Johannes Pfeifer
1d13a5dd02
Make imcforecast.m account for presence of trends
2016-04-09 09:45:21 +02:00
Stéphane Adjemian
056548ba76
Merge pull request #1152 from JohannesPfeifer/headers
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Cosmetic changes to various function headers
2016-04-08 23:29:16 +02:00
Johannes Pfeifer
358ba0181c
Save skewness and kurtosis when simulated moments are requested
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Closes #1157
2016-04-06 09:23:54 +02:00
Michel Juillard
1628f01fdb
fixing problems with Ramsey policy and auxiliary variables
2016-04-04 17:11:03 +02:00
Michel Juillard
70bcef4933
analytic derivation: cleaning up
2016-04-01 18:45:19 +02:00
Michel Juillard
e446aaddb1
analytic derivation: use <fname>_static_params_deriv where needed
2016-04-01 18:45:19 +02:00
Michel Juillard
2313f20a35
completing replacement of auxiliary variables in static model
2016-04-01 18:45:19 +02:00
Johannes Pfeifer
bf5a3ab6da
Add headers to identification routines
2016-03-31 11:20:01 +02:00
Johannes Pfeifer
a93d68fb35
Make evaluate_steady_state.m honor nocheck flag
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Closes #1054
2016-03-25 22:12:52 +01:00
Johannes Pfeifer
16d8ee0c7b
Cosmetic changes to various function headers
2016-03-25 22:05:36 +01:00
Johannes Pfeifer
0669ac4c1c
Adjust verbosity of solvers
2016-03-25 20:14:25 +01:00
Johannes Pfeifer
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
Stéphane Adjemian(Charybdis)
e714dc1a9f
Fixed bug in homotopy.
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Convex combination for initial/terminal endogenous variables paths was wrong.
2016-03-24 22:42:44 +01:00
Stéphane Adjemian (Lupi)
fd850ca5bd
Merge branch 'master' into lik_init_5_fixes
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Conflicts:
doc/dynare.texi
tests/Makefile.am
2016-03-24 17:40:27 +01:00
Johannes Pfeifer
6bca322809
Add check whether real part of complex solution solves the model
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Fixes #896
2016-03-23 21:25:58 +01:00
Stéphane Adjemian(Charybdis)
d3f702f47b
Fixed bug (wrong number of arguments count).
2016-03-23 13:59:10 +01:00
Stéphane Adjemian(Charybdis)
109b57c35c
Fixed typo (misplaced underscore).
2016-03-23 12:24:19 +01:00
Stéphane Adjemian (Lupi)
703cc97421
Merge branch 'master' into johannes-prefiltering_rebased
2016-03-23 11:32:20 +01:00
Johannes Pfeifer
b4f06dd2d6
Account for options_.nk potentially being empty
2016-03-23 10:48:28 +01:00
Johannes Pfeifer
94fe1de08a
Make sure loglinear option correctly set logged_steady_state option for use in stoch_simul.m
2016-03-23 10:48:27 +01:00
Johannes Pfeifer
f597709228
Condition setting of nobs and first_obs on existence of dataset
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Required in identification.
2016-03-23 10:48:26 +01:00
Johannes Pfeifer
c17de9f6b8
Fix accounting for third input argument in dyn_forecast.m
2016-03-23 10:48:25 +01:00
Johannes Pfeifer
14a15ec68b
Make sure options_-field logged_steady_state is correctly set in stoch_simul.m
2016-03-23 10:48:24 +01:00
Johannes Pfeifer
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
Johannes Pfeifer
acd08bba0e
Add means and trends to Bayesian smoother results
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Also adjusts unit test
2016-03-23 10:47:25 +01:00
Johannes Pfeifer
a534b63383
Add constant to filtered and updated ML variables
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Harmonizes treatment across ML and Bayesian estimation
2016-03-23 10:46:29 +01:00
Johannes Pfeifer
f3d7e946e3
Make simult_.m account for logged steady state
2016-03-23 10:36:00 +01:00
Johannes Pfeifer
de4d90f88e
Make sure oo_.logged_steady_state is always correctly set
2016-03-23 10:35:59 +01:00
Johannes Pfeifer
df1c7fce8a
Do not condition handing over of observable index on requesting forecasts
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Already the smoother uses them due to potential trends being present
2016-03-23 10:35:58 +01:00
Johannes Pfeifer
6f8ca74490
Factorize saving of smoother results
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Also takes care of prefilter and loglinear option for calib_smoother
Closes #803 and #804
2016-03-23 10:31:11 +01:00
Johannes Pfeifer
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
Johannes Pfeifer
6a3c2b7b44
Cosmetic changes to forcst2.m and forcst2a.m
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Cleans and documents files
2016-03-23 10:19:42 +01:00
Johannes Pfeifer
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Johannes Pfeifer
d1bbe8f852
Restore backward compatibility with old data interface
2016-03-23 10:10:42 +01:00
Johannes Pfeifer
f64b76f0d3
Move saving of data mean to data initialization instead of posterior computations
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Makes it accessible for other functions that also need it
2016-03-23 10:10:41 +01:00
Johannes Pfeifer
b235040ae1
Fix setting of no-constant option in dynare_estimation_init.m when loglinear option is used
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Setting was based on unlogged steady states
2016-03-23 10:09:17 +01:00
Johannes Pfeifer
e37448faaf
Fix exceptions when prefiltering was requested with loglinear option
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The check for an existing mean was based on the unlogged steady state, resulting in wrong error messages
