e174d04579
- New option init_state [options_.shock_decomp.init_state] to compute the shock decomposition conditional to the state variables in period 1;
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- force plot_priors=0
- when grouping shocks, include the residual group Others, since user defined groups may not add up to the smoothed variable.
2017-03-17 12:41:59 +01:00
f27f210654
New utility for changing M_.params only locally
2017-03-17 12:41:59 +01:00
a6f7e02d17
added utilities for optimal distinguishable colors.
2017-03-17 12:41:59 +01:00
06326d4477
Fixed bug introduced in cad7adc01f.
2017-03-16 18:14:23 +01:00
dbffe2a841
Do not check boundaries if the model is not estimated.
2017-03-16 15:50:44 +01:00
cc34e16458
Set temporarily mode_compute and mh_replic to zero if estim_params_ is empty.
2017-03-16 15:45:08 +01:00
cad7adc01f
Added routine for testing if we are currently estimating a model.
2017-03-16 15:03:46 +01:00
5f5c093b2e
Renamed isestimation function + Cosmetic changes.
2017-03-16 15:00:02 +01:00
d0ab90275b
Merge pull request #1402 from JohannesPfeifer/prior_asymptote
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Add warning if prior has an asymptote
2017-03-15 16:33:10 +01:00
1ff816d7bf
Updates particles submodule.
2017-03-15 16:30:29 +01:00
4f3b35acba
Account for Matlab 2017a.
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(cherry picked from commit f3a1619040fbb831830791424015d3d3bf8bdbae)
2017-03-13 23:42:48 +01:00
9f7b084970
Merge branch 'master' into json
2017-03-10 17:20:15 +01:00
87fc09863d
Add warning if prior has an asymptote
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Can happen with beta and gamma distribution. Closes #1401
2017-03-10 15:16:33 +01:00
56edaf5cb0
Fix check for existence of dname variable
2017-03-07 13:55:29 +01:00
5063020c5d
Merge branch 'master' into json
2017-03-03 14:42:25 +01:00
ed3e74994f
preprocessor: add onlyjson option to allow exit upon writing of JSON output. #1387
2017-02-28 14:34:22 +01:00
927b813ed8
Removed printing of debugging info.
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Introduced in ffebf6b262
2017-02-15 13:35:33 +01:00
ffebf6b262
Check positive steady state for loglinear option...
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1e-9 is too far from zero. Set 1e-16 as a threshold value for the positivity test.
2017-02-15 12:41:56 +01:00
9fbef0c107
Removed penalty_hessian routine.
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+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
2017-02-08 13:07:25 +00:00
5b73d7d59c
Added new optimization routine (particleswarm).
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Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
35078e13ee
Completed header + cosmetic changes.
2017-02-08 13:07:25 +00:00
8d4abe4a9f
Cosmetic changes.
2017-02-08 13:07:24 +00:00
e71e89bb38
Added check on Octave version.
2017-02-08 13:07:24 +00:00
d05dd34d30
preprocessor: write JSON output. #1387
2017-02-06 17:41:18 +01:00
62c954ff12
Fixes #1287 .
2017-01-25 22:13:36 +01:00
0b1b873160
Updated dseries submodule.
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Fixes remaining Octave failing unit tests.
2017-01-25 09:18:28 +01:00
875497bc71
Unit test lpdfgweibull.m: adjust upper integration bound under Octave
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Does not correctly integrate otherwise as more than 99% of support is 0
2017-01-18 11:01:13 +01:00
ce4ab7f7d8
Unit test wblinv.m under Octave: adjust tolerance
2017-01-18 10:59:53 +01:00
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
ba9af24a67
Merge pull request #1370 from JohannesPfeifer/updated_variables
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Output UpdatedVariables in oo_ without filtered_variables
2017-01-05 11:50:06 +01:00
4dfec0d7fb
Merge pull request #1369 from JohannesPfeifer/disp_dr_aux_var
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disp_dr: Add case for aux_vars.type==0
2017-01-05 10:44:44 +01:00
77a93d6ff9
Merge pull request #1362 from JohannesPfeifer/MCMC_jumping_covariance
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Moving loading of MCMC_jumping_covariance to after display of standar…
2017-01-05 09:02:59 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
90982d5fa0
Merge pull request #1357 from rattoma/parallel
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Provisions for new node option NumberOfThreadsPerJob. Document option
2017-01-04 23:29:24 +01:00
c893c0620c
Merge branch 'pr#1354'
2017-01-04 15:12:32 +01:00
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
b946d3c082
Merge pull request #1353 from JohannesPfeifer/Plot_posterior
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PlotPosteriorDistributions.m: remove eval commands and fix typo in "m…
2017-01-04 11:20:06 +01:00
e815c2b4db
Output UpdatedVariables in oo_ without filtered_variables
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Makes it consistent with manual and closes #1366
2017-01-04 10:57:00 +01:00
515e080f49
Do not compute static residuals if steady state routine failed.
