:33 +01:00
Stéphane Adjemian (Ryûk)
a0d53277c1
Fix condition (variable name can have less than characters).
2023-03-04 17:13:45 +01:00
f02d66ce7c
moment_function: remove unused function
2023-03-01 16:47:42 +01:00
a2591c474e
selif: remove unused function
2023-03-01 16:44:05 +01:00
845eac99d3
bicgstab_: remove unused function
2023-02-17 22:01:32 -05:00
f5523c7bab
bksupk: remove unused function
2023-02-17 22:01:32 -05:00
62805b7183
perfect_foresight_simulation + bksup0: remove unused functions
2023-02-17 22:01:32 -05:00
f938014e84
bksup1: turn into a local function of sim1_lbj
2023-02-17 22:01:32 -05:00
24f689b2de
restricted_steadystate: turn into local function of evaluate_steady_state_file
2023-02-17 22:01:28 -05:00
6bddbca01d
bytecode_steadystate: turn into a local function of evaluate_steady_state
2023-02-17 22:01:25 -05:00
1a421d93dd
steady: turn homotopy{1,2,3} into local functions
2023-02-16 14:22:27 -05:00
2c44923384
No longer turn off output pagination
...
The “more off” command is incompatible with MATLAB Online.
Moreover, output pagination is disabled by default on MATLAB and on
Octave (since version 4 for the latter), so in most cases that command would do
nothing.
Incidentally, this allows users to enable output pagination should they want
to.
[skip ci]
2023-02-08 11:02:29 -05:00
65053667cf
New “homotopy_alt_starting_point” option to “perfect_foresight_solver” command
2023-02-07 14:49:00 -05:00
d6370a6d28
Merge branch 'occbin_init_smo' into 'master'
...
occbin enhancements and bug fixes
See merge request Dynare/dynare!2123
2023-02-07 14:23:14 +00:00
be698d5f98
Perfect foresight + homotopy: add missing newline
2023-02-06 15:14:02 -05:00
63a299f64e
new error codes introduced and applied for occbin smoother.
...
- 321 when simulation within occbin smoother fails
- 322 when occbin smoother does not converge.
2023-02-06 14:58:42 +01:00
f565a0a84a
bug fix and avoid missing output arguments and when smoother exits after non convergence of simulation.
2023-02-06 11:39:24 +01:00
f0aa2fb86f
cosmetic change
2023-02-03 14:25:59 +01:00
b886de92dc
trap case when simulation does not converge within smoother
2023-02-03 14:25:32 +01:00
cdd195576e
store binding_indicator_history once it has been set
2023-02-03 14:24:58 +01:00
783c237d17
evaluate set_prior only when needed
2023-02-03 14:21:02 +01:00
035db8b8c4
bug fixes when using guess regime
2023-02-03 14:20:51 +01:00
77e87be48b
try with base regime before returning error
2023-02-03 14:20:39 +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
7132cb593e
bug fix for init variables to be defined only with occbin PKF
2023-02-03 14:20:16 +01:00
50aa20c742
eliminate buggy and useless check for existence of guess regime variable. this may create bugs in running PKF update step!
2023-02-03 14:20:02 +01:00
e51a30eaf5
Bug fix for the case where no prior is defined for estim params
2023-02-03 14:19:50 +01:00
a346639020
when filter is NOT diffuse, allow likelihood to handle violation of constraints in period 1.
2023-02-03 14:19:28 +01:00
6598d615d1
in some cases, order is not yet set to 1
2023-02-03 14:19:16 +01:00
a91c36f920
first_period_occbin_update is an index, not a boolean
2023-02-03 14:19:05 +01:00
74acb2d1f5
bug fix using index t
2023-02-03 14:18:54 +01:00
21c9d59e8c
incorporate information about states in period 0 for occbin with smoother_redux
2023-02-03 14:18:32 +01:00
0622f01f4e
filter out t=1 when storing aalphahat and eetahat
2023-02-03 14:18:21 +01:00
b90dff1986
retrieve states in period 0 from smoother and deploy this to:
...
- 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
5aca770931
perfect_foresight_with_expectation_errors_{setup,solver}: fix bugs with several exogenous
...