2016-03-23 10:09:15 +01:00
Johannes Pfeifer
b8377b8de5
Fix constant part of forecasts with loglinear option
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Erroneously, the unlogged steady state was added
2016-03-23 10:09:14 +01:00
Johannes Pfeifer
babcd8b180
Fix merge conflict introduced in a55f00073b
and make naming consistent with changes introduced in that commit
2016-03-22 22:23:27 +01:00
Johannes Pfeifer
5d8bc7188c
Allow detailed exitcode as output of trust_region.m
2016-03-22 21:55:55 +01:00
Johannes Pfeifer
9c8da869f7
Delete redundant computation from trust_region.m
2016-03-22 21:55:54 +01:00
Johannes Pfeifer
300ebd02b0
solve1: Move condition that could never be reached into if-clause
2016-03-22 21:55:52 +01:00
Johannes Pfeifer
1457666221
Only accept steady state when fsolve retuns with normal return code 1
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Otherwise, termination due to tolerance criteria will be accepted as correct steady state
2016-03-22 21:55:51 +01:00
Stéphane Adjemian(Charybdis)
a55f00073b
Manual Merge of branch 'mh_recover' (Johannes)
2016-03-22 18:02:45 +01:00
Stéphane Adjemian
692acc66a7
Merge pull request #1137 from JohannesPfeifer/deterministic_estimation
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Reset seed before drawing starting points of MCMC chains
2016-03-22 16:48:27 +01:00
Stéphane Adjemian
01e5b0943b
Merge pull request #1129 from JohannesPfeifer/debug_ramsey
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Fix number of multipliers added by Ramsey used in evaluate_steady_sta…
2016-03-22 16:33:15 +01:00
Stéphane Adjemian
a3c7cad354
Merge pull request #1131 from JohannesPfeifer/make_
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Replace globals by inputs in make_ex_.m and make_y_.m
2016-03-18 15:10:06 +01:00
Johannes Pfeifer
8e3cb65258
Provide informative error message if EP is used with varexo_det
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Closes #875
2016-03-17 10:30:14 +01:00
Johannes Pfeifer
26c0825b6f
Reset seed before drawing starting points of MCMC chains
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Removes stochastics between different runs while not affecting the subsequent MCMC computations for which the seed is also reset and saved
Closes #1048
2016-03-16 20:09:24 +01:00
Johannes Pfeifer
a28d405f74
Make mh_recover continue at last existing MC file with correct seed
2016-03-16 19:01:59 +01:00
Houtan Bastani
939ac02bad
fix copyright dates
2016-03-15 12:45:57 +01:00
Stéphane Adjemian
5a91b601a2
Merge pull request #1134 from JohannesPfeifer/bvar_mdd
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Save marginal data density from BVAR in oo_
2016-03-15 12:39:10 +01:00
Johannes Pfeifer
6b31363d10
Save marginal data density from BVAR in oo_
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Closes #1090
2016-03-15 11:49:25 +01:00
Michel Juillard
ce6dff1fcc
make gsa consistent with (old) change in use of options_.simul
2016-03-13 10:35:48 +01:00
Johannes Pfeifer
bb08853784
Replace globals by inputs in make_ex_.m and make_y_.m
2016-03-11 16:28:17 +01:00
Houtan Bastani
f60945facc
fix copyright dates
2016-03-11 16:22:42 +01:00
Johannes Pfeifer
af5368e83c
Fix number of multipliers added by Ramsey used in evaluate_steady_state.m
2016-03-11 14:55:11 +01:00
Stéphane Adjemian
e4294ee4fc
Merge pull request #1126 from JohannesPfeifer/mh_nblocks_check
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Check whether at least one MCM chain is requested when using Bayesian…
2016-03-06 21:56:41 +01:00
Johannes Pfeifer
ab6063f2b4
Check whether at least one MCM chain is requested when using Bayesian estimation
2016-03-06 21:19:17 +01:00
Michel Juillard
42ecfa382f
fxing bug in diffuse smoother with missing values
2016-03-06 21:07:50 +01:00
Stéphane Adjemian (Hermes)
f471105a21
Fixed bug (wrong first input argument when calling create_TeX_loader).
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Fixes the error reported by the testsuite on ls2003a.mod.
2016-03-05 21:28:16 +01:00
Stéphane Adjemian (Hermes)
d331cf5a7a
Fixed extended path.
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- Removed call to make_ex_,
- Fill oo_.exo_simul in extended path routine,
- Do not update oo_.exo_simul after the call to the extended path routine,
- Cosmetic change.
(cherry picked from commit 4791649524cc7876fc25d04a925f58a546a3a67d)
2016-03-05 16:24:14 +01:00
Michel Juillard
34e35555d6
fixed bugs when there is a single equation in the model
2016-03-07 21:51:45 +01:00
Stéphane Adjemian (Lupi)
08375e7ba6
Fixed wrong ordering of the hyperparameters when walling the routine for drawing random deviates from the Weibull distribution.
2016-03-04 16:45:06 +01:00
Stéphane Adjemian (Hermes)
472f6c4a1c
Fixed typo.
2016-02-29 15:46:40 +01:00
Stéphane Adjemian (Hermes)
837c812c17
Efficiency changes.
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+ Use scalar product when possible, ie replace sum(x.*x) by x'*x,
+ Add parenthesis around scalar products, ie replace a*x'*x by a*(x'*x),
+ Removed global options_ in lnsrch1 (only used for solve_tolx).
Note that the scalar products could be replaced by a loop for small
problems. If the number of unknow is smaller than 70 the loop is
faster (10 times faster if the number of unknowns is less than 10).