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Avoids cryptic model dependent error message.
2017-01-04 10:26:22 +01:00
65c402469c
disp_dr: Add case for aux_vars.type==0
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Closes #1367
2017-01-04 09:14:01 +01:00
3c892170ef
Fixed bug with getting CPU number on mac [see #1272 #838 ]
2017-01-03 19:24:18 +01:00
ee7611c8ad
added note to commented text, as an alternate option, should bugs/problems be reported with line 60
2017-01-03 19:15:53 +01:00
7b4fc9ec4a
Moving loading of MCMC_jumping_covariance to after display of standard errors and computation of Laplace approximation
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Closes #1255
2016-12-27 12:07:22 +01:00
d8b0495c77
Make PosteriorIRF.m and pm3.m honor nograph and posterior_nograph option
2016-12-26 13:11:01 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
4ecf1d9f5d
Workaround to avoid popup figures with nodisplay option saved as fig in MATLAB.
2016-12-20 09:14:48 +01:00
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
61ee4e123c
Reset selected_variables_only in shock_decomposition.m
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closes #1350
2016-12-18 09:57:51 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
33d0f44c40
model_diagnostics.m: provide warning that check of dynamic model is not supported for block option instead of crashing
2016-12-17 21:28:04 +01:00
1a8382adfb
OSR: add error indicator and suppress output if noprint options is specified
2016-12-17 19:30:57 +01:00
7254767ccf
Fix bug in osr_obj.m that did not correctly filter out all problems
2016-12-17 19:30:57 +01:00
481bb43fd7
PlotPosteriorDistributions.m: remove eval commands and fix typo in "mearsurement_errors"
2016-12-17 18:20:58 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
c03fa143f7
Fix printout of comment in McMCDiagnostics.m
2016-12-17 17:22:05 +01:00
d6d517c4c9
Move MCMC diagnostics files to separated folder
2016-12-17 17:22:04 +01:00
6fd715a3b8
adding simul_backward and simul_backward_linear
2016-12-05 16:17:14 +01:00
c2d72d2292
fix check of path for octave
2016-12-05 12:28:02 +01:00
f5fb81a758
Correct typos in error message and header
2016-12-01 17:49:06 +01:00
95076d5c72
Fixed initial condition of stochastic simulation of backward looking models.
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Do not initialize with the steady state. Use histval if available,
default initialization is 0 (which may be problematic).
2016-12-01 13:32:54 +01:00
ca1c6ecc0e
Increase test tolerance under Octave for lpdfgweibull.m
2016-11-24 11:50:21 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
73e0f9d591
made evaluate_steady_state file consistent with evaluation of auxiliary
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variables in <fname>_static.m file
2016-11-20 15:40:08 +01:00
e14a215556
put Z back
2016-11-20 11:46:21 +01:00
897af97bff
diffuse filter: fixed bug when nonstationary variables aren't observed
2016-11-20 11:08:07 +01:00
1a978e42df
Fix bug in missing_DiffuseKalmanSmootherH3_Z.m
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Closes #1339 by properly factorizing computations
2016-11-19 10:07:16 +01:00
2f9dc09285
diffuse filter: removed special treatment of static variables
2016-11-18 14:36:24 +01:00
383d891e81
updating extended path notes
2016-11-14 16:42:49 +01:00
46b44cd481
missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
2016-11-14 11:54:39 +01:00
89e0a84327
fix typo from 98cf1bfc1d
2016-11-14 11:08:02 +01:00
80157985c0
Merge pull request #1333 from JohannesPfeifer/octave_unit_test
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Two fixes related to Octave unit test
2016-11-13 19:14:50 +01:00
6e93b1ecbf
Merge pull request #1330 from JohannesPfeifer/resol_fix
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resol.m: make sure oo.dr is correctly updated even if function is abo…
2016-11-13 19:14:23 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
fccd164926
Provide lower tolerance to Octave's quadv function as integration otherwise stops prematurely
2016-11-10 17:33:18 +01:00
454ac69191
allow spaces in the name of working directories for parallel execution.