Closes : #1883
2023-01-24 15:02:07 +01:00
538f38d269
Merge branch 'occbin_debug' into 'master'
...
missing_observations_kalman_filter.m: provide debugging information on PKF problems
See merge request Dynare/dynare!2122
2023-01-23 10:39:17 +00:00
4307711c60
missing_observations_kalman_filter.m: provide debugging information on PKF problems
2023-01-19 11:57:35 +01:00
cfaf5a685d
Preprocessor: actually obey the “mfs” option for the static model
...
As a consequence, fix steady state computation when mfs > 0.
2023-01-17 19:08:32 +01:00
8aabdaee9c
Consolidate functions for solving steady state with block and/or bytecode
2023-01-17 15:25:47 +01:00
7b6058509f
Drop unused function
2023-01-17 14:48:36 +01:00
005769210a
Drop unused function
2023-01-17 14:47:52 +01:00
5342476196
Drop unused function
2023-01-17 14:46:50 +01:00
023afc7ebb
Drop unused function
2023-01-17 14:46:46 +01:00
1c5c1639e1
Drop unused function
2023-01-16 14:38:09 +01:00
e5f100b152
Drop unused function
2023-01-16 14:38:06 +01:00
c187d0ead9
Drop unused function
...
It should probably have been removed in 9c6e219990
2023-01-16 14:38:03 +01:00
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
Stéphane Adjemian (Ryûk)
91dd917d62
Cosmetic/Efficiency changes.
...
- Use bsxfun for centering data if possible,
- Factorise LU decomposition,
- Remove useless operations during the presampling step.
2023-01-12 17:45:51 +01:00
e250067959
Use sparse representation for block-decomposed perfect foresight and steady state computation
...
Ref. #1859
2023-01-12 16:28:02 +01:00
3c55aa57e1
Use sparse representation for evaluating the static model
...
We also take advantage of the fact that the non-block version is always
available next to the block one, so when we are only interested in the residual
as a whole, we simplify by using the non-block version.
2023-01-10 16:21:44 +01:00
b343f0231d
Ensure that generated sparse MEX files are unloaded before the preprocessor is run
...
This workaround already existed for the legacy representation.
2023-01-10 16:07:29 +01:00
0b0a4ef386
dsge_likelihood.m: flag analytical_derivation as incompatible with endogenous_prior
2023-01-09 17:57:18 +01:00
f84753025d
Bytecode: the block and non-block versions now coexist in parallel
...
As a consequence, a new “block_decomposed” option of the bytecode MEX has been
introduced to explicitly select the block-decomposed version.
Note that we do not always use the “block_decomposed” option even when the
“block” option has been passed to the user, in situations where the block
decomposition brings nothing (e.g. when evaluating the residuals of the whole
model).
2023-01-09 15:20:46 +01:00
Stéphane Adjemian (Ryûk)
b7693c3273
Add routine for conditional likelihood (first order).
2023-01-06 14:57:45 +01:00
f93a7f7192
Merge branch 'disp_aux_4' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2118
2023-01-04 10:59:21 +01:00
45450651a2
model_info.m: fix display of block decomposition
2023-01-03 16:17:43 +01:00
ead9023cec
Merge branch 'steady_nan' into 'master'
...
steady state computation: trap cases where parameters are NaN
See merge request Dynare/dynare!2119
2023-01-03 11:24:26 +00:00
Stéphane Adjemian (Guts)
5b72a3041c
Use new unit tests interface.
2023-01-02 22:58:20 +01:00
64d61c3268
steady state computation: trap cases where parameters are NaN
2022-12-28 11:48:23 +01:00
1866286fb8
subst_auxvar.m: correctly take care of exo leads and lags
2022-12-21 11:16:41 +01:00
1219f085e7
disp_dr.m: fix display for type 4 auxiliaries
2022-12-20 13:06:05 +01:00
Stéphane Adjemian (Ryûk)
aee541aabe
Update dseries submodule.
2022-12-15 17:25:29 +01:00
a4634cd1b7
dynare_estimation_init.m: set observable mapping for inversion filter if only smoother is used
2022-12-09 13:19:32 +01:00
e7ca989b21
prior_posterior_statistics.m: fix logical condition
2022-12-05 14:52:03 +01:00
9de0688cfe
Make default jscale depend on number of estimated parameters
...
Related to https://git.dynare.org/Dynare/dynare/-/issues/1849
2022-12-03 16:00:27 +01:00
d574705b4a
Design and performance improvement to solve_algo={12,14}
...
