Stéphane Adjemian (Ryûk)
0d092a36a0
Acknowledge option trust_region_initial_step_bound_factor in matlab based trust_region routine.
2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk)
e72dde69d3
Add option for trust region algorithm (mex).
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trust_region_initial_step_bound_factor is determinining thye initial
step bound. Default value is 100 (previous hard coded value was 1).
2021-07-23 19:44:16 +02:00
Sébastien Villemot
b34be496c5
Merge branch 'evaluate_planner' into 'master'
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evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
See merge request Dynare/dynare!1890
2021-07-23 14:01:22 +00:00
Sébastien Villemot
5d5fefca25
Bump version numbers
2021-07-23 15:57:19 +02:00
Johannes Pfeifer
440a0e460b
Storage of results: use subfolder
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Ref. #1758
2021-07-23 14:12:17 +02:00
Johannes Pfeifer
e09d215964
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
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Also cosmetic changes to indentation
2021-07-23 13:27:30 +02:00
Sébastien Villemot
263e97dabe
Merge branch 'check_model' into 'master'
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check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks
Closes #1792
See merge request Dynare/dynare!1885
2021-07-23 10:49:05 +00:00
Johannes Pfeifer
3d5601caec
check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1792
2021-07-23 11:25:43 +02:00
Sébastien Villemot
41814becf1
Merge branch 'moments_varendo' into 'master'
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dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...
Closes #1769
See merge request Dynare/dynare!1888
2021-07-22 16:25:01 +00:00
Sébastien Villemot
baa0fb6e70
Preprocessor update: cosmetic change
2021-07-22 17:58:19 +02:00
Johannes Pfeifer
4d43e1850d
dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance: only do computations once
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1769
2021-07-22 17:03:27 +02:00
Sébastien Villemot
3206ea9684
Merge branch 'evaluate_planner_objective' into 'master'
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Streamline evaluate planner objective
See merge request Dynare/dynare!1887
2021-07-22 14:42:22 +00:00
Johannes Pfeifer
a517c1f1de
neo_growth_ramsey_k_order.mod: call evaluate_planner_objective
2021-07-22 15:20:30 +02:00
Johannes Pfeifer
66dcef2754
k_order_welfare.cc: remove gratuitous screen output
2021-07-22 15:12:59 +02:00
Johannes Pfeifer
11c75592fb
evaluate_planner_objective.m: compute required moments directly
2021-07-22 15:01:15 +02:00
Sébastien Villemot
8b8f919a0f
Merge branch 'smoother2histval' into 'master'
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Improvements for smoother2histval
See merge request Dynare/dynare!1886
2021-07-22 12:03:59 +00:00
Johannes Pfeifer
3fb41e075f
Matlab implementation of the consider_all_endogenous_and_auxiliary option
2021-07-22 13:12:27 +02:00
Johannes Pfeifer
a04c348d73
smoother2histval.m: provide warning when smoothed variables are missing
2021-07-22 12:22:18 +02:00
Sébastien Villemot
0e793faeb2
Merge branch 'pf_options' into 'master'
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Particle filter: enable passing of option values and prepare for other samplers
Closes preprocessor#59
See merge request Dynare/dynare!1884
2021-07-22 09:50:10 +00:00
Johannes Pfeifer
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
Sébastien Villemot
dc45ac6361
Merge branch 'master' into 'master'
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occbin fixes and two small new features
See merge request Dynare/dynare!1883
2021-07-21 18:21:16 +00:00
Sébastien Villemot
8881f0ecf9
Windows package: bump dependencies
2021-07-21 20:18:36 +02:00
Marco Ratto
4caebd76c9
added 2 new occbin.simul options (defaults preserve current behavior):
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1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
2021-07-21 18:03:23 +02:00
Stéphane Adjemian (Ryûk)
cd2ed823b6
Fix constant in VAR and PAC expectations...
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When the VAR auxiliary model has a constant.
2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk)
a69f68bb7c
Modify companion matrix if VAR model has a constant.