2016-11-07 17:19:38 +01:00
0a40cdf064
Bud fix for cases where record does not contain proposal covariance.
2016-11-07 17:18:41 +01:00
7b03b8aef4
resol.m: make sure oo.dr is correctly updated even if function is aborted prematurely
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ramsey_policy relies on oo_.dr.ys being set in any case
2016-11-07 11:36:06 +01:00
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
7733903661
Merge pull request #1329 from JohannesPfeifer/singularity_warning
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Add more information to singularity warning
2016-11-04 15:12:07 +01:00
fa8028f79a
Merge pull request #1325 from JohannesPfeifer/dyn_forecast
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Fix bug in dyn_forecast.m that led to crashes when periods-option was…
2016-11-04 15:11:44 +01:00
2e79d5ccac
Add more information to singularity warning
2016-11-04 12:28:01 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
a11e355587
Merge pull request #1327 from JohannesPfeifer/line_break
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Add missing line break in stoch_simul.m
2016-11-03 18:04:10 +01:00
9543f3b3ae
Add missing line break in stoch_simul.m
2016-11-03 18:02:03 +01:00
c9571b794c
Merge pull request #1320 from JohannesPfeifer/var_decomp
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Initialize variance decomposition array to NaN instead of 0
2016-11-03 17:36:22 +01:00
c0e5cc6abf
Merge pull request #1313 from JohannesPfeifer/evaluate_steady_state
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evaluate_steady_state.m: make sure ys contains auxiliary variables in…
2016-11-03 15:30:02 +01:00
0c3065b39b
Posterior IRFs: only plot HPDIs when sufficient draws were generated
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Otherwise a crash during plotting will happen
2016-10-30 18:31:11 +01:00
9bdc0286d6
Fix bug in dyn_forecast.m that led to crashes when periods-option was not specified
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Condition for setting ex did not account for equality of horizon and periods
2016-10-30 10:41:14 +01:00
08617bb740
fix typo
2016-10-28 16:30:43 +02:00
0a2f3f0f10
Merge pull request #1322 from JohannesPfeifer/cosmetic
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Fix typo in comment of dsge_likelihood.m
2016-10-27 17:20:51 +02:00
4502369617
Fix typo in comment of dsge_likelihood.m
2016-10-27 17:15:24 +02:00
f38f9b0268
submodule update: dseries
2016-10-26 12:09:26 +02:00
982fc38504
Updated dseries submodule (fixes for method interfaces).
2016-10-25 11:57:15 +02:00
46cdaf8e0a
fiminsearch only has two output args under Octave
2016-10-21 17:40:27 +02:00
28af4678b2
Updated dseries submodule.
2016-10-21 16:13:48 +02:00
d7fc50796c
submodule update: dseries, m-unit-tests
2016-10-21 15:16:14 +02:00
847feb17fa
fix mex compilation commands for Matlab R2016b on macOS. Closes #1288
2016-10-20 14:03:35 +02:00
9b8a542661
Initialize variance decomposition array to NaN instead of 0
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Because only stationary variables are updated, prevents non-stationary variables from showing up with 0 instead of NaN
2016-10-18 10:52:57 +02:00
084df40535
fix mex compilation commands for Matlab R2016b on Linux. #1288
2016-10-17 18:40:48 +02:00
fa9bbc231e
submodule update: dseries
2016-10-17 12:58:41 +02:00
09669d2a14
submodule update: dseries
2016-10-17 12:37:28 +02:00
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
e80c1e5a24
evaluate_steady_state.m: make sure ys contains auxiliary variables in case of problem with dynare_solve
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Otherwise, evaluate_static_model will crash
2016-10-13 10:50:50 +02:00
05a906fa8b
Merge pull request #1301 from JohannesPfeifer/recursive_plot
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Use raw_data in forecast plots instead of prefiltered data
2016-10-10 09:44:46 +02:00
c41c310cc5
Merge pull request #1310 from JohannesPfeifer/debug_mode
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Make solve_algo=0 less and mode_check potentially more verbose
2016-10-10 09:40:37 +02:00
6b82788180
Display reason for mode_check-problems when debugging is enabled
2016-10-09 22:16:26 +02:00
29d1e80eda
Decrease verbosity of solve_algo=0
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Shuts off display unless debugging is requested. Otherwise, estimation will clutter the screen
2016-10-09 22:15:48 +02:00
83bc67f0c0
Display informative message when the model cannot be solved at the prior mode.