Use the new time-recursive block decomposition computed by the preprocessor
for:
- the simulation of backward models with “simul_backward”
- the perfect foresight simulation of purely backward/forward/static models
Also note that in this case, the preprocessor now defaults to “mfs=3” (i.e. it
minimizes the set of feedback variables and tries to renormalize equations).
This replaces the previous algorithm based on Dulmage-Mendelsohn (dmperm), plus
an ad hoc identification of some equations that can be evaluated (those with a
LHS equal to a variable, the log of a variable, or the diff-log of a variable).
By the way, the block_trust_region MEX has been modified so that it accepts a
boolean argument to decide whether it performs a Dulmage-Mendelsohn
decomposition (if not, then it performs a simple trust region on the whole
nonlinear system).
This provides a significant performance improvement (of almost an order of
magnitude for solve_algo=14 on a 700 equations model).
2022-11-30 14:47:57 +01:00
bbdcdc89a2
sim1.m: use operation that preserves sparsity
2022-11-28 16:20:44 +01:00
ba9b0e9829
Merge branch 'occbin_IVF' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2019
2022-11-28 11:05:03 +01:00
Stéphane Adjemian (Charybdis)
3aeb1ff7e3
Fix pac.estimate.iterate_ols.
...
Was crashing if the auxiliary model contains a constant.
See https://forum.dynare.org/t/iterative-ols-for-pac-equation/21379 .
2022-11-24 16:29:49 +01:00
26fbc6c56d
IVF: improve error handling
2022-11-23 16:46:40 +01:00
80f6799c38
IVF: only store smoother results if requested
2022-11-23 16:44:18 +01:00
1e2fb88d32
IVF: fix error handling for smoother
2022-11-23 15:37:12 +01:00
eeecccd29b
IVF_core.m: fix header
2022-11-23 15:18:44 +01:00
2c879cc64c
compute_trend_coefficients.m: fix header
2022-11-18 22:04:07 +01:00
178e892e04
big fix for initialization of diffuse filter with correlated observation error covariance matrix
2022-11-18 12:41:15 +01:00
81ba952414
big fix in diffuse filter initialization: incorrect mapping of observables when removing zero columns of T
2022-11-18 10:52:37 +01:00
3184db12f2
Merge branch 'occbin_smoother' into 'master'
...
OccBin Smoother: do not write non-converged results to oo_
Closes #1863
See merge request Dynare/dynare!2100
2022-11-16 18:40:05 +00:00
4d603fb335
OccBin Smoother: do not write non-converged results to oo_
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1863
2022-11-16 17:13:08 +01:00
03f93c5329
bug fix with steady state when plotting the expand of groups of shocks
2022-11-15 23:10:38 +01:00
b0ce054c00
missing line that stores info on violation of constraint in expectation (needed to check for periodic solutions)
2022-11-15 23:09:48 +01:00
7075e05ddf
Merge branch 'cosmetic' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2096
2022-11-07 14:21:26 +01:00
d602453bb6
CI: bump to Octave 7.3.0
2022-11-07 14:11:27 +01:00
3a5e38f49c
CI: bump to Octave 7.3.0
2022-11-07 14:10:57 +01:00
5dbbe6d72c
compute_Pinf_Pstar.m: fix header
2022-11-07 10:12:34 +01:00
b336fbeb0d
Merge branch 'occbin_features' of git.dynare.org:rattoma/dynare
...
Ref. !2094
2022-11-04 14:59:06 +01:00
a1e0c35c1f
bug fix when max_check_ahead_periods interacts with curb_retrench
2022-11-04 11:20:52 +01:00
2f23604824
new option max_check_ahead_periods (renaming old undocumented option max_periods), that truncates the number of periods for which agents check ahead the regime (a sort of myopic behavior beyond max_check_ahead_periods),
...
the option is valid for simul, smoother and likelihood.
2022-11-04 11:17:37 +01:00
ee200a03b8
isoctave: performance improvement
...
Explicitly specify that OCTAVE_VERSION is a builtin. Otherwise the call to
“exists” will look for a file, among other things, which takes a lot of time.
2022-11-02 17:54:58 +01:00
720de52702
Make get_equation_number_by_tag more robust
...
The implementation was relying on the fact that in M_.equations_tags, all
equations have a name tag and they appear in the order given by equation
numbers. There is no guarantee that this will always be the case, so use a more
robust approach.
By the way, improve the implementation of get_equation_name_by_number.
