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288 Commits (74ed99c6cac1df5456f197cea88ca054353c59f1)

Author SHA1 Message Date
Marco Ratto 5bb2b2faad Fixed call to mode_check 2011-11-07 09:12:54 +01:00
Michel Juillard b5ae8356a9 fixing bug for plots of measurement errors 2011-11-02 15:49:02 +01:00
Michel Juillard 0b0c939849 fixing bug with smoother with univariate filters 2011-11-02 14:02:12 +01:00
Michel Juillard 9ac3e7a582 fixing bug when estimating models with a steady state different from 
zero. Introduced in commit bd00dc11d8
 2011-11-01 18:23:12 +01:00
Michel Juillard 7593afff22 fixed issue with dataset_ 2011-10-22 15:29:55 +02:00
Michel Juillard bd00dc11d8 removing 8th output argument of dynare_estimation_init and 
corresponding seemingly useless code
 2011-10-21 22:09:45 +02:00
Michel Juillard 88be4fa3d4 fixing bug in prior_posterior_statistics.m and in recursive estimation 2011-10-21 22:06:09 +02:00
Marco Ratto e7a983797c fixed call to prior_posterior_statistics 2011-10-14 15:48:39 +02:00
Michel Juillard ee7078e56c factoring out steady-state computations; steady_state_model now 
generates <fname>_steadystate2.m returning parameters as well in case
they have been modified by the user. Added several test cases.
 2011-10-12 21:51:14 +02:00
Stéphane Adjemian (Charybdis) e0fa737cee Fixed bug in dynare_resolve (wrong calling sequence introduced in commit #013c599ec92f7d6e5fc3f351a58d9aa5ba401410). 
Removed globals from DsgeVarLikelihood and changed the calling sequence. As in DsgeLikelihood, the penalty is now a
persistent variable.

Added a global structure for the data: dataset_.

Removed globals from dsgevar_posterior_density and mode_check.

