Sébastien Villemot
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
Marco Ratto
22e0b9cc3d
1) fixed bugs when no estimated parameters are declared;
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2) fixed bug for the ML base (bayestopt_.pshape==0);
3) make more transparent the error when the model does not solve at prior_mode or prior_mean;
4) when prior_mean or prior_mode fail, try 50 times with randomly generated samples from the prior before interrupting identification.
This commit fixes issues related to fabiac forum request and subsequent discussion with Johannes.
http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4402&p=10771&hilit=identification&sid=64c6f9d987a2641e79dd5722137eb483#p10771
2013-03-19 16:56:10 +01:00
Marco Ratto
e835c7d945
Bug fix: graphic options are not passed to global options_ (for the next release try to skip the use of the global here).
2012-10-02 08:59:49 +02:00
Houtan Bastani
12af7298ef
ms-sbvar: remove unused field removal statements (and set options_.datafile='' in global_initialization)
2012-09-27 15:32:33 +02:00
Marco Ratto
a7ba2b51e7
Trap error when the model does not solve for point estimation (prior mean-mode posterior mean-mode)
2012-08-24 17:09:13 +02:00
Marco Ratto
80a9ac90f0
Fixed random bug of MC identification test, occurring when there is no solution at the very first iteration of the MC loop.
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(cherry picked from commit 906bf8e02feb8370153bc6407bf95d2592be3cc2)
2012-07-15 22:21:10 +02:00
Marco Ratto
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
Marco Ratto
98c809c54e
Further on nograph: moved printed output when advanced=1 from plot_identification to disp_identification.
2012-06-15 13:45:26 +02:00
Marco Ratto
fd24b93667
fixes around options nograph and nodisplay
2012-06-15 13:07:26 +02:00
Sébastien Villemot
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
Sébastien Villemot
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
Marco Ratto
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
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2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
Johannes Pfeifer
4c255cf2ae
Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures.
2012-04-25 11:47:40 +02:00
Marco Ratto
d4723038be
1) fixed infinite loop
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2) fixed names of sylvester functions
2012-04-04 16:43:44 +02:00
Marco Ratto
3ca9485edd
bug fix when calling gsa
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set default order=1
set analytic derivation =1
2012-04-04 10:35:18 +02:00
Michel Juillard
7408714ea1
added dname as argument to CheckPath function and changed all calls to
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this function. Suppressed use of globals in CheckPath.
2011-12-15 17:35:27 +01:00
Michel Juillard
ec0af45fc8
further fixes to gsa testsuite; make gsa compatible with Linux
2011-12-09 20:55:02 +01:00
Marco Ratto
3367014970
Identification is made compatible with octave.
2011-10-27 13:09:26 +02:00
Marco Ratto
697ddc0a72
Aligned routines with recent changes in dataset and identification.
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Fixed ls2003.mod for testsuite
2011-10-24 18:45:12 +02:00
Marco Ratto
c6a9650d20
Adapt identification routines after new dynare estimation commits.
2011-09-28 20:48:47 +02:00
Marco Ratto
e3485e8929
Changes around normalizing Jacobians:
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-) never use normalization for SVD and brute force covariance checks;
-) Jacobians are normalized for checking the rank condition: this should allow for more uniformity in results across models.
2011-09-01 11:18:24 +02:00
Houtan Bastani
d4d25d82d9
preprocessor: add identification option lik_init
2011-06-23 11:13:35 +02:00
Marco Ratto
a96bad899d
Fixed bug of ~ in output list for non recent versions of matlab.
2011-06-21 09:43:24 +02:00
Marco Ratto
756594fdc4
changed default ar=1 and perform automatic increase of ar if this is not sufficient
2011-06-15 23:47:27 +02:00
Marco Ratto
664d17ba24
Fixes related to ML syntax (no prior definition).
2011-06-06 16:09:55 +02:00
Marco Ratto
0605396815
Force options_.nomoments=0; to be sure moments analysis is performed properly. Thanks to Johannes Pfeifer.
2011-06-06 15:28:46 +02:00
Marco Ratto
7f9fa6c15b
Small mug fix + changed calls to plotting utility.
2011-05-30 14:39:27 +02:00
Marco Ratto
d31b2218ff
Added extended info for advanced identification analysis with Monte Carlo.
2011-05-10 10:10:42 +02:00
Marco Ratto
7ae824b184
Fixes related to new options: gsa_sample_file and parameter_set + minor changes.
2011-05-04 10:39:30 +02:00
Marco Ratto
a5559bb016
eliminated obsolete commented lines;
2011-05-02 11:15:25 +02:00
Marco Ratto
9791d3adda
Redesigned function following:
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-) new options;
-) new utilities identification_analysis, plot_itentification and identification_checks;
-) fixes related to load_ident_files;
2011-05-02 11:14:29 +02:00
Marco Ratto
6b71b6800d
-) remove useless burn-in iterations;
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-) removed obsolete commented lines or unused variables;
-) when Asymptotic Hessian is available, take SVD of that for identification patterns;
-) when computing analytic Hessian, scores are not necessary (no_DLIK=1);
-) fixes in output info when Hessian is available.