2022-10-26 14:18:59 +02:00
5f6946a1b9
Display equation names in “model_info” command
2022-10-25 18:41:17 +02:00
befc6f59b9
Improve comments
...
[skip ci]
2022-10-24 18:05:15 +02:00
e31b313776
cosmetic change
2022-10-20 19:09:52 +02:00
d0150997f6
accept periodic solution in simulations ONLY IF two regimes differ by one period, to avoid pathological solutions.
...
We also do not check for periodicity when check ahead periods have been increased endogenously, again to avoid mis-identified periodicity.
Any other type of periodicity, is flagged as non-convergence with error code 313 (infinite loop of solutions).
2022-10-20 16:13:34 +02:00
2ccd3d4a0e
if max_periods is set to finite number, enforce algorithm to check ahead ONLY until max_periods (i.e. when we want agents to be myopic beyond some future period)
2022-10-20 16:11:01 +02:00
3765ef77cd
add option reset_check_ahead_periods_in_new_period:
...
when performing stochastic simulations, check ahead periods may increase endogenously at some point for regimes very long in expectation. such longer check ahead periods may considerably slow down convergence in subsequent periods, so users may want to avoid this.
2022-10-20 16:10:14 +02:00
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
bb9e45d0d0
max size for QMC is 1111
2022-10-20 15:14:39 +02:00
1a46c1dc89
impede prior_trunc=0 when doing sensitivity
2022-10-20 15:14:09 +02:00
eb41618614
trap errors also in univariate update step for occbin
2022-10-20 15:06:36 +02:00
ce21248e97
set noprint = true when simulating, to avoid crashes; only save info1 file under debug option
2022-10-20 15:06:26 +02:00
eb6f17e783
check if initial states are empty, and set them to zero.
2022-10-20 15:05:39 +02:00
cbbbdf4b3d
make_y_.m: fix interaction with steady_state_model
...
closes https://git.dynare.org/Dynare/dynare/-/issues/1866
2022-10-13 16:33:58 +02:00
fe0606ae06
logarithmic_reduction.m: use positive penalty add-on
2022-10-11 16:13:03 +02:00
5226db4b3c
logarithmic_reduction.m: add missing error codes
2022-10-11 16:12:03 +02:00
afb044c23e
Fix cycle reduction:
...
(i) making the norms consistent between cycle_reduction and its test;
(ii) remove hard errors in cycle_reduction Fortran and Matlab routines
2022-10-11 12:11:30 +02:00
855887b249
Implements a logarithmic reduction Fortran routine and the associated test
2022-10-11 12:11:06 +02:00
3ea0baf21e
Matlab logarithmic reduction: making norms and error codes consistent with cyclic reduction codes
2022-10-11 09:51:22 +02:00
e8444c16a7
Merge branch 'kalman_algo_3' into 'master'
...
kalman_update_algo_3.m: correct options name
See merge request Dynare/dynare!2090
2022-10-10 15:36:03 +00:00
95a15815a8
kalman_update_algo_3.m: correct options name
2022-10-08 18:01:05 +02:00
7874c302a0
Cycle reduction: account for new error codes
2022-10-03 17:15:20 +02:00
5b8fee5237
Merge branch 'cycle_reduction_fortran' of git.dynare.org:normann/dynare
...
Ref. !2085
2022-10-03 14:40:55 +02:00
d17204cc84
Implements a cycle reduction Fortran routine and the associated test.
...
The Fortran routine replaces the former Matlab code in matlab/cycle_reduction.m
2022-10-03 14:38:12 +02:00
2ab174aa8c
Merge branch 'cosmetics' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2087
2022-10-03 14:31:35 +02:00
9938f08790
Merge branch 'occbin_error' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2086
2022-10-03 14:31:02 +02:00
7af14aaa0d
Fix cycle_reduction.m:
...
- a condition of an if-then-else block is never fulfilled
- dimensions are inconsistent in the solution-check output message
2022-10-03 11:21:15 +02:00
d5d3e9060b
calibrate_mh_scale_parameter.m: fix typo in error message
...
[skip CI]
2022-09-30 14:01:34 +02:00
5defbdeb92
dsge_likelihood.m: add missing penalty for Occbin
2022-09-30 09:55:00 +02:00
1b12d9e44b
Fixes local_state_space_iteration_3_test: sets a default value for the number of threads local_state_space_iteration_3 may use
2022-09-27 11:03:36 +02:00
39ac1f7628
Particles submodule update
...