Simplification of the clode, definition of the variable objective_function at the top of dynare_estimation_1 (equal
to 'DsgeLikelihood' or 'DsgeVarLikelihood').
 2011-09-22 11:17:31 +02:00
Stéphane Adjemian (Charybdis) c4cfd0c857 Extract input arguments of DsgeSmoother from dataset_ structure. 2011-09-20 16:03:33 +02:00
Stéphane Adjemian (Charybdis) 2512b527bd Fixed bugs related to the new calling sequence for DsgeLikelihood. 2011-09-20 15:56:37 +02:00
Stéphane Adjemian (Scylla) 568cc83633 Changed dynare_estimation_1 conformably with changes in DsgeLikelihood. 2011-09-19 18:10:29 +02:00
Stéphane Adjemian (Scylla) 9c22fc1bde Removed globals from DsgeLikelihood. Still broken. 
Added texinfo header in DsgeLikelihood.
 2011-09-19 16:41:53 +02:00
Michel Juillard a6a5306ada estimation: fixed bug in dsge_var branch of the code 2011-09-18 12:08:33 +02:00
Michel Juillard 3079b7b1f8 reinstated call to describe_missing_data: data_tree is needed for 
univariate Kalman filter
 2011-09-18 10:44:05 +02:00
Stéphane Adjemian (Scylla) e9764d0538 Use a structure for the dataset. Bug fixes. 2011-09-17 15:38:49 +02:00
Stéphane Adjemian (Charybdis) 322adb92a5 Removed global from prior_bounds. Added texinfo header. 2011-09-14 23:41:37 +02:00
Michel Juillard cd1d6ae253 adding mode_compute=prior, initializing variance of proposal at variance of priors 2011-07-24 23:03:31 +02:00
Ferhat Mihoubi bf6853339d dr.order_var is equivalent to M_.block_structure.variable_reordered 2011-06-21 13:20:51 +02:00
Ferhat Mihoubi 3459b08c53 - Corrects the first order approximation of block-decomposed models 
- The block-decomposed models can now be estimated
 2011-06-18 17:43:45 +02:00
Michel Juillard 250c32bfb5 estimation: fixing logic for calling mode_check (thanks to J. Pfeifer) 2011-06-03 14:20:27 +02:00
Stéphane Adjemian (Sedna) ea103ecb84 Do not compute marginal density (Laplace approximation) if options_.cova_compute==1. 2011-05-13 14:56:03 +02:00
Stéphane Adjemian (Sedna) 26a4a011d0 Bug fix related to cova_compute==0 (The reported posterior mode was the prior mode in this case). 2011-05-13 14:35:51 +02:00
Stéphane Adjemian (Sedna) 6302abd7bd Allow empty hessian in mode_check routine (options_.cova_compute==0) 2011-05-13 12:46:55 +02:00
Stéphane Adjemian (Sedna) bd012c458f Fixed bug with option cova_compute. 2011-05-13 12:34:27 +02:00
Stéphane Adjemian (Sedna) 1f236dca66 Added new simplex optimization routine (mode_compute=8). 2011-05-10 14:18:23 +02:00
Marco Ratto 87abc9041c Fixed bug for tex figures. 2011-04-06 12:00:22 +02:00
Michel Juillard 4d5dc228a8 add 'var' restriction to exist() tests (more of the same is needed in other functions) 2011-03-26 20:19:23 +01:00
Michel Juillard f7f100426d bug fixing for mode_compute == 6 2011-03-09 14:43:28 +01:00
Sébastien Villemot f6f96be0a0 Fix bug introduced in previous commit 2011-02-22 10:54:31 +01:00
ratto 8619ec7835 Fixed bug related to dname 2011-02-22 10:12:37 +01:00
Michel Juillard aafa328362 updating dynare_estimation_init.m and using it in dynare_estimation_1.m. Required for GSA. 2011-02-21 11:22:47 +01:00
Houtan Bastani 43479f6ef3 use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time) 2011-02-10 15:54:23 +01:00
Michel Juillard b247c329d8 replaced expressions X == 0 by more efficient and robust isequal(X,0) when X is a matrix 
porting earlier changes from DsgeLikelihood.m to DsgeLikelihood_hh.
cleaning code
 2011-02-09 06:23:27 +01:00
Marco Ratto 7db0dad508 changed default for optimizer = 5 2011-02-08 15:42:38 +01:00
Marco Ratto ad77ce7189 fixed echoes on command window 2011-02-08 15:41:17 +01:00
Sébastien Villemot 757a9067c0 Global reindentation of MATLAB files 2011-02-04 17:17:48 +01:00
Michel Juillard 7fe6d73301 corrected bugs left in previous change set 2011-01-26 21:28:14 +01:00
Michel Juillard f36247ceed modifications to ramsey_policy code to allow for estimation 2011-01-26 21:24:47 +01:00
Michel Juillard a336799b96 corrected bug when mode_compute is a string 2011-01-26 21:24:46 +01:00
Sébastien Villemot 55399a5dc5 Compatibility fix for Octave: under Octave, union() called on a column vector and a scalar returns a row vector, hence the need to add the 'rows' option 2011-01-24 15:34:02 -05:00
Michel Juillard c5310731d9 corrected bug affecting the smoother when called for a selected subset of variables 2011-01-18 19:04:20 +01:00
Michel Juillard f7eb39f7bb bug correction related to smoother 2011-01-13 21:45:09 +01:00
Michel Juillard dcc46959b4 The default for options_.qz_criterium is now different for different contexts: 
qz_criterium = 1+1e-6
- stoch_simul
- osr
- check
- dynare_estimation_1 with lik_init =2 or 3
qz_criterium = 1+1e-6 for dynare_estimation_1 with lik_init = 1