2021-07-21 18:02:04 +02:00
Marco Ratto
ebdfcc80ec
fixed bug introduced in 229282a1c4
2021-07-21 17:59:01 +02:00
Marco Ratto
c48f737633
make header names compatible with earlier versions of MATLAB (e.g. it would crash with MATLAB 2017b)
2021-07-21 17:51:05 +02:00
Marco Ratto
85e35b1654
1) if not using relaxation, initial guess regime in verify step(occbin simul) is set equal to the guess regime used to updated states and shocks
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2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
2021-07-21 17:51:03 +02:00
Marco Ratto
d3e5e7b8ef
Initialize state space matrices with occbin smoother, when realtime regimes are computed, otherwise they are set to 0 for t<first_period_occbin_update!
2021-07-21 17:51:00 +02:00
Marco Ratto
bec52fe731
with occbin smoother do not overwrite updated variables that have been already computed with reduced state space
2021-07-21 17:50:58 +02:00
Sébastien Villemot
1d5d46e150
Windows package: bump to Octave 6.3.0
2021-07-21 17:32:02 +02:00
Sébastien Villemot
4c94da514e
CI: bump to Octave 6.3.0
2021-07-21 17:29:12 +02:00
Sébastien Villemot
1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1882
2021-07-21 16:42:00 +02:00
Sébastien Villemot
6b70846c58
Merge branch 'occbin_test' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1881
2021-07-21 16:38:44 +02:00
Sébastien Villemot
a142907e44
Particles / Alternative samplers: header fixes and indentation
2021-07-21 16:37:56 +02:00
Sébastien Villemot
ad390be3c7
Preprocessor update
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— Fix preprocessor crash when a [static] equation contains a “var_expectation” operator
– Occbin: handle external functions in “occbin_constraints”
— Occbin: add more sanity checks on expressions in “occbin_constraints” block
2021-07-21 16:35:48 +02:00
Johannes Pfeifer
944bf2b68e
occbin: work with non-demeaned data and in constraints
2021-07-21 13:42:38 +02:00
Johannes Pfeifer
ac3f04c2ff
borrcon*.mod: nostrict option is not needed anymore
2021-07-20 22:38:21 +02:00
Sébastien Villemot
c4e1d1e802
Occbin: new syntax for constructing multi-regime equations
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Ref. #569
2021-07-20 18:19:19 +02:00
Sébastien Villemot
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
Sébastien Villemot
d5c35e3664
Occbin: fix function header
2021-07-19 15:30:54 +02:00
Sébastien Villemot
d995df9b6d
Merge branch 'occbin_license' into 'master'
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license.txt: correct Occbin license information
See merge request Dynare/dynare!1880
2021-07-19 12:43:31 +00:00
Johannes Pfeifer
a349942797
license.txt: correct Occbin license information
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[skip CI]
2021-07-19 13:28:44 +02:00
Marco Ratto
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
Stéphane Adjemian (Ryûk)
54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations.
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Ref. #1785
Just add option `structural` to the `var_model` command.
2021-07-16 10:25:18 +02:00
Stéphane Adjemian (Ryûk)
547b7aef45
Activate integration test for NLS estimation.
2021-07-15 17:39:41 +02:00
Stéphane Adjemian (Ryûk)
1d60c271d7
Add trap if equation has leads.
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NLS estimation does not work if the equation has expected variables.
2021-07-15 17:36:02 +02:00
Stéphane Adjemian (Ryûk)
4b7a0ee29e
Change definition of islaggedvariables.
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Previous definition could detect lags in an equation without any lag, for
instance if we have the following expression in the RHS: +(-1)*x.
2021-07-15 17:31:55 +02:00
Stéphane Adjemian (Ryûk)
14bc82b287
Add single equation estimation by NLS.
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Ref. #1798 .
See example in tests/estimation/example_nls.mod.
2021-07-15 16:55:49 +02:00
Sébastien Villemot
b7b1b38e3b
Merge branch 'complex_data' into 'master'
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initial_estimation_checks.m: error out if data is complex
See merge request Dynare/dynare!1879
2021-07-15 08:34:23 +00:00