2016-02-26 22:06:49 +01:00
Stéphane Adjemian (Hermes)
87955c61d0
Fixed bug in the routine simulating backward looking non linear stochastic models.
2016-02-26 21:31:50 +01:00
Stéphane Adjemian (Hermes)
a88c7aac34
Updated dseries submodule (Allows regular expressions in subsasgn method).
2016-02-25 16:58:54 +01:00
Houtan Bastani
c386be3fb7
submodule update: reporting (remove strjoin)
2016-02-24 14:41:22 +01:00
Houtan Bastani
458cfc4fc6
preprocessor: initialize xref structure and use indices. closes #1125
2016-02-23 14:32:48 +01:00
Houtan Bastani
710e8ef3a5
fix copyright dates for 2016
2016-02-23 14:04:04 +01:00
Houtan Bastani
6e5f0edd06
Merge pull request #1123 from JohannesPfeifer/Matlab2015b
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Make Dynare compatible with Matlab2015b
2016-02-22 11:27:56 +01:00
Houtan Bastani
10b3a57c7f
reporting: submodule update
2016-02-22 11:03:09 +01:00
Stéphane Adjemian (Hermes)
c3ce3105d8
Updated dseries submodule.
2016-02-19 15:28:22 +01:00
Stéphane Adjemian (Hermes)
01ec055ebd
Updated dseries submodule (bug fixes + new methods).
2016-02-18 10:51:08 +01:00
Stéphane Adjemian (Hermes)
0459d1bcd4
Fixed bug in Weibull prior.
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Fixed inconsistencies in the ordering of the hyperparameters (shape and scale).
2016-02-11 21:35:29 +01:00
Stéphane Adjemian (Hermes)
3c7e60b744
Bug related to the steady state of aux. variables.
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Appears in CMR's model where the steady state of the auxiliary variables
is not correct if set_auxiliary_variables routine is only called once.
Added a debug mode (false by default) to check that the mapping defined
by set_auxiliary_variables routine is invariant.
2016-02-05 00:13:20 +01:00
Stéphane Adjemian (Hermes)
34bc1ab9de
Do not call set_auxiliary_variables routine before evaluating the steady state file.
2016-02-05 00:13:20 +01:00
Johannes Pfeifer
7d051d1161
Make Dynare compatible with Matlab2015b
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Closes #1058
2016-01-29 18:44:05 +01:00
Stéphane Adjemian (Hermes)
c969edcd63
Updated dseries submodule (Allow objects with NaNs in cumsum and cumprod overloaded methods).
2015-12-23 19:42:31 +01:00
Houtan Bastani
f546368252
preprocessor: print reverse references (param->eqs, endo->eqs, exo->eqs, exo_det->eqs)
2015-12-18 17:13:50 +01:00
Houtan Bastani
4976b2b335
preprocessor: add equation cross references
2015-12-18 15:17:32 +01:00
Houtan Bastani
aec2159ea7
submodule update: reporting
2015-12-17 14:17:04 +01:00
Stéphane Adjemian (Charybdis)
846a391eb1
Fixed bug.
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Test the existence of field var_exo in estim_params_. This field does
not exist if one runs a smoother on a calibrated model.
2015-12-15 22:37:08 +01:00
Johannes Pfeifer
f28a7a62bb
Only test non-zero measurement error covariance entries for positive definiteness
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Otherwise, not having measurement error on one variable is not allowed during estimation
2015-12-15 22:37:08 +01:00
Stéphane Adjemian
313ffb5f32
Merge pull request #1116 from JohannesPfeifer/Latex_cosmetics
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Various improvements to LaTeX output
2015-12-15 17:22:00 +01:00
Stéphane Adjemian (Charybdis)
74283c45d2
Added unit test for priordens routine.
2015-12-15 09:14:50 +01:00
Stéphane Adjemian (Charybdis)
adb5a2359d
Cosmetic change.
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Replaced 1/0 by booleans in priordens routine.
2015-12-15 08:45:13 +01:00
Stéphane Adjemian (Charybdis)
944ed4b42b
Fixed bug.
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Forgot to change the name of the routine for the inverse CDF of the
Weibull distribution.
2015-12-14 23:51:50 +01:00
Stéphane Adjemian (Charybdis)
e53f3a67fa
Fixed unit test for prior_draw routine.
2015-12-14 23:50:56 +01:00
Stéphane Adjemian (Charybdis)
29a0765a48
Removed globals from prior_draw routine.
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When initializing the persistent variables, bayestopt_ and
options_.prior_trunc need to be passed as input arguments.
2015-12-14 23:50:56 +01:00
Johannes Pfeifer
e5894c4157
Add eps-loaders to GSA output
2015-12-14 14:09:37 +01:00
Johannes Pfeifer
877b2cbb80
Use longtable for collinearity pattern table
2015-12-14 11:27:00 +01:00
Johannes Pfeifer
4f9b141c76
Add eps-loaders to identification codes
2015-12-14 11:26:33 +01:00
Johannes Pfeifer
9cea813249
Add missing packages to collect_LaTeX_Files.m and manual
2015-12-13 16:57:25 +01:00
Johannes Pfeifer
246ea146d1
Use booktabs package for neater table output
2015-12-13 16:43:25 +01:00
Johannes Pfeifer
aafa3e15b9
Modularize display_estimation_results_table.m
2015-12-13 16:42:52 +01:00
Johannes Pfeifer
df4bc5c5c8
Use TeX-name for caption in shock decomposition graphs
2015-12-13 16:42:20 +01:00
Johannes Pfeifer
482f2bdd2c
Add LaTeX output to Geweke convergence diagnostics
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Also allows for custom header part in dyn_latex_table.m
2015-12-13 16:41:41 +01:00
Johannes Pfeifer
837916f45b
Add LaTeX-capacities for trace_plot.m
2015-12-13 16:40:20 +01:00
Stéphane Adjemian (Charybdis)
88858a1fde
Cosmetic change.
