Johannes Pfeifer
781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
aaa7318da4
Add unit test for independent MH
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
969aa44963
Move slice test to separate folder
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
413a264b21
Make read_key_value_string.m compatible with sublists
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
091f94221f
Delete unused TaRB_metropolis_hastings_core.m
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
fad10d63b6
Adjust unit tests to reflect factorization of posterior sampler interface
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
a9fc65fbce
Use steady_state_model block in fs2000_slice.mod
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
c7e8489481
Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function
2016-05-19 14:37:05 +02:00
Marco Ratto
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
Marco Ratto
e5ab7ed992
fixed unknown options warning messages
2016-05-19 14:37:05 +02:00
Marco Ratto
088db78118
Document computation of Inefficiency factors
2016-05-19 14:37:05 +02:00
Marco Ratto
ebe34bc40f
Make display of inefficiency factors use existing table util [thanks to Johannes]
2016-05-19 14:37:05 +02:00
Marco Ratto
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Houtan Bastani
8b85ca19bf
preprocessor: support sub lists in posterior_sampling_opt option, hence removing tarb_optim. #1177
2016-05-19 14:37:05 +02:00
Houtan Bastani
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
Marco Ratto
35a1c7ac17
Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields
2016-05-19 14:34:09 +02:00
Marco Ratto
9c62021d3c
Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot]
2016-05-19 14:34:09 +02:00
Marco Ratto
ab8aa917e3
slice test moved to estimation folder
2016-05-19 14:34:09 +02:00
Marco Ratto
0497943f02
two steps slice sampling with rotation
2016-05-19 14:34:09 +02:00
Marco Ratto
0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
Marco Ratto
6aa65e2a6a
Added test function for slice sampler
2016-05-19 14:34:09 +02:00
Marco Ratto
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
Marco Ratto
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
Marco Ratto
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
Marco Ratto
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
Marco Ratto
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
Marco Ratto
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
Marco Ratto
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
Marco Ratto
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
Marco Ratto
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
Marco Ratto
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
Marco Ratto
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
...
It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
Marco Ratto
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
Marco Ratto
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
Marco Ratto
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
Houtan Bastani
4ea52066b9
preprocessor: simplify a5590f7917
2016-05-19 12:10:19 +02:00
Houtan Bastani
a5590f7917
preprocessor: fix bug in debian compilation
2016-05-19 12:06:53 +02:00
Houtan Bastani
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
Houtan Bastani
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
Houtan Bastani
6b7a77d5a9
preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187
2016-05-18 12:26:19 +02:00
Houtan Bastani
253e6c8dfb
Revert "Revert "preprocessor: add option no_2nd_order_params_derivs. #1187""
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This reverts commit c496d6f5ca
.
2016-05-18 10:34:45 +02:00
Houtan Bastani
42895ce32c
Revert "preprocessor: add params_derivs_order to identification and sensitivity. #1187"
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This reverts commit 6192a6a776
.
2016-05-18 10:33:45 +02:00
Stéphane Adjemian
706351f1a0
Merge pull request #1190 from JohannesPfeifer/dsgevar
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Filter out error code 6 in dsge_var_likelihood.m
2016-05-17 22:36:46 +02:00
Johannes Pfeifer
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
Houtan Bastani
6192a6a776
preprocessor: add params_derivs_order to identification and sensitivity. #1187
2016-05-17 17:18:16 +02:00
Houtan Bastani
4b71593b3c
preprocessor: fix typo
2016-05-17 15:42:23 +02:00