This should have gone into !2071 .
2022-09-26 17:55:36 +02:00
4cdb763ea4
Integrates the local_state_space_iteration_3 mex into dynare's bayesian estimation eco-system
...
Should be merged after the mex MR !2045 and the particles MR !16
2022-09-26 09:14:34 +02:00
755c5645a6
Merge branch 'irf' into 'master'
...
Fix posterior IRF generation with loglinear option
See merge request Dynare/dynare!2083
2022-09-21 15:44:11 +00:00
Stéphane Adjemian (Ryûk)
9ea8e17ff2
Update dseries submodule.
...
Add function returning dummy variable in a dseries object.
2022-09-21 10:56:53 +02:00
ee8dfb76c4
Fix posterior IRF generation with loglinear
...
The unlogged steady state was used for both the starting value and the baseline
2022-09-21 10:14:23 +02:00
12ec1ec0e6
PosteriorIRF_core1.m: replace function using globals
2022-09-21 09:29:43 +02:00
be2dd4456d
getIrfShocksIndx.m: replace global variables by inputs
2022-09-21 09:27:43 +02:00
945379a318
resol.m: use isempty instead of length
2022-09-21 09:25:06 +02:00
9506e723c9
ispd.m: filter out Octave incompatibility https://savannah.gnu.org/bugs/?63082
2022-09-20 12:42:04 +02:00
128eaa2da5
Add SMC samplers.
...
Ref. !2005
2022-09-19 16:32:28 +02:00
83836350e0
Merge branch 'stacked' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2079
2022-09-19 16:25:21 +02:00
ef5f25c17a
Merge branch 'model_inversion' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2080
2022-09-19 16:22:42 +02:00
7721ea041c
Amends particle filters to use the local_state_space_iteration_3 mex
2022-09-19 15:43:10 +02:00
7fac60f5f6
Fix auxiliary_particle_filter.m: strange iteration range `for i=1:size(nodes)`
...
All hunks depending on this loop amended
2022-09-19 15:16:29 +02:00
ea01f8f22a
Fix online_particle_filter.m: wrong condition for pruning in terms of order selection
2022-09-19 06:53:13 +01:00
cf7b06e96d
perfect-foresight-models/solve_stacked_problem.m: restore compatibility with Matlab before auto expansion was introduced
2022-09-16 19:27:23 +02:00
43978cada3
mom.optimal_weighting_matrix.m: assure symmetry of W_opt
2022-09-16 11:15:15 +02:00
2c063175de
CI: bump to MATLAB R2022b
2022-09-15 15:59:32 +02:00
36a7b019fc
Provisions for MATLAB R2022b
2022-09-15 15:59:32 +02:00
9540313b93
CI: bump to MATLAB R2022b
2022-09-15 15:43:31 +02:00
73ca68e052
model_inversion: Header cosmetics
2022-09-15 10:16:05 +02:00
68b527f8a7
Merge branch 'sim1' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2076
2022-09-13 17:36:26 +02:00
ac238ce625
dseries: fix bug in @dseries/plot in relation to “hold on”
2022-09-13 17:34:40 +02:00
66fa6e6742
sim1_purely_backward.m: fix typo
2022-09-13 13:52:29 +02:00
9b787d8417
Merge branch 'mcp_steady' into 'master'
...
Provisions for solving steady state with MCP-tag
See merge request Dynare/dynare!1877
2022-09-13 09:26:08 +00:00
3fbab4cbe0
Provisions for solving steady state with MCP-tag
2022-09-12 17:18:16 +02:00
b071e85214
Merge branch 'lmmcp' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2067
2022-09-12 16:58:05 +02:00
6437fc0fce
Merge branch 'model_debug' into 'master'
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model_diagnostics.m: use boolean for debug option as block_trust_region expects it
See merge request Dynare/dynare!2066
2022-09-08 15:30:55 +00:00
27075fa8eb
Merge branch 'path' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2073
2022-09-06 12:29:44 +02:00
d92fa5db17
CI: bump to Octave 7.2.0
2022-09-06 11:20:54 +02:00
550e48884a
CI: bump to Octave 7.2.0
2022-09-06 11:17:59 +02:00
0225cb23ac
Path solver: trigger lmmcp flag
...