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Use logicals instead of 0/1.
2015-12-11 19:11:47 +01:00
Stéphane Adjemian (Charybdis)
dc1df09519
Fixed bug.
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Wrong number of input arguments when calling gamma_specification.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
f185d15c36
Fixed bug introduced in ed114ee8f047ee823b4dff1fe514ea4b2de180ae.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
4670ecb9d6
Cosmetic changes.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
d1020e6170
Fixed GSA for Weibull prior.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
5834ed4446
Added checks for the input arguments of wblinv routine.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
d676c67f03
Added CDF for the Weibull distribution.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
d9cb5da148
Added unit test.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
32475c90b0
Fixed typo in unit test.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
1a07f95218
Fixed bug in the unit test for the mode of beta density.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
0a4b9bfb3d
Added missing semicolon.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
09498d30eb
Updated header doc.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
3c42f7e362
Added try-catch blocks in unit tests.
2015-12-11 18:50:54 +01:00
Johannes Pfeifer
8c9736f93f
Add unit tests for compute_prior_mode.m
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(cherry picked from commit 7d9c3ee365aba25c131b423596a1446eafd9c6ec)
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
09b4928ca8
Added lower bound as an argument.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
cfefa6951c
Changed inputs of inverse_gamma_specification routine and added unit tests.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
887e44f2b0
Cosmetic change. Removed loop.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
85a4a082ad
Added a routine for computing the hyperparameters of the Beta distribution from the expectation and the variance (with unit tests).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
24848a2ba4
Added a routine for computing the hyperparameters of the Gamma density from the expectation and the variance (with unit tests).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
02d53b5d1d
Use statistics toolbox if available for the Weibull inverse CDF.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
a1aa2bcd6e
Changed second input of prior_bounds routine.
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Do not pass options_ structure but only the required field (prior_trunc).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
a859861e19
Fixed Bug.
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Forgot to rename calls to the routine generating Weibull deviates.
2015-12-04 18:42:26 +01:00
Stéphane Adjemian (Charybdis)
5ef86416bf
Merge branch 'cmr-prior'
2015-12-04 15:06:28 +01:00
Stéphane Adjemian (Charybdis)
5fb1b1cc23
Added Weibull prior.
2015-12-04 14:50:44 +01:00
Houtan Bastani
954e57c421
reporting: submodule update
2015-12-02 12:39:51 +01:00
Houtan Bastani
b7e7d73177
reporting: submodule update
2015-12-01 14:34:26 +01:00
Michel Juillard
9c42ebaa56
fix bug introduced in commit 105100c7fe
2015-11-30 21:31:25 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Michel Juillard
105100c7fe
remove global in dyn_forecast() and change input and output arguments
2015-11-28 17:38:00 +01:00
Michel Juillard
eb3d0cd20e
fix problem with nobs
2015-11-28 17:38:00 +01:00
Johannes Pfeifer
09e03e7a6f
Move closing of file in mode_check.m out of the loop
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Code will otherwise crash with more than one figure to plot.
2015-11-28 14:07:36 +01:00
Johannes Pfeifer
2f010aa5de
Set Filter order for BK-filter in disp_moments.m to more reasonable value
2015-11-28 14:06:56 +01:00
Johannes Pfeifer
0eba93dd71
Add missing input argument in newrat.m to prevent crashes
2015-11-28 14:06:10 +01:00
ferhat
231cf19438
Fix a typo in basic_plan.m
2015-11-27 12:11:42 +01:00
Stéphane Adjemian (Charybdis)
83a6963286
Rewrote get_file_extension.
2015-11-26 20:53:13 +01:00
Houtan Bastani
73313dc5b7
Merge pull request #1107 from FerhatMihoubi/Branch_bytecode_display_and_exogenous_in_extended_path
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Branch bytecode display and exogenous in extended path
2015-11-19 17:09:09 +01:00
ferhat
e555c8181d
Corrections in the way to handle the exogenous
2015-11-19 17:04:56 +01:00
Stéphane Adjemian (Charybdis)
215de7e8dc
Closes #1057 .
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Use a static file with a list of routines to cleared before each run (because they have
persistent variables).This static file (the script
matlab/list_of_functions_to_be_cleared.m) is distributed with Dynare and
needs to be updated for each release (or each time we add/remove
persistent variables). To update the file just do:
>> clear_persistent_variables(DYNARE_MATLAB_PATH, true)
and add/commit the generated file.
2015-11-12 14:38:16 +01:00
Stéphane Adjemian (Charybdis)
dd2cf673d2
Updated the dates submodule.
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The setdiff method can return a second output argument (vector of indices). If A and B are two dates objects, and if setdiff is called with two output argument:
[C, IA] = setdiff(A, B)
then we have:
C = A(IA)
2015-11-11 22:51:25 +01:00
Houtan Bastani
edd275bfcc
Merge pull request #1103 from FerhatMihoubi/Branch_fix_bug_det_cond_forecast
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Fix bugs in det_cond_forecast.m
2015-11-11 18:37:55 +01:00
ferhat
6d7218f9dc
Fix bugs in det_cond_forecast.m
2015-11-11 18:35:41 +01:00
Houtan Bastani
6ee212331f
submodule update: reporting
2015-11-11 15:11:31 +01:00
Michel Juillard
f3ee32690e
fixed bug introduced in commit 660fc6
2015-11-10 09:27:36 +01:00
Michel Juillard
53e9307fe2
modified too big message in evaluate_planner_objective
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Mention the issue in the doc
2015-11-09 09:15:44 +01:00
Michel Juillard
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
Michel Juillard
660fc64471
adding check for model size before computing value of planner objective.
