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110 Commits (7dd2dd5e24a343fbeaf3522ea5e535c27d8b9f95)

Author SHA1 Message Date
Houtan Bastani 89828e56cc preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925 2015-05-19 12:31:22 +02:00
Johannes Pfeifer 3dee87c243 Fix crash in unit test fs2000_smoother_only 
For calibrated models, the param_vals field does not exist
 2015-04-20 16:45:51 +02:00
Johannes Pfeifer 27403fb2dd Add check whether initial prior is Inf 
Requires adding fourth output argument of priordens.m that stores position of problematic parameter.
 2015-04-01 16:30:46 +02:00
Johannes Pfeifer a7f380d8c0 Condition check for changed parameters on whether parameters are estimated in the first place 
Fixes crash in master unit test
 2015-03-01 13:36:21 +01:00
Houtan Bastani ca83397d95 update copyright dates for files changed in 2015 2015-02-16 09:08:02 +01:00
Johannes Pfeifer 8320a39e61 Add check whether steady state file during estimation overwrittes parameters to be estimated. 
This might lead to wrong results and should be checked for.
 2015-02-11 12:58:36 +01:00
Stéphane Adjemian (Charybdis) fc3e1b2108 Merge remote-tracking branch 'fred@github/master' 
Conflicts:
	matlab/initial_estimation_checks.m
	matlab/utilities/tests
 2014-11-28 16:53:44 +01:00
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 127b7b0221 Add check for NaN parameters to initial_estimation_checks.m 
Provides important info to debug cryptic crashes in later routines. Mostly applies to cases where people run estimation without stoch_simul
 2014-09-25 09:02:36 +02:00
Frédéric Karamé b06b6a6161 Modifications for online estimation of linearly-solved models 2014-08-29 15:51:01 +02:00
Stéphane Adjemian (Charybdis) efcf6bd9c0 Use dseries object in the estimation routines. 2014-06-16 17:41:59 +02:00
Johannes Pfeifer a9292c5086 Add warning if prior allows for negative variances and if negative estimated variances are encountered. Closes #522 
Due to the use of variances for Sigma_e and subsequently backing out the standard deviation from these variances, the sign of the standard deviation does not matter and no bound needs to be imposed.
 2014-02-04 18:59:28 +01:00
Johannes Pfeifer 66b72e817e Fix bug in test for stochastic singularity 2013-07-28 16:59:41 +02:00
Stéphane Adjemian (Charybdis) 8574dfd053 Adapted print_info routine. 2013-06-12 10:54:33 +02:00
Marco Ratto b1dd7a5137 Allow quicker evaluation of likelihood with analytic derivatives. 2012-08-21 15:46:35 +02:00
Stéphane Adjemian (Charybdis) 1763855225 Consider the effective number of structural innovations in initial_estimation_checks routine. Some of the declared structural innovations may have been calibrated with a zero variance. 2012-06-14 15:32:15 +02:00
Michel Juillard 3ff832ddcc added test for too large standard deviation in beta distribution; 
cleaned up error messages related to priors; set error trap for
initilial likelihood Nan or complex
 2012-06-13 15:47:01 +02:00
Sébastien Villemot 1f9cea669a Update copyright notices 2012-06-08 18:22:34 +02:00
Marco Ratto 32c6c50d9c Fixed optimizer = 5 for dsge-vars and all other cases that do not allow computing the outer product of gradient (non-linear optimizers as well). 2012-05-31 14:42:52 +02:00
Stéphane Adjemian (Charybdis) 6103500543 Fixed bug related to the position of the info argument returned by non_linear_dsge_likelihood. 2012-05-04 11:36:27 +02:00
Marco Ratto da9ec0f187 Estimation with analytic scores and hessian; 
This includes re-setting the list of output arguments in objective functions
Added test function
 2012-04-29 21:18:33 +02:00
Marco Ratto 3332a7f794 Get rid of dsge_likelihood_hh.m in mode_compute=5 2012-04-29 21:18:33 +02:00
Michel Juillard a35e0cb3e3 fixed bug in initial estimation checks when mode_compute == 5 2012-03-31 11:01:32 +02:00
Stéphane Adjemian (Charybdis) 9cc4661942 Fixed bug in initial_estimation_checks + Cosmetic changes. 2012-03-30 11:12:59 +02:00
Michel Juillard 111347469f adding comment explaining initialization of persistent variable 
penalty in dsge_likelihood.m and dsge_likelihood_hh.m Removed misleading
initialization code. Added call to dsge_likelihood_hh in
initial_estimation_checks to initialize persistent variable in that
function as well.
 2012-01-09 21:23:17 +01:00
Stéphane Adjemian (Charybdis) ecac871435 Changed the name of DsgeLikelihood (-> dsge_likelihood). 2011-12-26 17:46:48 +01:00
Michel Juillard ee7078e56c factoring out steady-state computations; steady_state_model now 
generates <fname>_steadystate2.m returning parameters as well in case
they have been modified by the user. Added several test cases.
 2011-10-12 21:51:14 +02:00
Stéphane Adjemian (Charybdis) e0fa737cee Fixed bug in dynare_resolve (wrong calling sequence introduced in commit #013c599ec92f7d6e5fc3f351a58d9aa5ba401410). 
Removed globals from DsgeVarLikelihood and changed the calling sequence. As in DsgeLikelihood, the penalty is now a
persistent variable.

Added a global structure for the data: dataset_.

Removed globals from dsgevar_posterior_density and mode_check.