This correct a bug in estimation and computation of the posterior distribution of moments of endogenous variables when the priors permit roots too close to 1.
 2010-12-23 08:34:13 +01:00
Ferhat Mihoubi b356c5e58e add_auxiliary_variables_to_steadystate is compatible with bytecode option 
+ minor corrections in steady_.m
 2010-11-25 16:00:54 +01:00
Stéphane Adjemian (Karaba) 567c5bcb1f Fixed bug in the initialization of the metropolis when mode_compute=6 was previously used (so that we have an optimal mh scale factor) 
and option load_mh_file is used. After the (stochastic) optimization, the optimal value of the scale parameter is saved in a mat file.
 2010-10-18 14:39:48 +02:00
Houtan Bastani a20bc07fdf replace deprecated Matlab function strvcat with char 2010-09-27 16:11:14 +02:00
Michel Juillard f6aace084b corrected bug in the sequence of tasks in dynare_esitmation_1 introduced in 29f9bb9 2010-09-13 21:35:08 +02:00
Stéphane Adjemian (Scylla) b16c56b71c Removed debugging informations display introduced in the previous commit. 2010-09-01 22:23:18 +02:00
Stéphane Adjemian (Scylla) 29f9bb953e Fixed bug related to the mh based approximation of the posterior covariance matrix (used 
for the jumping distribution).
 2010-09-01 22:15:47 +02:00
Michel Juillard 61aca0c915 renamed csminwel() to csminwel1() to avoid name clash with a different version used in SWZ 2010-07-28 15:26:56 +02:00
Stéphane Adjemian (Scylla) be1e0f1b8a Fixed bug for mode_compute=6 in Octave. Added an option to replace waitbar in matlab by 
textbar (as in Octave). The user has to set options_.console_mode before the
estimation command. Cosmetic changes in gmhmaxlik (mode_compute=6).
 2010-06-25 15:03:04 +02:00
Stéphane Adjemian (Scylla) 3aaccc59e3 Changes related to the new interface for the dsge-var models. 2010-06-24 12:53:10 +02:00
Marco Ratto 0f06026c85 1) No exception for mode_compute=5 when computing hessian; 
2) bug fix;
 2010-04-08 17:04:08 +02:00
Michel Juillard f85049e9a6 removed oo_.smoother.integration_order 
removed integration_order (d) from the output arguments of DsgeSmoother. It is still computed by a few Kalman smoother routines. I don't change them now as they need to be rewritten soon.
 2010-04-03 08:00:22 +02:00
Michel Juillard 6a2d2a7b46 smoother deals with all variables in M_.endo_names unless option SELECTED_VARIABLES_ONLY is used 2010-04-02 21:40:50 +02:00
Michel Juillard 7668bc4a11 -new smoother function kalman/smoother/kalman_smoother.m 
-fixing bugs in dynare_estimation_1.m
 2010-03-23 18:17:15 +01:00
Michel Juillard c963fb6c91 Merge branch 'master' of ssh://kirikou.dynare.org/srv/d_kirikou/git/dynare 2010-03-19 20:41:04 +01:00
Michel Juillard 40f1ab7548 computing smoother only for listed variables (start) 2010-03-19 20:40:49 +01:00
George Perendia 5efb7a7ddf added clause in dynare_estimation_1.m to avoid use of kalman smoother and diagnostics if options_.partial_information == 1 2010-03-19 19:17:38 +00:00
Stéphane Adjemian (Karaba) a828c3d2c1 Do not compute the harmonic mean estimator of the marginal density and various posterior 
statistics if options_.mh_replic==0.
 2010-02-11 14:26:30 +01:00
Stéphane Adjemian (Charybdis) 8878c10a75 Added a warning if the user put order>1 as an option in the estimation command. 2010-02-04 10:30:45 +01:00
stepan 696e8ee140 Added a new input argument (epsilon) in gradient routines and csminwel.m. This parameter defines the length of the steps considered 
by numgrad routines to compute the gradient. The default value (defined in global_initialization.m) for this parameter is 1e-6. The
value of epsilon is stored in options_.gradient_epsilon.




git-svn-id: https://www.dynare.org/svn/dynare/trunk@3335 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 16:51:33 +00:00
sebastien 1be52aaa5f Beautification: removed tabulation characters which were left in previous beautification pass 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-05 10:46:10 +00:00
sebastien 502e3e1df8 Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-16 17:17:34 +00:00
sebastien a2cef7009d Fixes for ticket #57 
preprocessor:
* add a field "M_.orig_endo_nbr" containing the nbr of endogenous before adding aux vars
* always provide "M_.aux_vars" (define it to "[]" when there is no aux var)
* rename "M_.aux_vars().orig_endo_index" to "M_.aux_vars().orig_index"

M-files:
* for commands which accept a list of variables (stoch_simul, osr, estimation, dynasave, dynatype, datatomfile), when no variable is given, use only the set of original endogenous (without aux vars) as the default
* when displaying the decision rule, when there is aux vars in the state variables, replace them by their original name (with the right lag)
* in "steady", don't display aux vars
* special exception for ramsey policy: all vars (including aux vars) are displayed, because the system of aux vars from ramsey policy is not compatible with the aux vars from the preprocessor