2015-11-09 09:03:55 +01:00
Stéphane Adjemian (Charybdis)
5bccacaaa5
Fixed lik_init=5.
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Missing initialization for the vector of state variables (a) and Zflag.
2015-11-04 22:33:15 +01:00
Stéphane Adjemian
4222269324
Merge pull request #1100 from JohannesPfeifer/initial_check_par_names
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Fix display of parameter names changed during estimation
2015-11-04 14:40:43 +01:00
Stéphane Adjemian
cbfe1e77ce
Merge pull request #1098 from JohannesPfeifer/particle_filter_missing_check
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Filter out datasets with missing values before particle filtering
2015-11-04 14:39:56 +01:00
Johannes Pfeifer
1def4f357a
Fix display of parameter names changed during estimation
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Relied on the wrong ordering
2015-10-28 15:34:14 +01:00
Johannes Pfeifer
1f18a2468b
Deblank field names to prevent crashes during computation of posterior moments
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Necessary after switching to indirect indexing of structure fields
2015-10-23 08:53:23 +02:00
Stéphane Adjemian (Charybdis)
4d573e600d
Cosmetic change.
2015-10-22 16:10:34 +02:00
Stéphane Adjemian (Charybdis)
aabbed0542
Fixed syntax for declaring subfields in oo_ (conditional_variance_decomposition_mc_analysis).
2015-10-22 16:10:34 +02:00
Stéphane Adjemian (Charybdis)
fe0f19dc37
Fixed bug. Wrong size of the state vector...
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When dsge_likelihood enters (because of of a detected singularity) in
univariate_kalman_filter routine with correlated measurement errors.
2015-10-22 16:10:34 +02:00
Houtan Bastani
af0193fe41
submodule update: reporting
2015-10-21 17:50:26 +02:00
Houtan Bastani
ab893696eb
submodule update: dseries
2015-10-21 17:49:48 +02:00
Houtan Bastani
fbe57c0d08
submodule update: reporting
2015-10-21 12:02:49 +02:00
Johannes Pfeifer
554f3df659
Filter out datasets with missing values before particle filtering
2015-10-20 15:49:07 +02:00
Houtan Bastani
713fc3eae8
submodule update: reporting
2015-10-19 15:14:35 +02:00
Stéphane Adjemian (Charybdis)
f8efe5dec0
Updated dseries submodule.
2015-10-19 14:28:20 +02:00
Houtan Bastani
0b04804a73
submodule update: dseries
2015-10-19 11:10:10 +02:00
Johannes Pfeifer
a7ed27b889
Document lik_init=5 and add unit test for lik_init
2015-10-18 18:55:33 +02:00
Stéphane Adjemian (Charybdis)
b01867c47e
Bug fix. Closes issue #1094 .
2015-10-17 17:44:25 +02:00
Stéphane Adjemian (Hermes)
dc20cac3e2
Updated dseries submodule.
2015-10-17 17:43:32 +02:00
Stéphane Adjemian
36992933d2
Merge pull request #1062 from FerhatMihoubi/cond_forecast_and_bytecode
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Allows to compute the extended path and the conditional forecasts wit…
2015-10-16 17:12:54 +02:00
Houtan Bastani
529ccd3773
submodule update: reporting
2015-10-16 15:38:20 +02:00
Houtan Bastani
f5043e11b0
update reporting path
2015-10-16 15:37:39 +02:00
Houtan Bastani
1d3b1ae6c3
submodule update: reporting
2015-10-15 12:33:23 +02:00
Stéphane Adjemian
c477d25fe2
Merge pull request #1086 from JohannesPfeifer/constant_moments
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Save posterior moments even if the distribution is degenerate
2015-10-14 22:15:09 +02:00
Stéphane Adjemian
f12a468bb3
Merge pull request #1085 from rattoma/optimizer_number_5
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enhancements to optimizer 5
2015-10-14 17:33:27 +02:00
Houtan Bastani
f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
Stéphane Adjemian
b4bd896b89
Merge pull request #1087 from JohannesPfeifer/resid_fix
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Remove automatic error from resid.m when steady state does not solve.
2015-10-14 01:12:34 +02:00
Stéphane Adjemian
61abe6dfc7
Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
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Diffuse filter and smoother
2015-10-14 01:09:08 +02:00
Stéphane Adjemian
01329a4e0e
Merge pull request #1084 from rattoma/gsa
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Gsa and identification commits
2015-10-13 23:59:54 +02:00
Stéphane Adjemian (Charybdis)
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
Johannes Pfeifer
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
Houtan Bastani
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Marco Ratto
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
Marco Ratto
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
Marco Ratto
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
Houtan Bastani
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
Johannes Pfeifer
cb3804ab51
Remove automatic error from resid.m when steady state does not solve.
