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).
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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)
1cf99b5227
Do not update the database if there is no aux. variables.
2021-12-17 14:21:10 +01:00
Stéphane Adjemian (Ryûk)
b297353b06
PAC decomposition between stationary and non-stationary components.
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The taget in PAC equation can be decomposed into an arbitrary number of components (variables
in the VAR auxiliary model).
TODO Iterative OLS estimation (which is not the preferred estimation routine).
TODO Decomposition in the routine evaluating the forecasts for each component.
2021-12-17 12:17:13 +01:00
Stéphane Adjemian (Ryûk)
f4a7a5430c
Re-implement PAC equations.
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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
Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
901d8355e3
PAC iterative OLS: compatibility fix for Octave < 6
2021-02-04 16:01:30 +01:00
8e9085eea4
PAC NLS estimation: Octave compatibility fix
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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)
a40a940d51
Same as 8aa86a22 in Iterative OLS.
2020-01-06 11:03:58 +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
41c66583ac
Add linear combination support for growth neutrality in Iiterative OLS.
2019-10-08 23:18:40 +02:00
8e1528c1cb
Temporary fix for growth parameter in PAC models
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The preprocessor has been modified to allow linear combinations in the growth
parameter (see Dynare/preprocessor@a0f74f5c16 and
Dynare/preprocessor@d873414728 ).
This commit restores the previous functionality (i.e. it fixes the simple case
where only one parameter/variable is provided for the growth parameter).
The code still needs to be adapted to really handle linear combinations.
2019-09-26 17:35:31 +02:00
e3f1ea7e3c
Added upper bound to error correction parameter.
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Available only for lsqnonlin, fmincon, annealing, and particleswarm algorithms.
2019-07-24 11:21:52 +02:00
6997e0a4a6
Added the possibility to have exogenous variables in the optimal part of PAC.
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Works with iterative ols and nls.
2019-03-08 14:34:41 +01:00
1471b3bfce
Changegd estimator for the exogenous part of pac.estimation.iterative_ols routine.
2019-03-07 12:37:06 +01:00
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.
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Fixes exogenous variables in PAC equation without non optimizing behaviour.
2019-03-06 15:39:00 +01:00
4798c07ced
Avoid infinite loop in pac.estimation.iterative_ols().
2019-03-05 07:21:08 +01:00
d00b57541e
Allow exogenous variables in pac.estimation.iterative_ols routine.
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The parameters associated to these additional variables can be estimated or calibrated.
2019-03-01 23:32:47 +01:00
f07b1e8028
Account for exogenous variables in PAC's RoT part.
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Fixes the iterative_ols estimation of PAC equation when the Rule of Thumbs (non
optimizing) part of the equations contains endogenous and/or exogenous variables.
2019-02-27 15:53:25 +01:00
6500099f4e
Removed debugging display.
2019-02-27 15:08:49 +01:00
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
3bc6b34161
Bug fix.
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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.
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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.
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PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
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Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +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.
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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
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +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).
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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
Sébastien Villemot
Stéphane Adjemian (Ryûk)
Stéphane Adjemian (Charybdis)
Dóra Kocsis
Stéphane Adjemian (Charybdis)
Houtan Bastani
Stéphane Adjemian(Charybdis)