2016-10-07 12:30:47 +02:00
b70bc9433f
pm3: restore Matlab compatibility by loading file into a variable
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In R2016b the variables loaded in the function need to be known in advance
2016-10-06 14:21:25 +02:00
17dec97c4f
Use raw_data in forecast plots instead of prefiltered data
2016-10-05 19:04:13 +02:00
f074c67d59
Merge pull request #1297 from JohannesPfeifer/estimation_fixes
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Bugfixes and cosmetic changes related to estimation
2016-10-04 11:10:12 +02:00
d5233336b5
Make naming in GetPosteriorMeanVariance.m more expressive
2016-10-04 11:00:00 +02:00
b2984f43c9
GetPosteriorMeanVariance.m: fix bug when number of dropped draws coincided with number of draws in file
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In this case, the reported results were NaN
2016-10-04 10:59:01 +02:00
b4e2f38b6c
posterior_sampler_core: condition setting of seed on presence of Octave
2016-10-04 10:58:38 +02:00
7ff6c5b2b7
Cosmetic change to posterior_sampler_initialization.m
2016-10-03 22:10:00 +02:00
bfbd4aa101
Fix header of dyn_autocorr
2016-10-03 21:30:02 +02:00
5f97efe15a
octave: don't check with user when deleting directory
2016-10-03 14:49:21 +02:00
2fe73fafdc
Implement and document keep_kalman_algo_if_singularity_is_detected option
2016-10-02 12:56:28 +02:00
3f907efbcd
initial_estimation_checks.m: Add proper check for stochastic singularity
2016-10-02 12:55:41 +02:00
c68038dfc8
imcforecast.m: make sure qz_criterium is properly set
2016-10-02 10:51:47 +02:00
f553f893c6
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
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- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
1f0c2e3b1c
Make sure that options_.qz_criterium is not affected by calls to dynare_estimation.m
2016-10-02 10:51:47 +02:00
940ff7fb7d
Make sure diffuse_filter triggers qz_criterium>1
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Closes #1215
2016-10-02 10:51:47 +02:00
68bc9cb9bb
Merge pull request #1281 from rattoma/master
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Fixed bug with new harmonized setting of Smoothed Variables, which co…
2016-09-30 16:29:23 +02:00
dc0c67bff5
Merge pull request #1289 from rattoma/shock_decomp
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Bug fix for provisions in shock_decomposition.m to adapt for the new …
2016-09-30 16:24:43 +02:00
acf1cd8600
Revert "bug fix following change in fe7b7819b0. #1280"
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This reverts commit 9b1dc544cb
2016-09-30 16:23:35 +02:00
9b1dc544cb
bug fix following change in fe7b7819b0. #1280
2016-09-30 15:47:26 +02:00
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
9cdd2cc965
add missing semicolon
2016-09-29 12:31:59 +02:00
f5a14cc537
octave: add .mat extension to save command
2016-09-28 16:33:46 +02:00
de13e98791
octave expects the first argument of strmatch to be a string
2016-09-27 16:49:16 +02:00
744b52d362
fix bug introduced in 1c892bb3e9
2016-09-27 15:28:43 +02:00
1c892bb3e9
octave: try to load the needed package before ending with an error
2016-09-27 15:26:59 +02:00
1669b274a2
fixed bug whith recursive estimation and mode_compute=0
2016-09-27 15:11:42 +02:00
2a6b3caa34
when saving, use .mat file extension because Octave doesn’t support it by default
2016-09-26 11:00:41 +02:00
e84e81dd01
fix typo
2016-09-23 18:37:49 +02:00
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
e09b4571d7
osr: fix call to strmatch for octave. Closes #1291
2016-09-23 16:13:30 +02:00
fe7b7819b0
Bug fix for provisions in shock_decomposition.m to adapt for the new syntax on grouping shocks introduced in commit 804d31e8af to close #1280
2016-09-22 18:41:33 +02:00
b50602962d
Account for Matlab 2016b in installer and mex-folder
2016-09-18 16:33:49 +02:00
e536621b95
Changed help message returned by prior CLI command
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Describes option introduced in 5e398559f4
2016-09-14 18:04:01 +02:00
5e398559f4
Added option to CLI prior command.