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Closes #573
2015-10-13 13:45:54 +02:00
Johannes Pfeifer
1043a019c2
Save posterior moments even if the distribution is degenerate
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Closes #1024
2015-10-13 11:47:35 +02:00
Marco Ratto
2d59920a70
- systematically check bounds for each parameter during optimization
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- make htol adaptive to each parameter to speed up computations
2015-10-13 11:07:01 +02:00
Marco Ratto
61d6e49dfd
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
2015-10-13 10:45:35 +02:00
Marco Ratto
bc8f546cbb
Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
2015-10-13 10:44:13 +02:00
Stéphane Adjemian
d3eca9338b
Merge pull request #1038 from JohannesPfeifer/kernel_density
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Allow computing posterior kernel density
2015-10-12 23:23:07 +02:00
Johannes Pfeifer
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00
Johannes Pfeifer
38d293b864
Replace globals in disp_th_moments.m by function arguments
2015-10-12 20:42:03 +02:00
Johannes Pfeifer
f7ae5e4f60
Adjust table titles to accommodate new filter options
2015-10-12 20:42:02 +02:00
Johannes Pfeifer
281e87f807
Add simulated variance decomposition
2015-10-12 20:42:01 +02:00
Johannes Pfeifer
a524681e40
Replace globals in disp_moments.m by function arguments
2015-10-12 20:42:00 +02:00
Johannes Pfeifer
9459ff5d8f
Add bandpass filtering to simulated moments
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Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +02:00
Johannes Pfeifer
a4b04ca9b4
Fix UnivariateSpectralDensity.m for filtered variables
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- Adds bandpass filter
- Writes results to oo_
2015-10-12 20:41:59 +02:00
Johannes Pfeifer
25df325899
Add bandpass filter to th_autocovariances.m
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Also adds documentation
2015-10-12 20:41:58 +02:00
Johannes Pfeifer
e9f2be0c1a
Cosmetic changes to UnivariateSpectralDensity.m
2015-10-12 20:41:57 +02:00
MichelJuillard
6d23db41d0
Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
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Check whether steady state file returns column vector
2015-10-12 16:33:29 +02:00
Johannes Pfeifer
8ef96c46ca
Check whether steady state file returns column vector
2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis)
203455d2a1
Updates particles submodule (mainly bug fixes).
2015-10-12 15:51:16 +02:00
Johannes Pfeifer
7ebbc41d8a
Get rid of eval statements by using indirect indexing of structures
2015-10-12 15:36:42 +02:00
Johannes Pfeifer
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
Johannes Pfeifer
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
MichelJuillard
aa894f8613
Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
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Condition check for stochastic singularity on maximum of non-missing …
2015-10-12 09:12:31 +02:00
MichelJuillard
c2565e803f
Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
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Filter out failure of k_order_pert in likelihood computation
2015-10-11 20:45:51 +02:00
Johannes Pfeifer
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
Johannes Pfeifer
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
Johannes Pfeifer
df47be4076
Properly set bounds and H0 for CMAES
2015-10-11 18:21:25 +02:00
Johannes Pfeifer
d513d38f73
Filter out failure of k_order_pert in likelihood computation
2015-10-11 17:55:27 +02:00
Johannes Pfeifer
33aa22a80f
Condition check for stochastic singularity on maximum of non-missing observations
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closes #1071
2015-10-11 10:49:15 +02:00
MichelJuillard
866ab33575
Merge pull request #1042 from JohannesPfeifer/discretionary
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Various fixes for discretionary_policy
2015-10-10 22:25:46 +02:00
MichelJuillard
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
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Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
Michel Juillard
6502c311a0
replaced global timer by local timer
2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis)
18a5eea7e0
Fixed bug in clear_persistent_variables routine.
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The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
2015-10-10 00:21:18 +02:00
Stéphane Adjemian
3490e400bc
Merge pull request #1015 from JohannesPfeifer/model_comparison
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Bugfixes and improvements for model_comparison
2015-10-09 17:11:15 +02:00
Michel Juillard
f7f158f078
Revert "removed global objective_function_penalty_base"
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This reverts commit 5ade8d7c6f
.
2015-10-09 14:23:32 +02:00
Michel Juillard
784b8d893c
Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
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This reverts commit a6f123fd50
.
2015-10-09 14:23:32 +02:00
Michel Juillard
818fa47375
Revert "adding new functions for penalty optimization"
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This reverts commit b9e535e99e
.
2015-10-09 14:23:31 +02:00
Michel Juillard
295eed6118
Revert "adapted dsge-var code for new handling of penalties"
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This reverts commit 3966296aca
.
2015-10-09 14:23:31 +02:00
Michel Juillard
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
.
2015-10-09 14:23:31 +02:00
Michel Juillard
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
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This reverts commit 1ad8df4635
.
2015-10-09 14:23:31 +02:00
Michel Juillard
1a9aa17c9e
Revert "More fixings around objective_function"
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This reverts commit 05cd51111c
.
2015-10-09 14:23:31 +02:00
Michel Juillard
9be5c31761
Revert "More fixing of the same"
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This reverts commit a54dda165f
.
2015-10-09 14:23:31 +02:00
Michel Juillard
063a548bd3
Revert "changed persitent variables into local ones in mr_hessian.m"
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This reverts commit fe077fc710
.
2015-10-09 14:23:31 +02:00
Michel Juillard
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
.
2015-10-09 14:23:31 +02:00
Michel Juillard
a7a3bbef89
Revert "reset newratflag = 0 in dynare_minimize_objective"
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This reverts commit d4cf3576e4
.
2015-10-09 14:23:31 +02:00
Michel Juillard
7202c497de
Revert "removed initialization of mr_hessian()"
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This reverts commit f48a026d89
.