Solves https://git.dynare.org/Dynare/dynare/-/issues/1720 for PATH solver
2022-09-06 09:34:20 +02:00
85a894efde
lmmcp: display norm of residuals in homotopy
2022-09-01 13:00:09 +02:00
Stéphane Adjemian
4aa47e521c
Merge branch 'Cosmetics' into 'master'
...
Cosmetic fixes to various functions
See merge request Dynare/dynare!2072
2022-08-31 14:57:16 +00:00
Stéphane Adjemian (Ryûk)
ca31a087f8
Fix typo (remove trailing underscore to option variable).
2022-08-31 15:26:09 +02:00
6872d8b0d1
Various cosmetic fixes
2022-08-31 14:58:00 +02:00
Stéphane Adjemian
d8baeb8f41
Merge branch 'diag' into 'master'
...
model_diagnostics.m: fix options_-name
See merge request Dynare/dynare!2069
2022-08-31 11:50:25 +00:00
Stéphane Adjemian
da1659d844
Merge branch 'cmaes' into 'master'
...
cmaes.m: allow suppressing warning
See merge request Dynare/dynare!2070
2022-08-31 11:48:56 +00:00
Stéphane Adjemian (Ryûk)
9301024d71
Do not check steady state if nocheck option used in steady command...
...
In perfect foresight solvers with linear approximation.
2022-08-31 13:12:25 +02:00
Stéphane Adjemian (Ryûk)
e5102eeefd
Bug fix for mode_compute=6.
...
We did not keep track of the first and second order moment when calling gmhmaxlik_core.
2022-08-31 13:06:30 +02:00
9e048c2428
cmaes.m: allow suppressing warning
2022-08-29 13:35:35 +02:00
ba9ca26bf6
model_diagnostics.m: fix options_-name
2022-08-28 13:30:21 +02:00
63469057ca
model_diagnostics.m: use boolean for debug option as block_trust_region expects it
2022-08-11 09:43:30 +02:00
Stéphane Adjemian
20511495de
Merge branch 'load_results_after_load_mh' into 'master'
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load_results_after_load_mh: fix location of file
See merge request Dynare/dynare!2065
2022-08-10 15:10:03 +00:00
905e7c4344
load_results_after_load_mh: fix location of file
2022-08-10 12:55:00 +02:00
3c0f8ec624
bug fixes in error traps in PKF update steps
2022-07-29 16:39:59 +02:00
df09084a89
posterior_sampler_initialization.m: save missing ProposalCovariance for mh_recover
2022-07-28 11:12:18 +02:00
82a2717181
Remove unused metropolis_hastings_initialization.m
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Remnant of refactorization in 4445f17e
2022-07-28 11:03:37 +02:00
ca32be2dcb
Merge branch 'model_diag' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2058
2022-07-27 18:07:12 +02:00
253c87b894
model_diagnostics.m: allow setting tolerance for singularity checks starting with Matlab 2022a
2022-07-27 13:15:29 +02:00
ad97361f67
Fix bug under MATLAB < R2016b introduced in 906062cfe5
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The logic for testing the MATLAB version was incorrect.
2022-07-26 22:36:30 +02:00
6d03a65488
bug fix for smoother_redux and state uncertainty with OCCBIN
2022-07-26 18:07:39 +02:00
f7ea4313b5
Merge branch 'smoother' into 'master'
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Various fixes to smoother output
See merge request Dynare/dynare!2057
2022-07-26 14:33:42 +00:00
88a21cc6d1
Merge branch 'occbin_bug' into 'master'
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fix bug in ambiguity in the first regime stored, between 01 10 and 11.
See merge request Dynare/dynare!2055
2022-07-26 13:33:36 +00:00
2816550290
PKF: get required output if nk=1
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Related to https://git.dynare.org/Dynare/dynare/-/issues/1861
2022-07-26 15:07:23 +02:00
622f831625
Inversion filter: disable unavailable smoother outputs
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Related to https://git.dynare.org/Dynare/dynare/-/issues/1861
2022-07-26 14:43:31 +02:00
9bc71dffde
dynare_estimation_1.m: fix typo
2022-07-26 14:36:25 +02:00
59882e803b
store_smoother_results.m: correctly set input arguments
2022-07-26 14:35:36 +02:00
Willi Mutschler
Sébastien Villemot
Johannes Pfeifer
Stéphane Adjemian (Argos)
Normann Rion
William Gatt
Marco Ratto
Frédéric Karamé