47c51d42cc
added option to compute covariance matrix of coefficient (default = 1)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2405 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-08 09:23:31 +00:00
5f148e90f4
adding PLOT_PRIORS option, no plotting is the new default
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2391 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-03 14:10:16 +00:00
6017007f4f
trunk: fixed dsample command (was broken until now)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2301 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-08 16:19:59 +00:00
2134146033
trunk:
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* removed obsolete global variables "endval_" and "rplottype_"
* removed duplicate initialization of options_.replic
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2295 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-05 15:34:26 +00:00
f58cdcf676
v4.1: Files related to kalman filter (likelihood evaluation of a state space model with or without missing observations).
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* Added a new tolerance parameter specific to the iteration on the riccati equation.
* Added a kalman filter routine allowing for missing observations.
* I do not distinguish anymore models with and without measurement errors (the same m file is used for both models to evaluate the likelihood). For a model without measurement errors H hat to be set to 0 scalar.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2148 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-13 18:54:42 +00:00
2af294a5e6
trunk: removed remnants of dr_algo option
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2118 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-26 16:49:51 +00:00
b4c04a27cc
Added autocorrelogram for the posterior draws.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2017 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-02 10:16:44 +00:00
b5f0fa26ee
Changed default value for options_.trace_plot_ma
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2015 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-02 09:09:36 +00:00
fb3899018e
+ Added trace plots.
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+ Correction of a bug related to ferhat's recent commits (options_.model_mode has to be declared somewhere).
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2013 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-01 11:44:26 +00:00
a9be2e5f13
Added Independent Metropolis Hastings and multivariate student as an alternative to multivariate normal for the proposal distribution. The default posterior sampling algorithm is random walk metropolis with a gaussian proposal distribution.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2009 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-28 13:38:07 +00:00
db50368418
v4 matlab: fixed some existing copyright headers (and some other minor header issues)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1974 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-01 12:40:33 +00:00
bee92a9714
The path to the AIM directory is added by dynare_config.m
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for start, options_.useAIM = 0 is set by default in global_initialization.m so that system uses mjdgges by default.
If AIM is to be used, options_.useAIM = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul.
GP July '08
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1966 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-28 09:46:07 +00:00
c9cf49e30b
options_.nk default is now set to 1
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1963 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-26 14:15:21 +00:00
eeb0bee292
Initialization of the deterministic simulation is made optional. Added an option for homotopic solution to deterministic models (not ready).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1944 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-09 08:47:38 +00:00
b99a83d1be
Moved use_qzdiv in options_ (defined in global_initialization.m), so that we do not have to test the mjdgges file and define use_qzdiv each time dr1.m is called.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1940 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-08 14:29:11 +00:00
27886047cf
* Changed numgrad.m. If fcn(x+h) is not well defined (for instance cost_flag=0 because of BK conditions) we compute the gradient using (fcn(x)-fcn(x-h))/h instead of the original formula (fcn(x+h)-fcn(x))/h.
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* Added function numgrad3.m. This new function uses a three point formula to compute the gradient. By default Dynare uses the two point formula. By setting options_.gradient_method=3 Dynare switches to the three point formula. Note that an input argument has been added to csminwel.
* Added automatic detection of needed constant in dsge-var model (may be problematic is some cases)
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1935 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-07 12:58:13 +00:00
2c8a9d2f60
cleaning diffuse algorithms
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1922 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:48:14 +00:00
a148c0a3f1
undoing changes
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1919 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:38:44 +00:00
36f264a1ca
put back DsgeLikelihood_hh.m that is used by option 5 of the optimizer
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1918 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:15:19 +00:00
341adad2e9
Added new functions for posterior distribution processing (second order moments) + Removed global variables.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1890 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-21 08:33:31 +00:00
dfc1f3c90f
dynare_v4: exploitation of posterior distribution (unfinished)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1877 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-16 10:38:36 +00:00
59c30113c1
v4: added options for homotopy
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1745 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-24 08:56:48 +00:00
8917d41046
Added multivariate student as a proposal distribution for the metropolis hastings.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1743 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-13 08:27:55 +00:00
b453d8c630
header updated
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1593 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-01-16 15:35:02 +00:00
d884d8a397
New features:
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- Implementation of the simulation of the block decomposed model using sparse matrix using MATLAB code:
New option in model : sparse
Example:
Model(SPARSE);
….
