Stéphane Adjemian (Ryûk)
735bd66d4d
Remove unused output arguments.
2023-12-18 07:48:27 +01:00
1d5a442fe5
Bump minimal required version of Octave to 7.1.0
...
Incidentally, this means that the JSONlab submodule is no longer needed, so it
is removed in the present commit.
Closes : #1907
2023-11-22 17:46:13 +01:00
715aff891a
Octave 7 fixes bug related to generated files in +package folder
2022-04-15 14:33:02 +02:00
9c79b0d73f
Octave: better workaround for bug 46282
2022-01-25 11:32:08 +01:00
Stéphane Adjemian (Ryûk)
ba7a53b38b
Code factorization (NLS).
2021-12-19 17:14:25 +01:00
Stéphane Adjemian (Ryûk)
8fa8ee8235
Bug fix (wrong dimension for exogenous variables).
...
Also removed the distinction between exogenous and endogenous variables when
replacing variables by columns in the data matrix.
2021-12-17 20:54:28 +01:00
Stéphane Adjemian (Ryûk)
4512000f0f
Display estimation results PAC/NLS.
2021-12-17 20:53:39 +01:00
Stéphane Adjemian (Ryûk)
8c8a2cf0fa
Add trap if SSR is not a real number.
2021-12-17 14:54:58 +01:00
Stéphane Adjemian (Ryûk)
f4a7a5430c
Re-implement PAC equations.
...
This commit only introduce new elements in the Dynare language (adding the
possibility to decompose the target into stationary and non stationary
components) and insure that all the former codes (ie without decomposition of
the target) are still working as expected.
2021-11-24 16:40:35 +01:00
f7149d60cc
NLS estimation: workaround for Octave random failure to read the generated ssr_*.m file
2021-09-23 16:21:25 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
8e9085eea4
PAC NLS estimation: Octave compatibility fix
...
In regular expressions, the end-of-word operator (\>) does not behave the same
under Octave and under MATLAB. See:
https://savannah.gnu.org/bugs/index.php?59992
In this case, we can simply drop the \> operator, since there is no risk of
matching a partial variable name (since there is already “(-1)” at the end of
the pattern).
By the way, remove a useless parenthesis grouping in the regexp.
2021-02-02 17:02:04 +01:00
e26a5e2805
NLS: compatibility fix for Octave and MATLAB < R2014b
2021-01-15 17:42:00 +01:00
Stéphane Adjemian (Charybdis)
8aa86a2244
Save the list of parameter names in pac estimation results (NLS).
2020-01-06 11:03:26 +01:00
d740af10f3
PAC/nls save lhs and fitted variables.
2019-11-25 17:29:45 +01:00
fce51c6cc4
Added R² to PAC NLS estimator.
2019-10-28 16:35:45 +01:00
6a959c4629
Put estimated residuals in a dseries object.
2019-10-28 16:34:56 +01:00
3648ccb8ff
Adjust result output for NLS and Iterative OLS.
2019-10-10 10:10:23 +02:00
3434ec2f9b
NLS estimation of PAC: fmincon now available under Octave
2019-10-09 12:32:26 +02:00
e3f1ea7e3c
Added upper bound to error correction parameter.
...
Available only for lsqnonlin, fmincon, annealing, and particleswarm algorithms.
2019-07-24 11:21:52 +02:00
4d69674874
Partially reverts 1190cab.
2019-03-07 12:31:23 +01:00
1190caba61
pac.estimate.nls: clean up code: remove unused variables, unused output arguments, no need for otherwise in switch
2019-03-07 11:59:59 +01:00
b844bc53a0
pac: fix bugs in output of ec component
2019-03-07 11:44:40 +01:00
9eb64a0b64
Updated preprocessor submodule.
...
Fixes exogenous variables in PAC equation without non optimizing behaviour.
2019-03-06 15:39:00 +01:00
d00b57541e
Allow exogenous variables in pac.estimation.iterative_ols routine.
...
The parameters associated to these additional variables can be estimated or calibrated.
2019-03-01 23:32:47 +01:00
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
3bc6b34161
Bug fix.
...
Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
c829e7968d
If possible define boundaries for the share of optimizing agents in PAC/NLS.
...
The parameter is constrained to be in (0,1) for the following algorithms
- lsqnonlin (without Levenberg-Marquardt)
- fmincon
- annealing
- particleswarm
Other algorithms do not allow the definition of boundaries... We should add a
penality function to the objective for these algorithms.
2018-12-19 16:05:34 +01:00
df57bf7eb9
Fixed bug.
...
PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
2518cd9884
Raise error of an optimization algorithm is not available.
2018-09-13 16:16:07 +02:00
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
...
Default is to use csminwel optimizer (because it seems to do the job and does
not rely on the Mathworks toolbox).
2018-09-13 16:15:52 +02:00
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
...
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00
940c970ff3
Use same range in NLS and Iterative OLS.
...
The range option is the range of data considered for the right hand side variable.
2018-09-04 09:40:47 +02:00
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
42bba08887
Make the code robust to the order of declaration of the estimated parameters.
2018-08-15 22:03:33 +02:00
0edebbe5d7
Added Iterative OLS routine for PAC equation.
2018-07-23 16:12:46 +02:00
cd9410644f
Moved PAC estimation routine (NLS).
2018-07-16 16:30:07 +02:00
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Dóra Kocsis
Stéphane Adjemian (Charybdis)
Houtan Bastani
Stéphane Adjemian(Charybdis)