6b113273d3
Added integration tests (Iterative OLS and NLS for PAC equations).
2018-11-21 16:26:38 +01:00
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
524085927d
Removed useless tag (data_type).
2018-10-24 18:45:38 +02:00
dcea7514d9
Merge branch 'master' into ecb-master
2018-10-24 18:31:31 +02:00
de0ed40f14
Updated preprocessor submodule.
2018-10-24 18:27:46 +02:00
8a2c38cf6c
olsgibbs: save fitted values in dataset; allow use of dictionary as in dyn_ols
2018-10-24 17:17:01 +02:00
d5731ce18e
Submodules migrated to git.dynare.org
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(cherry picked from commit 3263fdc9bc
2018-10-24 15:41:43 +02:00
2c890f924a
Removed useless tags.
2018-10-24 14:28:32 +02:00
510bc2e299
Removed unused variable.
2018-10-24 12:08:00 +02:00
1c1a3ea0a4
Removed tests on targets.
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A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
c11cdff2c2
Update preprocessor submodule
2018-10-18 10:58:45 +02:00
3263fdc9bc
Submodules migrated to git.dynare.org
2018-10-16 17:08:59 +02:00
d96740c2ef
Added integration tests (var and pac expectations).
2018-10-14 17:01:02 +02:00
a53c63d6d5
Added routines to print PAC_EXPECTATION and VAR_EXPECTATION in files.
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Each new routine pac.print() and var_expectation.print(), creates two files
that can be included (using the macro language) in a mod file. The first
file, {pac,var}expectationmodename-parameters.inc saved under
{M_.fname}/model/{pac,var}expectationmodel, contains the declaration of the
parameters created for the expanded (var or pac) expectation model, with
calibrated values. The second file, {pac,var}expectationmodename-parameters.inc
saved in the same subfolder, contains the expanded version of the (pac or var)
expectation term as a linear combination of the variables in the companion
representation of the expectatino model.
2018-10-14 16:57:51 +02:00
67e1126bb9
Updated preprocessor submodule.
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Fixes var_expectation with trend_component model. The companion representation of the trend_component
model was not correctly expanded, the diff were not rewritten in levels.
2018-10-14 16:45:49 +02:00
9358a1544b
Updated integration test (trends->targets).
2018-10-10 16:15:31 +02:00
d4bfd6c9f0
Another attempt to fix numerical accuracy issues in integration tests.
2018-10-06 21:44:58 +02:00
e5317b17de
Cosmetic change.
2018-10-06 17:52:58 +02:00
108854a484
Bug fix. verbosity option was not honoured in simplex algorithm (8).
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Thanks to Reuben for reporting.
2018-10-06 17:50:37 +02:00
9a84129707
Added integration for the bayesian estimation of a single equation.
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Uses a Gibbs sampling algorithm.
2018-10-06 16:59:00 +02:00
dfafe86246
Save teh posterior mean of the slope parameters as a column vector.
2018-10-06 16:55:42 +02:00
82187f9d41
Fixed olsgibbs routine.
2018-10-06 16:08:28 +02:00
2d674e0c55
update year in license file
2018-10-05 23:07:28 +02:00
798aaaa968
Cosmetic change.
2018-10-04 23:17:49 +02:00
ee2ad1ee15
olsgibbs: linear regression with Gibbs sampler
2018-10-04 17:12:47 +02:00
57bf291c00
add comment
2018-10-04 17:12:47 +02:00
084b7ac537
Changed optimization algorithm in integration tests.
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fs2000_uncorr_ME_missing was failing on some servers due to a numerical
precision issue. It appears that the problem drops off if the smoothed
variables are computed on another point (given by another optimization
algorithm).
2018-10-04 12:02:31 +02:00
6a847931dc
Dynare computes the excess kurtosis.
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See https://forum.dynare.org/t/simulated-kurtosis-reported-incorrectly/12534
2018-10-03 23:22:33 +02:00
03bd2b73e6
Fixed integration test for the automatic tuning of mh_jscale.
2018-10-03 18:21:16 +02:00
ffb36e5713
Remove obsolete kludges for MinGW
2018-10-02 17:10:36 +02:00
8f6b89ab56
Gitlab CI: include test results at 2nd level of the filesystem hierarchy
2018-10-02 15:51:55 +02:00
24cb1c0719
Provisions for MATLAB R2018b (9.5)
2018-10-01 18:26:03 +02:00
c6a17abc72
Testsuite: suppress MATLAB splash screen when generating .m.tls file
2018-10-01 16:40:26 +02:00
59642c3312
C output of preprocessor now splits generated fcts into several smaller fcts
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Adapt the k-order DLL as a consequence.
2018-10-01 16:13:12 +02:00
ae71599292
Switch to new get_companion_matrix routine.
2018-09-28 19:27:17 +02:00
a680cea095
Fixed integration test for trend component model (equation ordering).
2018-09-28 17:39:14 +02:00
bbbaabc702
Cosmetic change.
2018-09-28 12:26:59 +02:00
11a882d66f
Fixed bug in integration tests (trends-->targets).
2018-09-28 12:23:37 +02:00
76c4df129c
Added integration tests.
2018-09-27 18:58:52 +02:00
3ad654b9b8
Allowing for different number of periods in conditional_forecast_path.
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Updated preprocessor submodule.
2018-09-27 18:58:24 +02:00
39110b3087
Test for analytical_derivatives: use mode_compute=9
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This optimizer seems more robust accross different hardware (with other
optimizers, the algorithm does not converge to a local maximum, e.g. on the
runner "lupi").
2018-09-27 15:05:14 +02:00
feeda74dfb
Remove spurious executable permission
2018-09-27 12:24:57 +02:00
07141a8681
Various optimizations.
2018-09-26 22:51:05 +02:00
7c83ba7ea7
Fixed documentation header.
2018-09-26 22:51:05 +02:00
bd36a0c109
Merge branch 'master' into ecb-master-targets
2018-09-25 15:51:18 +02:00
35aaf24d95
preprocessor: submodule update
2018-09-25 15:49:24 +02:00
973c3955f0
adjust for ‘targets’ keyword instead of ‘trends’
2018-09-25 14:58:36 +02:00
974bcd92ae
Merge branch 'ecb-master' into ecb-master-targets
2018-09-25 14:41:11 +02:00
c6d5b09c29
fix typo
2018-09-25 14:39:48 +02:00
Stéphane Adjemia (Scylla)
Houtan Bastani
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Michel Juillard