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>> prior moments(distribution)
Returns the implied prior mean and standard deviation of the asymptotic
expectation and variance of all the endogenous variables.
The draws of the empirical implied prior distribution for these
asymptotic moments are saved under:
M_.dname/prior/draws/M_.fname_endogenous_variables_prior_draws.mat
and can be used to compute other moments or plot implied prior
densities.
2016-09-14 17:41:01 +02:00
919647477e
replace isstring with ischar as isstring is not supported in Octave. Bug introduced in 80049a6d09
2016-09-13 17:34:23 +02:00
dd69e0c751
Fixed bug with new harmonized setting of Smoothed Variables, which contain already steady-state also at the mode without metropolis
2016-09-12 11:48:52 +02:00
7c5a1d8523
Merge pull request #1279 from rattoma/hessian
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make computations around invhess more robust numerically.
2016-09-08 23:22:25 +02:00
bf599ea790
Merge pull request #1274 from JohannesPfeifer/steady_message
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Add missing check for display of results in evaluate_steady_state.m
2016-09-07 15:23:17 +02:00
96bc8133e7
Merge remote-tracking branch 'remotes/origin/master'
2016-09-07 09:34:28 +02:00
5c4f81a26f
Bug fixes for conditional forecast.
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1) apply chol only for non-diagonal covariances
2) fix wrong index for trend.
3) convert internally constrained_vars is in decision rule order.
2016-09-07 09:27:48 +02:00
eae0828a40
make computations around invhess more robust numerically.
2016-09-05 12:16:07 +02:00
a59697352a
Add xlim to rplot.m
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Prevents excessive white space
2016-09-01 13:57:24 +02:00
12d5147093
Replace hline in dyn_latex_table.m by proper booktabs style
2016-08-31 18:26:56 +02:00
c2b9bd1cff
Add missing check for display of results in evaluate_steady_state.m
2016-08-26 18:31:52 +02:00
e61aa1b407
Merge pull request #1273 from JohannesPfeifer/var_exo_det
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Provide informative error message when var_exo_det is used with purel…
2016-08-24 17:08:52 +02:00
5996211356
Provide informative error message when var_exo_det is used with purely forward and backward models (thanks to Stefan Boeters for pointing this out)
2016-08-24 15:05:28 +02:00
c6dc36536d
Add specification check of Ramsey policy to initial_estimation_checks.m
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Related to #1173
2016-08-24 13:32:11 +02:00
582bcb7a8e
Add missing Ramsey error code to dsge_likelihood.m
2016-08-24 13:32:11 +02:00
41a714ee2b
Move check for correct number of instruments to ramsey_policy.m
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No reason to trigger the check in every iteration
2016-08-24 13:32:11 +02:00
1f26aed03d
Condition output of diagnostics in evaluate_steady_state.m on options.debug
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Prevents display during iterations like estimation
2016-08-24 13:32:11 +02:00
eff52f51b7
Ramsey: exit with error code if solver fails at specified tolerance
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Also adds penalty if steady state ventures into complex space
2016-08-24 13:32:11 +02:00
c470e028e1
Ramsey: add check for complex numbers in conditional steady state
2016-08-24 13:32:11 +02:00
01f1abb19a
Provide dedicated maxit option for Ramsey
2016-08-24 13:32:11 +02:00
922410e241
dyn_ramsey_static.m: Cosmetic header fix
2016-08-24 13:32:11 +02:00
f60aec3be3
Fix number of Lagrange multipliers in evaluate_steady_state.m
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Did not account for auxiliary equations
2016-08-24 13:32:11 +02:00
d65a2f855f
Fix display of instrument termination value in evaluate_steady_state.m
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Printed initial instead of terminal value
2016-08-24 13:32:11 +02:00
b94f30c40a
bug fix: accord repmat syntax with that before R2013b
2016-08-24 12:03:07 +02:00
d65f32d550
fix bug introduced in 72e84657a7 re eig args. #1266
2016-08-24 11:31:07 +02:00
3bc6974bd0
Merge pull request #1271 from JohannesPfeifer/license_test
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Add check whether toolbox is installed.
