9b450f1531
preprocessor: var_estimation: remove unnecessary equation specifiers in syntax
2017-05-19 14:58:01 +02:00
17f4310214
preprocessor: fix spacing
2017-05-19 14:58:01 +02:00
85ed9be960
Revert "preprocessor: add options to var_model"
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This reverts commit cbb099f7d9
2017-05-16 11:21:50 +02:00
d5b1e2e317
var_estimation: add datafile option
2017-05-16 10:12:24 +02:00
770b87f056
preprocessor: add var_estimation statement
2017-05-10 17:23:40 +02:00
4d0af0c437
preprocessor: VAR restrictions
2017-05-10 16:25:01 +02:00
63180c9e59
var_model: allow non model-block variables in VAR
2017-05-04 16:15:33 +02:00
c2556cc80e
Merge branch 'master' into ecb-master
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Model inversion of backward looking models.
2017-05-02 23:15:42 +02:00
072246c5ab
Merge pull request #1441 from JohannesPfeifer/ksstat
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Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
451646ff16
Remove redundant ksstat option
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Closes #1431
2017-04-27 11:08:17 +02:00
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
db535236b2
Merge branch 'master' into ecb-master
2017-04-14 11:35:43 +02:00
cbb099f7d9
preprocessor: add options to var_model
2017-04-14 11:21:47 +02:00
14f4544a29
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +02:00
f9a462bf07
Added option nonlinear_filter_initialization.
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Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
1891ab70f8
preprocessor: add options plot_init_date and plot_end_date to plot_shock_decomposition
2017-03-31 14:38:44 +02:00
ac851b0bac
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
12f8e5f512
plot_shock_decomposition: remove argument to steadystate option
2017-03-28 12:15:00 +02:00
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
5e53c7909b
var_expectation: create possibility for h-step-ahead forecast
2017-03-22 09:41:09 +01:00
dfce1ece1e
var_forecast: create individual .m files for each forecast
2017-03-22 09:41:09 +01:00
98a86d341c
var_expectation: first draft
2017-03-22 09:41:09 +01:00
c99aa4aed0
var_forecast: move var declaration from options_ to M_, simplify structure in which it is stored
2017-03-22 09:41:09 +01:00
b8c5dfa472
VAR(p) forecast first draft, preprocessor for var command and backend for forecast
2017-03-22 09:41:09 +01:00
e1033c76b9
Added declaration of observed exogenous variables.
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With integration test.
2017-03-22 09:41:09 +01:00
5282e737e7
preprocessor: add realtime_shock_decomposition statement. #1406
2017-03-21 15:20:32 +01:00
e6f5316b99
preprocessor: fix bug introduced in a4eb8d6b91
2017-03-21 14:07:30 +01:00
a4eb8d6b91
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
9fbef0c107
Removed penalty_hessian routine.
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+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
2017-02-08 13:07:25 +00:00
bfd239aa26
preprocessor: issue warnings for undeclared model variables when the end of the model block is encountered. #1286
2017-01-27 20:36:26 +01:00
da31cca7d4
Fixed bug.
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NO_POSTERIOR_KERNEL_DENSITY option was not modifying the expected field in
options_, consequently this option was no honored.
2017-01-20 17:35:43 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
013043b1dd
ramsey_policy: accept all endogenous variables in var_list_, even auxiliary variables. closes #1355
2016-12-27 14:08:50 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
0f04a0f921
Geweke diagnostics: fix bug in interface that prevents setting the respective options
2016-12-17 17:22:05 +01:00
d5e20752ac
robust_lin_solve: Fix mistakes introduced in 4b83c1bf76
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Interface was still missing and documentation of option was in wrong place in manual and wrong
2016-12-01 17:31:29 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
209f1b4a7c
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
f553f893c6
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
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- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
804d31e8af
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
816b5bb884
Revert "preprocessor: remove maxit, tolf from osr. #1249"
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This reverts commit 86bc3bd435
2016-07-21 11:04:04 -04:00
86bc3bd435
preprocessor: remove maxit, tolf from osr. #1249
2016-07-21 09:46:08 -04:00
ed549d3ba7
preprocessor: add tolx to perfect_foresight_solver
2016-07-21 09:40:19 -04:00
Houtan Bastani
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
MichelJuillard