Simplification of the clode, definition of the variable objective_function at the top of dynare_estimation_1 (equal
to 'DsgeLikelihood' or 'DsgeVarLikelihood').
 2011-09-22 11:17:31 +02:00
Stéphane Adjemian (Scylla) 7fd6b3efc0 Fixed typo. 2011-09-19 17:51:03 +02:00
Stéphane Adjemian (Scylla) ebc08c6d6a Fixed bug related to the names of the matlab's structures. 2011-09-19 17:18:40 +02:00
Stéphane Adjemian (Scylla) 9c22fc1bde Removed globals from DsgeLikelihood. Still broken. 
Added texinfo header in DsgeLikelihood.
 2011-09-19 16:41:53 +02:00
Houtan Bastani 43479f6ef3 use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time) 2011-02-10 15:54:23 +01:00
Sébastien Villemot 02652f6eb8 Updated copyright notices 2011-02-04 17:27:33 +01:00
Sébastien Villemot 757a9067c0 Global reindentation of MATLAB files 2011-02-04 17:17:48 +01:00
Michel Juillard c71e0fbd6b removing test about correlated data in initial checks before estimation: this condition is too restrictive. 2011-01-21 17:04:01 +01:00
Ferhat Mihoubi b356c5e58e add_auxiliary_variables_to_steadystate is compatible with bytecode option 
+ minor corrections in steady_.m
 2010-11-25 16:00:54 +01:00
Stéphane Adjemian (Scylla) 3aaccc59e3 Changes related to the new interface for the dsge-var models. 2010-06-24 12:53:10 +02:00
sebastien 1be52aaa5f Beautification: removed tabulation characters which were left in previous beautification pass 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-05 10:46:10 +00:00
sebastien 502e3e1df8 Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-16 17:17:34 +00:00
sebastien a2cef7009d Fixes for ticket #57 
preprocessor:
* add a field "M_.orig_endo_nbr" containing the nbr of endogenous before adding aux vars
* always provide "M_.aux_vars" (define it to "[]" when there is no aux var)
* rename "M_.aux_vars().orig_endo_index" to "M_.aux_vars().orig_index"

M-files:
* for commands which accept a list of variables (stoch_simul, osr, estimation, dynasave, dynatype, datatomfile), when no variable is given, use only the set of original endogenous (without aux vars) as the default
* when displaying the decision rule, when there is aux vars in the state variables, replace them by their original name (with the right lag)
* in "steady", don't display aux vars
* special exception for ramsey policy: all vars (including aux vars) are displayed, because the system of aux vars from ramsey policy is not compatible with the aux vars from the preprocessor


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3166 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-25 10:22:39 +00:00
michel ce5c510d06 v4.1: add provision for <modfile>_steady_state.m and auxiliary variables for leads on more than 1 period 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3022 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-06 14:37:23 +00:00
michel 541129c1be v4.1: adding add_auxiliary_variables_to_steadystate.m and code to adjust output of <fname>_steadystate.m for additional auxiliary variables 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3014 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-02 12:10:50 +00:00
stepan 5f8de6f142 + Added error messages related to the output of the steadystate file. 
+ Removed options_ from print_info.m
+ Removed some useless initializations of options_'s fields.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2786 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-25 08:30:27 +00:00
michel eba6164cae fixing bugs around missing observations and starting to add smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:31:37 +00:00
adjemian 09e32240bd v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 13:40:40 +00:00
adjemian 348345843b Bug correction (missing parenthesis). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2027 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-03 12:02:29 +00:00
adjemian 0f24420d69 Added a test to warn the user when he tries to estimate a model with non zero steady state (for the observed endogenous variables) using demeaned data (ie prefilter=1). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2023 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 20:50:30 +00:00
sebastien db50368418 v4 matlab: fixed some existing copyright headers (and some other minor header issues) 
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
michel fe54c7ca07 adding functions and fixing bugs for diffuse filter 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1924 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 12:53:24 +00:00
sebastien 75fb140b5c v4 matlab+preprocessor: 
* removed global variables from "static" and "dynamic" files (in standard and USE_DLL modes only)
* added extra arguments when those functions are called from M-files


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1859 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-06-06 14:01:02 +00:00
assia 9152bbbc48 header updated 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1630 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-01-21 12:17:46 +00:00
adjemian d9f56bfde9 Add the possibility to estimate a BVAR-DSGE with a dsge prior weight equal to infinity (the user just have to calibrate dsge_prior_weight to Inf). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1407 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-10-03 14:40:43 +00:00
michel e62027a296 v4 initial_estimation_checks: added a check for *_steadystate.m accuracy 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1403 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-10-01 11:53:28 +00:00
michel 638ec1779e v3+v4: corrected display of initial value of log posterior 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@926 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-21 19:47:36 +00:00
adjemian 9e266024f8 Added : No constant for estimation of nonlinearly specified models with detrended data, BVAR-DSGE (not ready). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@911 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-13 12:39:23 +00:00
michel e2882021d4 v4: various updates to Matlab code 
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
michel ab16c4d181 v4 initial_estimation_check: update to conform v3 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@868 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-08-10 14:33:14 +00:00
adjemian 07d09ed858 Correction of bugs related to the steady state computation for estimation. Added a new optimization routine (mode_compute = 6). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@806 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-06-28 17:35:05 +00:00
michel 71df1c6aa1 v4, initial_estimation_checks.m: test number of shocks and not number of estimated shock variances 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@472 ac1d8469-bf42-47a9-8791-bf33cf982152
 2005-10-01 11:44:45 +00:00
michel 9a9872fd33 dynare_v4 from CVS 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@8 ac1d8469-bf42-47a9-8791-bf33cf982152
 2005-02-18 19:54:39 +00:00