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3166 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-25 10:22:39 +00:00
stepan 98ac3091c9 Added a vector of indices for the state variables in the restricted state vector (bayestopt_.mf0). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3132 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-06 14:03:50 +00:00
michel add652918e added possibility to call user defined optimizing routine with mode_compute option 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3023 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-06 14:40:49 +00:00
michel ce5c510d06 v4.1: add provision for <modfile>_steady_state.m and auxiliary variables for leads on more than 1 period 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3022 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-06 14:37:23 +00:00
michel 541129c1be v4.1: adding add_auxiliary_variables_to_steadystate.m and code to adjust output of <fname>_steadystate.m for additional auxiliary variables 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3014 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-02 12:10:50 +00:00
stepan a4d01dc31d dynare/trunk:: (dsge-var) 
+ Added support for xls files.
+ Fixed a bug  appearing when the dafa file and the  mod files are not
in the same directory.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2827 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-09 15:03:11 +00:00
stepan 1c5e2df2a0 + Changed compute_moments_varendo so that it can handle prior montecarlo. 
+ Bug fix.
+ Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2766 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-11 23:09:19 +00:00
michel 02c7b204d8 4.1: allow smoother computation when mode_compute=0 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2685 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-23 15:49:00 +00:00
stepan 3dc04fba5f Save intermediary results of the MH-based optimization routine. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2662 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-07 15:20:08 +00:00
michel aa843c739d 4.1: corrected estimation results tables with long parameter names 
added function row_header_width.m


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2570 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-08 20:04:19 +00:00
michel 76080af7ec 4.1: dynare_estmation_1: 
-removed saving of bayestopt_ in *_mode.mat
-added hooks for Gianni Lombardo's optimization routines

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2561 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-06 16:36:08 +00:00
stepan aa31417a05 Efficiency & Cosmetic changes related to the design of bayestopt_ and 
the computation of the prior density.

bayestopt_.p1 is always the prior mean
bayestopt_.p2 is always the prior standard deviation
bayestopt_.p3 is unchanged
bayestopt_.p4 is unchanged
bayestopt_.p5 [new field] is the prior mode
bayestopt_.p6 [new field] is the first hyper-parameter of the prior density
bayestopt_.p7 [new field] is the second hyper-parameter of the prior density
 
These fields are defined in  set_prior and are never changed after. In
the previous version of Dynare,  the hyper parameters of the densities
were  updated at  each iteration  of the  optimization routine  or the
metropolis.

Removed fields pmean and pstdev.

Vectorized the code in priordens.

Fixed the bug mentionned by Gianni. If a (logged) density is evaluated
outside the  prior domain, the  output of priordens if  minus infinity
(instead of a complex number).


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2556 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-06 14:38:37 +00:00
stepan be73652a97 If a dsge-var is estimated, the posterior IRFs are computed for all 
observed endogenous variables. Merge Needed.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2503 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-03-21 22:36:18 +00:00
stepan e75b7f97ab v4.1:: Added an error message when minus the hessian matrix at the posterior 
"mode" is not positive definite.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2416 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-12 17:40:26 +00:00
michel b0ea237ae3 another correction linked to cova_compute 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2408 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-08 16:53:40 +00:00
michel c231868f5b corrected bug in handling of cova_compute 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2406 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-08 15:14:48 +00:00
michel 47c51d42cc added option to compute covariance matrix of coefficient (default = 1) 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2405 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-08 09:23:31 +00:00
michel 4d99d4521a removed mode saving when no computation takes place (added in previous modification) 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2404 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-08 09:16:33 +00:00
michel 73873d7b2c estimation: save bayestopt_ in *_mode.mat file 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2403 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-07 11:26:14 +00:00
stepan 1a9bc8c10d v4.1:: 
+ Removed useless call to check_list_of_variables in dynare_estimation_1.m
+ Removed bayestopt_ global structure from draw_prior_density.m

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2392 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-04 10:44:54 +00:00
michel 5f148e90f4 adding PLOT_PRIORS option, no plotting is the new default 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2391 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-03 14:10:16 +00:00
michel d5a1a025d9 redo code for recursive estimation 
corrected bugs with option prefilter, bayestopt_.mean_varobs is now a column vector

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2369 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-22 21:34:15 +00:00