End;
- Implementation of the simulation of the block decomposed model using sparse matrix for static model.
- Krylov methods are implemented to solve the linear model J.y=b, with J the Jacobian matrix at each step of the Newton Method. Two Krylov's solvers are considered :
+ Generalized Minimum Residual Method (GMRES)
+ BiConjugate Gradients Stabilized (BICGSTAB)
To call them the SIMULATE command has to be completed with a new option : METHOD which could have three different values :
+ LU : (default value) Sparse LU resolution
+ GMRES
+ BICGSTAB
Example:
simul(periods=100, method=lu);
or simul(method=Gmres);
- Correction of various bugs in “simulate.dll”.
- Correction of simk.m
- Correction allowing a list of VALUES or PERIODS not necessarily separated by a comma.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1447 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-20 23:24:01 +00:00
8204b9abd6
v4 global_initialization.m: added default for options_.dsample = 0
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1442 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-15 13:00:35 +00:00
254a2df272
Correction of a bug in bvar-dsge estimation.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1338 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:32:28 +00:00
188a128446
v4 dynare_MC.m: options_.filter_step_ahead is now empty by default
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1311 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-09 07:49:55 +00:00
85ea921bc1
v4: changed initialization for steady state solver tolerances
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1309 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-08 16:35:05 +00:00
564cf13c2d
options_.mh_recover was not declared (default value is 0)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1305 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-06 12:45:37 +00:00
77d6a24cf7
Adding Markowitz criteria in the linear solver (new option in simul: "Markowitz=val" - with val a strictly positive real)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1298 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-03 22:35:30 +00:00
4cf7281291
v4: bug correction in initialization of engodnous variables
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1189 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-15 11:24:34 +00:00
9f0ce4ac18
Estimation of BVAR models
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1188 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-13 16:38:51 +00:00
4e1122f014
v4: merge changes to dynare_estimation.m
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1183 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-11 12:48:41 +00:00
f9d57f9389
Initialization of options_ in global_initialization (dynare_estimation+stoch_simul)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1161 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-22 16:34:54 +00:00
1497fa98f0
v4: added initialization of options_.ramsey_policy
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1134 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-04 17:03:41 +00:00
77cdcce658
v4: adding Ramsey policy to parser;
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changes to Ramsey policy Matlab code
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1133 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-04 14:42:27 +00:00
ce3a9a76ae
v4: bug around options_.replic
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1085 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-18 07:37:22 +00:00
f34a6fa016
v4: removed forecast option group
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1071 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-14 20:26:38 +00:00
97c4ec9643
v4: making options_ group for forecasting
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1061 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-11 16:00:05 +00:00
bdf036e402
v4 global_initialization: added options
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1021 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-04 16:11:49 +00:00
36dd0274d5
v4 global_initialization.m: changed to dr = []
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@990 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-10-18 15:42:37 +00:00
4dc01acbd6
correction of a bug related to BVAR-DSGE models.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@930 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-22 15:58:43 +00:00
1f56e496b1
v4: corrected osr
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@924 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-21 15:48:01 +00:00
66722531f8
Added the steady state provided by the _steadystate file is checked in steady_
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@914 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-15 14:16:34 +00:00
f998aef46c
v4: correction of computation of variances in models with unit roots
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@912 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-15 12:20:28 +00:00
e2882021d4
v4: various updates to Matlab code
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@871 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-08-24 13:07:26 +00:00
4baff7fdd2
v4: changed oo_.y_simul in oo_.endo_simul
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@849 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-07-31 15:46:55 +00:00
eca3df3338
v4 parser.src: made rplottype an option
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@724 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-04-29 14:29:41 +00:00
161753429a
v4: added global_initialization.m and changed parser accordingly
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@718 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-04-20 08:53:28 +00:00
michel
sebastien
adjemian
george
assia
ferhat