2011-04-15 15:28:58 +02:00
Marco Ratto
25afd56163
Bug fixes around analytic scores for identification.
2011-04-12 18:18:18 +02:00
Marco Ratto
498d5ed698
Fixed bug when only one series is observed and analytic scores are computed.
2011-04-12 17:38:06 +02:00
Marco Ratto
d0d04065e6
Merged from 4.2 branch commits:
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9747cb78940f41ba3d6c262b2e77a0aa01576d3d
730100282f17974d86510a9ebbaad735f27c46ba
* 1) bug fixes: non-initialized ide_strength when no param is identified; normaliz1 set to one when prior std is inf; HIGHEST SVD bar fixed (wrong singluar values were plotted).
2) Simplified advanced output (no more multicollinearity and pair-wise correlations!).
3) Beautified output of collinear groups of variables.
4) use of sensitivities normalized with std errors.
2011-04-12 12:08:14 +02:00
Marco Ratto
32eff62af6
1) provisions for analytic scores and asymptotic Hessian provided by Nikolai Iskrev
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2) several fixes and improvements in dynare_identification.m:
-) provide more info for strength of identification (relative to prior)
-) more drastic warning off
-) print info from ident_bruteforce.m
2011-03-18 11:05:40 +01:00
Michel Juillard
87e4125fa4
put *_params_derivs.m and identification code in conformity with additional steady state argument in *_dynamics.m
2011-03-14 11:40:40 +01:00
Marco Ratto
917b8e5285
Fixed bugs, clean-up and some more commenting of identification routines
2011-02-28 16:55:21 +01:00
Houtan Bastani
8a0dabd07d
use || and && as opposed to | and & where appropriate
2011-02-16 15:14:38 +01:00
Sébastien Villemot
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
Sébastien Villemot
757a9067c0
Global reindentation of MATLAB files
2011-02-04 17:17:48 +01:00
Marco Ratto
70400e5e84
Modifications following meetings in Paris (not yet completed 100%):
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1) new default option for prior_mc = 1;
2) new option: advanced (default=0). If advanced=0, simple messages and plots; advanced=1 shows all details about weak identification diagnostics;
3) new option: periods (default=300). Length of stochastic simulations to generate simulated moments for 'GMM type' analysis of strength of identification;
4) new option: replic (default = 100). Number of replicated simulated moments for 'GMM type' analysis of strength of identification;
5) new feature: allow local identification analysis WITHOUT defining priors, using parameter values as defined in the .mod file definition.
6) simplified graphical and tabular output.
2010-09-29 16:12:48 +02:00
Stéphane Adjemian (Scylla)
bc155fd0df
Changed calling sequence of prior_draw.m.
2010-09-03 15:23:05 +02:00
Marco Ratto
52e9e9aef7
1) fix of boxplots when two nparams =2;
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2) default useautocorr = 0;
3) new option prior_range;
4) normalized Jacobian for weak identification;
5) more complete options load_ident_files.
2010-03-09 08:54:16 +01:00
Marco Ratto
bb06ec430a
1) relaxed schur_vec_tol
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2) warning off divde by zero
3) better figure layout
2010-02-23 10:47:43 +01:00
ratto
7a743a9594
Added partial correlation plots for reduced form model and moments;
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warning of for the loop of normalized sensitivities;
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3389 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-27 14:02:56 +00:00
ratto
3f8bc2b2a1
Added steady state to derivatives of LRE form.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3387 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-26 16:48:45 +00:00
michel
ce7af53855
v4.2: changed vech functions names to avoid conflict with other toolboxes
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vech.m -> dyn_vech.m
unvech.m -> dyn_unvech.m
diag_vech.m -> dyn_diag_vech.m
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3375 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-23 16:55:28 +00:00
ratto
cda0f571b4
Added first order moments
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Added LRE analysis for trivial no-identification
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3360 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-15 09:57:05 +00:00
sebastien
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
ratto
b8bc96c8e6
Adapted to follow preprocessor syntax.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3056 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-20 15:13:15 +00:00
ratto
6e25472ad9
1) save output plots;
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2) modified burnin_iteraton for pdraw0 in input;
3) minor changes.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3033 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-09 08:22:01 +00:00
ratto
081cdf3cb0
Cleaner comments of work in progress ...
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3001 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-30 13:28:47 +00:00
ratto
4cb2692e7d
-) Delete old files;
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-) commented work in progress
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2996 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-29 13:00:54 +00:00
ratto
869d054174
New version with
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-) more complete data saving on disk;
-) new output arguments;
-) new plots.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2995 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-29 07:11:47 +00:00
ratto
2645113760
stock parameters and small bug fix
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2983 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-24 17:25:31 +00:00
ratto
290ea0d24e
Added iload option;
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A and B computed here
compute sensitivities
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2981 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-24 17:18:39 +00:00
ratto
89a71d5596
copyright notices added
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2966 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-24 08:24:32 +00:00
ratto
df921ce829
New identification routines.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2963 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-24 07:34:21 +00:00