2016-08-23 18:37:06 +02:00
b4d958d706
dynare_solve.m: account for second mcp-solver in solution check
2016-08-23 17:28:41 +02:00
cc81f26f0d
Adjust error message in steady_.m if PATH is selected on Octave
2016-08-23 17:28:41 +02:00
1c070f536a
Add headers to various functions
2016-08-23 17:28:41 +02:00
dfd44c58d6
Fix error messages in get_complementarity_conditions.m
2016-08-23 17:28:41 +02:00
2751ab08bb
Provide interface to original PATH files and document how to obtain them
2016-08-23 17:28:41 +02:00
8f689ce8d2
Correct header of perfect-foresight-models/perfect_foresight_mcp_problem.m
2016-08-23 17:28:41 +02:00
3fc011a1b2
Adjust unit test for stack_solve_algo=7 to actually trigger different algorithms
2016-08-23 17:28:41 +02:00
6d3c73a906
Harmonize tolerance criterion used in evaluate_steady_state.m
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Should be solve_tolf instead of dynatol.f
2016-08-23 17:28:41 +02:00
077917b1f4
dynare_solve: use correct termination criterion with stack_solve_algo=7
2016-08-23 17:28:41 +02:00
9c9e103627
Make csolve compatible with sparse matrices
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Required for stack_solve_algo=7
2016-08-23 17:28:41 +02:00
dea930d329
lnsrch1.m: do not display debugging info for perfect_foresight_solver
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Necessary info does not exist within function to correctly identify problematic variables, leading to crashes with stack_solve_algo=7
2016-08-23 17:28:41 +02:00
38e1ec6b1e
Fixed bug.
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Routine forcst was crashing if at least one of the observed variables,
with measurement error, was not in varlist.
2016-08-23 17:22:41 +02:00
5df056b38f
Fixed bug (conf_sig).
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Use options_.forecasts.conf_sig instead of options_.conf_sig.
2016-08-23 17:22:41 +02:00
dd22b9609e
Add function generate_trace_plots.m that plots trace plots for all estimated parameters
2016-08-23 17:22:41 +02:00
1befd3b515
Make trace plots uniquely identified by adding chain number to save names
2016-08-23 17:22:41 +02:00
08d53206a9
Port textwidth figure format change to dynare_estimation_1.m
2016-08-23 17:22:41 +02:00
894090e6be
Add missing 1 to min operator in TeX_loader
2016-08-23 17:22:41 +02:00
68e32e8e25
map_calibration.m: Remove manual setting of xticks
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Clutters x-axis too much
2016-08-23 17:22:41 +02:00
bf725787e6
Only generate forecast with measurement error if observed variables are requested
2016-08-23 17:22:41 +02:00
eaaa0e5045
Fix TeX-names in GSA when mapping is over all parameters, not just structural ones
2016-08-23 17:22:41 +02:00
0d7d63fe9b
Fix duplicate TeX-label for IRFs
2016-08-23 17:22:41 +02:00
054c9bde76
Fix variable naming in simultxdet.m
2016-08-23 17:22:41 +02:00
0f72e6ed63
Account for measurement error in non-MCMC forecasts
2016-08-23 17:22:41 +02:00
46450c6f1f
Change textwidth depending on number of subplots
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Prevents overblown figures
2016-08-23 17:22:41 +02:00
7050cab9c9
Consider measurement error for uncertainty bands in Bayesian estimation
2016-08-23 17:22:41 +02:00
daa9d15c75
Improve readability of plots generated by pm3_core.m
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- Do not plot zero axis if plots are not centered around it
- Limit decimal points of yticks
2016-08-23 17:22:41 +02:00
84ab37fd7a
Remove globals from forcst.m
2016-08-23 17:22:41 +02:00
424050f380
Make sure IRFs only have full periods as xticks
2016-08-23 17:22:41 +02:00
73afe7d02f
Change fixed LaTeX figure width into \textwidth scaling
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Improves readability
2016-08-23 17:22:41 +02:00
9a3414f652
Add missing deblank to conditional_variance_decomposition_mc_analysis.m which crashes otherwise if variables have different name length
2016-08-23 17:22:41 +02:00
de383a263e
Prevent TeX_binder from including itself
2016-08-23 17:22:41 +02:00
5b60ffa0f7
Option fast_kalman_filter is also available with kalman_algo=0.
