Stéphane Adjemian (Karaba)
f48566aeae
Fixed prior bounds (according to the doc in master branch).
...
* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
Johannes Pfeifer
79c5e18bfe
Cosmetic changes
...
- Suppresses spurious output from dynare_estimation_1.m
- Removes unset output argument from dynare_estimation_init.m (which seems to be totally unused as it was not set at all and nobody reported any crashes)
- Corrects header of dynare_estimation_init.m
2014-09-19 16:20:43 +02:00
Johannes Pfeifer
8655df67a9
Clean up use of verbosity option
...
- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
Stéphane Adjemian (Scylla)
576ed55dda
Merge branch optimizer_number_5.
2014-09-11 17:38:03 +02:00
Stéphane Adjemian (Scylla)
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
Marco Ratto
f346b734d9
when flag==0 (or options_.hess==0), we force to use the hessian from outer product gradient computed in optimizer == 5.
2014-08-07 17:49:04 +02:00
Stéphane Adjemian (Scylla)
afbd0bd47a
Cosmetic change (added white space).
2014-07-17 22:05:08 +02:00
Stéphane Adjemian (Charybdis)
03975f7d01
Fixed bug (wrong definition of rawdata).
2014-07-09 15:34:53 +02:00
Stéphane Adjemian (Scylla)
d727ba7246
Fixed bug (missing input).
2014-06-23 12:24:36 +02:00
Stéphane Adjemian (Scylla)
b11f6e2505
Adapted code for dsge-var models.
2014-06-23 10:55:08 +02:00
Stéphane Adjemian (Charybdis)
efcf6bd9c0
Use dseries object in the estimation routines.
2014-06-16 17:41:59 +02:00
Stéphane Adjemian (Scylla)
66d08ac3bf
Merge branch 'master' into use-dynSeries
...
Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
Stéphane Adjemian (Scylla)
bb18c9386d
Fixed bug.
...
MCMC convergence diagnostics should be computed even if mh_replic is less than 2000, provided that the total number of iterations is greater than 2000 (if option load_mh_file is used).
2014-02-25 17:26:08 +01:00
Stéphane Adjemian (Scylla)
c57aa43ca8
Bug fix.
...
<M_.fname>_optimal_mh_scale_parameter.mat was not deleted if mode_compute>0.
2014-02-25 15:44:34 +01:00
Johannes Pfeifer
221660dfea
Fix capitalization error in dynare_estimation_1.m that leads to crashes if reached
2014-02-21 19:19:36 +01:00
Stéphane Adjemian (Scylla)
f8543c0a97
Fixed typo.
2014-02-21 12:23:36 +01:00
Stéphane Adjemian (Scylla)
2ee11fa860
Changed the handling of optimization options in dynare_estimation_1.m. Removed calls to strsplit. Closes #605 .
2014-02-03 12:25:29 +01:00
Stéphane Adjemian (Scylla)
63986a0ebf
Closes #567 .
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Scylla)
130125c5da
Changed the error message issued when the initial conditions for the estimated parameters are outside the bounds (the error message depends on the value of options_.prior_trunc).
2013-11-27 12:27:51 +01:00
Stéphane Adjemian (Scylla)
bd630d7210
Removed MC_record field from oo_ structure and the output argument from MCMC routines.
...
Details about the MCMC can be loaded in the workspace with the following command:
>> internals --load-mh-history <NAME_OF_THE_MOD_FILE>
under the name mcmc_informations, or printed in the command window, using the following
command:
>> internals --display-mh-history <NAME_OF_THE_MOD_FILE>
2013-11-26 12:56:41 +01:00
Stéphane Adjemian (Charybdis)
ad0c29262b
Cosmetic. Renamed DsgeVarLikelihood as dsge_var_likelihood.
2013-11-16 23:33:37 +01:00
Stéphane Adjemian (Charybdis)
9238523c26
If a DSGE-VAR is estimated, check that the user do not try to estimate/calibrate correlations between structural innovations and that there is no measurement errors. Closes #521 .