2015-10-09 14:23:31 +02:00
Michel Juillard
f48a026d89
removed initialization of mr_hessian()
2015-10-08 20:57:00 +02:00
Michel Juillard
d4cf3576e4
reset newratflag = 0 in dynare_minimize_objective
2015-10-08 20:57:00 +02:00
Michel Juillard
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
Michel Juillard
fe077fc710
changed persitent variables into local ones in mr_hessian.m
2015-10-08 20:57:00 +02:00
Michel Juillard
a54dda165f
More fixing of the same
2015-10-08 20:57:00 +02:00
Michel Juillard
05cd51111c
More fixings around objective_function
2015-10-08 20:57:00 +02:00
Michel Juillard
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
Michel Juillard
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
Michel Juillard
3966296aca
adapted dsge-var code for new handling of penalties
2015-10-08 20:57:00 +02:00
Michel Juillard
b9e535e99e
adding new functions for penalty optimization
2015-10-08 20:57:00 +02:00
Michel Juillard
a6f123fd50
reducing penalty value to 0.1 when there is no ground to make it proportional
2015-10-08 20:57:00 +02:00
Michel Juillard
5ade8d7c6f
removed global objective_function_penalty_base
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added penalty_objective_function.m and penalty_hessian.m
2015-10-08 20:57:00 +02:00
Stéphane Adjemian (Charybdis)
9131472429
Do not ask for confirmation when deleting a non empty directory (Octave)
2015-10-07 18:13:44 +02:00
Stéphane Adjemian (Charybdis)
c064e9ed5e
Make unit test compatible with Octave.
2015-10-07 17:47:14 +02:00
Stéphane Adjemian (Charybdis)
44c198f3f4
Updated dseries module (fix for csv files).
2015-10-07 11:58:17 +02:00
MichelJuillard
f4e8fc74da
Merge pull request #1068 from JohannesPfeifer/trust_region
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Test for solution before breaking with error code -3 in trust_region
2015-10-06 14:17:25 +02:00
Johannes Pfeifer
934901036b
Test for solution before breaking with error code -3 in trust_region.m
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Fixes #1067
2015-10-06 13:59:59 +02:00
Stéphane Adjemian (Charybdis)
489bffdfd8
Fixed option names for mode_compute=6.
2015-10-06 11:34:56 +02:00
Stéphane Adjemian (Charybdis)
03b92c6387
Added file to clear all functions with persistent variables.
2015-10-06 11:34:56 +02:00
Houtan Bastani
07e29125a2
Revert "Merge pull request #1064 from JohannesPfeifer/trust_region"
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This reverts commit 9cc96b93c0
, reversing
changes made to 1bc965625c
.
2015-10-06 09:52:16 +02:00
Houtan Bastani
51463929d1
reporting submodule update
2015-10-02 16:22:35 +02:00
Stéphane Adjemian (Charybdis)
a42a9a427f
Added a routine to test if a file is older than all the files in a folder (and subfolders).
2015-09-25 23:37:45 +02:00
Johannes Pfeifer
c01352ea3b
Fix exit criterion in trust_region.m
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Otherwise, error code -3 (Trust region became uselessly small) was accepted as a solved steady state
2015-09-25 09:11:47 +02:00
ferhat
7c5272d852
Allows to compute the extended path and the conditional forecasts with bytecode
2015-09-22 15:39:49 +02:00
Stéphane Adjemian (Charybdis)
a911568b37
Updated dseries submodule and reference manual.
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Remove the possibility to instantiate an empty dseries with a range of dates.
2015-09-14 14:07:51 +02:00
Houtan Bastani
268384572b
Merge pull request #1017 from JohannesPfeifer/gsa_fix
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Fix bugs in gsa with morris and posterior sampling
2015-09-09 11:44:49 +02:00
Stéphane Adjemian (Charybdis)
e5e9bdb892
Adding missing exception...
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For cases where a generalized eigenvalue is too close to 0/0.
2015-09-04 11:02:39 +02:00
Stéphane Adjemian (Charybdis)
59618d132e
Do not print warning backtrace when some parameters are not initialized.
2015-09-03 18:31:02 +02:00
Stéphane Adjemian (Charybdis)
267218b5b2
Updated m-unit-tests submodule.
2015-09-01 14:55:23 +02:00
Stéphane Adjemian
edcddd9008
Merge pull request #1037 from JohannesPfeifer/rolling_window
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Add capacities for rolling window estimation
2015-08-31 12:56:02 +02:00
Stéphane Adjemian
ffa281a058
Merge pull request #1043 from JohannesPfeifer/check_matlab_path
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Make check_matlab_path.m able to deal with one-letter files
2015-08-31 09:12:35 +02:00
Johannes Pfeifer
b592987fb4
Base evaluation of linearity at steady state for exogenous variables
2015-08-30 11:56:26 +02:00
Johannes Pfeifer
9e504a1293
discretionary_policy: Add check whether equation number is consistent with declared number of instruments
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Also fixes unit test that violated this.
2015-08-30 11:43:54 +02:00
Johannes Pfeifer
3b64c37cb3
Update information in M_ if discretionary_policy_1.m changes lead_lag_incidence
2015-08-30 11:42:49 +02:00
Johannes Pfeifer
9d90a204f7
Clean up evaluate_planner_objective.m
2015-08-30 11:16:26 +02:00
Johannes Pfeifer
c66ee8941a
Document discretionary_policy_engine.m
2015-08-30 11:14:35 +02:00
Stéphane Adjemian (Charybdis)
d8eff0843f
Updated particles submodule.
2015-08-28 11:20:24 +02:00
Johannes Pfeifer
14e2b6ec67
Make check_matlab_path.m able to deal with one-letter files
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Closes #1040
2015-08-27 15:34:54 +02:00
Stéphane Adjemian
9179d331e0
Merge pull request #1036 from JohannesPfeifer/cosmetics
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Speedup and compatibility
2015-08-27 11:46:16 +02:00
Stéphane Adjemian (Charybdis)
d125c2effc
Fixed bug (wrong syntax for switch, case 5).