2016-08-22 23:31:02 +02:00
73d0a82267
Add comment on logic of singularity testing in univariate_kalman_filter_d.m
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
8dc96cafa4
If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
fa3a71bcae
Make warning message in dynare_estimation_1.m more informative
2016-08-22 19:24:35 +02:00
75e52ed71d
Make sure fast_kalman_filter is only used with diffuse_periods=0
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Closes #1234
2016-08-22 19:24:35 +02:00
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
20e5d76d54
Fix missing negation in check for fast Kalman filter
2016-08-22 19:24:35 +02:00
36ccec75ce
Add missing constant 2*pi to missing_observations_kalman_filter_d.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
f61453211c
Correct header of missing_DiffuseKalmanSmootherH3_Z.m and make sure H is vector
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
f95619b46a
Add header info to univariate_kalman_filter.m
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
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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
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
8aaca040b3
Expand check of fast_kalman_filter for presence of block-option
2016-08-22 19:24:35 +02:00
bffea9b426
Fix error code for inf-likelihood
2016-08-22 19:24:35 +02:00
e939d51d58
display_problematic_vars_Jacobian.m: Fix bug where exogenous variables in dynamic Jacobian were not accounted for Prevents crashes in debug mode
2016-08-22 19:24:35 +02:00
ed22b6c4f8
Make datatomfile.m datafiles save name of creator and date
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
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
55e20aab1f
Delete unused passing of file in posterior_sampler.m
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Ports 919645d30e2361fb4c960ee78e42d401ad3d95ba to master
2016-08-22 16:27:32 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
d27bbe667f
Merge pull request #1230 from JohannesPfeifer/load_mh_file
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Save chain's proposal density and make load_mh_file and mh_recover load it
2016-08-21 16:12:12 +02:00
912409a71c
Merge pull request #1268 from JohannesPfeifer/dynare_solve_error_message
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Remove error-display from dynare_solve.m
2016-08-21 16:07:35 +02:00
e7b8222144
Updated header of dynare_solve.m
2016-08-21 11:47:52 +02:00
14ab41e414
Move debugging information removed in 335ce74acb to evaluate_steady_state.m where it belongs
2016-08-21 11:45:11 +02:00
335ce74acb
Remove error-display from dynare_solve.m
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Prevents estimation crashing when invalid starting values for steady state computation arise during e.g. mode-finding
2016-08-21 11:44:18 +02:00
4d8295afdf
Cosmetic fixes to display_problematic_vars_Jacobian.m
2016-08-21 11:28:47 +02:00
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
cc5cafdd15
Merge pull request #1254 from JohannesPfeifer/log_density_save
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Save log_density at the mode and document oo_.posterior-fields
2016-08-21 11:13:19 +02:00
0ebef17df2
fix shocks_decomposition bug introduced in commit 75d699cbfa
2016-08-21 11:11:19 +02:00
4750eb64ff
Merge pull request #1269 from JohannesPfeifer/eig_R2014a
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Condition use of eig to compute left eigenvector on Matlab version
2016-08-21 09:54:47 +02:00
72e84657a7
Condition use of eig to compute left eigenvector on Matlab version
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Functionality is only supported in Matlab from 2014a/8.3 onwards. Closes #1266
2016-08-20 20:43:20 +02:00
Marco Ratto
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer
Michel Juillard
Michel Juillard