2013-11-16 23:26:19 +01:00
Stéphane Adjemian (Penelope)
0c00151092
Merge branch 'master' into remove-dynDate-class
...
Conflicts:
preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
Sébastien Villemot
ea6ee19402
More Octave compatibility fixes wrt catch
2013-11-08 16:35:52 +01:00
Sébastien Villemot
ecdbc42319
Fix error message when initial values of estimation are not suitable.
...
Ref #512
2013-11-08 16:09:16 +01:00
Sébastien Villemot
179af0e4ab
Octave compatibility fix: catch does not accept an argument
2013-11-08 15:02:30 +01:00
Houtan Bastani
0fdc18e7fb
Merge branch 'ifc'
...
Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
Johannes Pfeifer
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
Stéphane Adjemian (Scylla)
8429321547
Merge branch 'master' into remove-dynDate-class
2013-11-06 12:43:06 +01:00
Sébastien Villemot
a72cc3ff48
Merge remote-tracking branch 'github/master'
2013-11-05 17:17:53 +01:00
Stéphane Adjemian
ead332ed97
Merge pull request #511 from JohannesPfeifer/Correlated_errors_preprocessor
...
Bugfixes for correlated shocks
2013-11-05 07:49:37 -08:00
Sébastien Villemot
8a6e23845b
Merge remote-tracking branch 'jpfeifer/mode_compute'
2013-11-05 16:20:04 +01:00
Johannes Pfeifer
fddee8e1db
Bugfixes for correlated shocks
...
Uses preprocessing capabilities introduced in 07137e804b
Fixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
Johannes Pfeifer
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
...
Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00
Sébastien Villemot
1a8bba6393
Allow a custom function named 'prior' as a value for 'mode_compute' option
...
Closes #507
2013-11-04 15:42:59 +01:00
Stéphane Adjemian (Charybdis)
ddd95361ba
Cosmetic changes. Added isoctave function to replace exist('OCTAVE_VERSION').
2013-11-04 10:54:45 +01:00
Michel Juillard
b81159f12c
adding comments
2013-11-03 11:40:36 +01:00
Johannes Pfeifer
8282e76d61
Add more explicit information in case of singularity problem
2013-10-31 08:14:35 +01:00
Stéphane Adjemian (Charybdis)
1f884db8ea
If TolX is set to any negative number, let cmaes choose the value of TolX.
2013-10-08 16:18:54 +02:00
Stéphane Adjemian (Charybdis)
6a250f894d
Removed interface for H0 (cmaes).
2013-10-08 16:18:00 +02:00
Stéphane Adjemian (Charybdis)
0f12404246
Added interface for some options of cmaes.
2013-10-08 15:53:55 +02:00
Stéphane Adjemian (Charybdis)
334d9976d6
Add interface to the main options of the simpsa optimization algorithm.
2013-10-08 15:18:14 +02:00
Stéphane Adjemian (Charybdis)
60e1d1b75e
Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm.
2013-10-08 12:55:11 +02:00
Stéphane Adjemian (Charybdis)
c7d82e0bf0
Do not print H0.
2013-10-08 11:02:46 +02:00
Stéphane Adjemian (Charybdis)
51be957fb6
Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate).
2013-10-04 16:12:14 +02:00
Stéphane Adjemian (Charybdis)
36e3fb496c
Do not crash if an unknown optimization option is declared (replaced an error by a warning).
2013-10-04 12:17:30 +02:00
Stéphane Adjemian (Charybdis)
05946cd684
Changed names of some options for csminwel (mode_compute=4).
2013-10-04 11:59:35 +02:00
Stéphane Adjemian (Charybdis)
b2db159cdd
Added the possibility to pass options for csminwell (mode_compute=4) through the optim option (in the estimation command).
2013-10-03 12:35:06 +02:00
Stéphane Adjemian (Charybdis)
49989504ea
Cosmetic changes.
2013-10-03 11:06:07 +02:00
Stéphane Adjemian (Charybdis)
62cad6ff44
Cosmetic changes.
2013-10-03 11:01:11 +02:00