2015-08-27 11:37:07 +02:00
Johannes Pfeifer
cc3aeafd00
Save planner objective function with discretionary_policy
2015-08-26 10:00:35 +02:00
Johannes Pfeifer
f5dac58ffc
Remove redundant check whether nobs is empty from dynare_estimation.m
2015-08-25 15:40:44 +02:00
Johannes Pfeifer
f80f0f9258
Add capacities for rolling window estimation
2015-08-25 15:37:25 +02:00
Johannes Pfeifer
26437e1c32
Replace eval by indirect addressing of fields.
2015-08-25 09:45:39 +02:00
Johannes Pfeifer
24a91ab6bc
Replace inline by anonymous functions
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Inline will be removed from future Matlab versions
2015-08-25 09:44:48 +02:00
Michel Juillard
511801c903
finalize svar_global_identification_check
2015-08-24 14:53:27 +02:00
Houtan Bastani
a88d1bd0f8
Merge pull request #1032 from JohannesPfeifer/mode_check
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Add missing fclose to mode_check.m
2015-08-17 14:45:25 +02:00
Johannes Pfeifer
ee66f892ca
Add missing fclose to mode_check.m
2015-08-17 14:42:52 +02:00
Houtan Bastani
e8b894c791
submodule update: dseries
2015-08-17 12:16:21 +02:00
Houtan Bastani
b7b9202672
Merge pull request #1029 from JohannesPfeifer/display_Jacobian
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Fix wrong display type in display_problematic_vars_Jacobian.m
2015-08-17 11:00:25 +02:00
Johannes Pfeifer
6f8000f0f3
Condition test whether varobs was defined on existence of field
2015-08-17 10:48:41 +02:00
Johannes Pfeifer
c322315010
Fix wrong display type in display_problematic_vars_Jacobian.m
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Equation number is a double, not a string.
2015-08-15 11:58:43 +02:00
Johannes Pfeifer
9b6d7dc68a
Make irf_plot_threshold consistent with manual
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IRFs smaller and not smaller equal should not be displayed
2015-08-14 12:36:08 +02:00
Johannes Pfeifer
6e93c83b69
model_comparison: Do not issue warning if all prior densities are 1
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If the user specifies nothing, this is the default, which should not result in a warning
2015-08-13 17:49:15 +02:00
Johannes Pfeifer
a072294cab
Improve documentation for model_comparison.m
2015-08-13 17:49:15 +02:00
Johannes Pfeifer
680625f260
Save results of model_comparison to oo_
2015-08-13 17:48:09 +02:00
Johannes Pfeifer
9651f62aa0
Fix bug preventing selecting modified harmonic mean for model_comparison
2015-08-13 17:48:09 +02:00
Stéphane Adjemian
de9f5cd8e1
Merge pull request #1023 from JohannesPfeifer/posterior_std
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Clarify that oo_.posterior_std comes from mode computing
2015-08-13 16:10:12 +02:00
Stéphane Adjemian (Lupi)
1fa050830b
Manually merged PR #1022 .
2015-08-13 14:49:39 +02:00
Johannes Pfeifer
2476ffdbb9
Add indicator for successful run of MCMC and provide error message if load_mh_file is used with crashed chain
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Closes #917
2015-08-11 14:37:37 +02:00
Johannes Pfeifer
7bdc6de481
Cosmetic improvements in *_mh_history_file
2015-08-11 14:33:45 +02:00
Johannes Pfeifer
698a44c98a
Add option for storing contemporaneous correlation
2015-08-11 11:27:55 +02:00
Johannes Pfeifer
8a09c61adb
Redefine oo_.posterior_std and add oo_.posterior_std_at_mode
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Makes clear that oo_.posterior_std_at_mode comes from mode-finding while oo_.posterior_std comes from MCMC
2015-08-11 11:24:58 +02:00
Johannes Pfeifer
beab158a67
Various cosmetic fixes
2015-08-10 21:35:51 +02:00
Houtan Bastani
6e3a73190f
fix general oo_ conversion function: make recursive, works in both directions, #915
2015-08-07 11:42:33 +02:00
Johannes Pfeifer
df54dcaddb
filt_mc: Fix saving of variables that might not exist
2015-08-06 11:56:56 +02:00
Johannes Pfeifer
ef4200b3c3
Fix compatibility of gsa with new data interface
2015-08-06 11:56:15 +02:00
Houtan Bastani
e13a59eb64
preprocessor: add one_sided_hp_filter to stoch_simul. #1011
2015-08-03 17:34:34 +02:00
Houtan Bastani
d9a1b99899
preprocessor: add bandpass_filter option to stoch_simul. #1011
2015-08-03 17:28:55 +02:00
Michel Juillard
8fb08096b2
fixed bug introduced in commit caa04fb251
2015-07-31 19:37:55 +02:00
Houtan Bastani
f216b9194b
modify version checking files to work with versions with 2 and 3 numbers, #915
2015-07-31 13:46:37 +02:00
MichelJuillard
7567c04421
Merge pull request #1007 from JohannesPfeifer/ml_use_calibration
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Filter out non-fully calibrated model when use_calibration is used wi…
2015-07-31 11:34:28 +02:00
Michel Juillard
caa04fb251
add explicit opts in calls to linsolve to solve a bug in linsolve.m
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for Octave 4.0.0
2015-07-31 11:25:54 +02:00