MichelJuillard
6e93b1ecbf
Merge pull request #1330 from JohannesPfeifer/resol_fix
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resol.m: make sure oo.dr is correctly updated even if function is abo…
2016-11-13 19:14:23 +01:00
MichelJuillard
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
Johannes Pfeifer
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
Houtan Bastani
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
Johannes Pfeifer
fccd164926
Provide lower tolerance to Octave's quadv function as integration otherwise stops prematurely
2016-11-10 17:33:18 +01:00
MichelJuillard
2f29d6b616
Merge pull request #1331 from rattoma/slice
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bug fixes around slice sampler and parallel execution
2016-11-08 09:22:38 +01:00
Marco Ratto
454ac69191
allow spaces in the name of working directories for parallel execution.
2016-11-07 17:19:38 +01:00
Marco Ratto
0a40cdf064
Bud fix for cases where record does not contain proposal covariance.
2016-11-07 17:18:41 +01:00
Johannes Pfeifer
7b03b8aef4
resol.m: make sure oo.dr is correctly updated even if function is aborted prematurely
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ramsey_policy relies on oo_.dr.ys being set in any case
2016-11-07 11:36:06 +01:00
Stéphane Adjemian (Charybdis)
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
Johannes Pfeifer
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
Stéphane Adjemian
7733903661
Merge pull request #1329 from JohannesPfeifer/singularity_warning
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Add more information to singularity warning
2016-11-04 15:12:07 +01:00
Stéphane Adjemian
fa8028f79a
Merge pull request #1325 from JohannesPfeifer/dyn_forecast
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Fix bug in dyn_forecast.m that led to crashes when periods-option was…
2016-11-04 15:11:44 +01:00
Houtan Bastani
2e54240dab
preprocessor: fix iterator types in ParsingDriver::svar()
2016-11-04 14:44:45 +01:00
Johannes Pfeifer
2e79d5ccac
Add more information to singularity warning
2016-11-04 12:28:01 +01:00
Houtan Bastani
985fce4955
Revert "Reverted merge of pr#1323."
2016-11-04 12:10:10 +01:00
Stéphane Adjemian
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
Johannes Pfeifer
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
Stéphane Adjemian
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
Stéphane Adjemian
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
Stéphane Adjemian
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
Stéphane Adjemian (Lupi)
a60f5a81fe
Reverted merge of pr#1323.
2016-11-03 23:09:31 +01:00
Houtan Bastani
a11e355587
Merge pull request #1327 from JohannesPfeifer/line_break
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Add missing line break in stoch_simul.m
2016-11-03 18:04:10 +01:00
Johannes Pfeifer
9543f3b3ae
Add missing line break in stoch_simul.m
2016-11-03 18:02:03 +01:00
Stéphane Adjemian
c9571b794c
Merge pull request #1320 from JohannesPfeifer/var_decomp
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Initialize variance decomposition array to NaN instead of 0
2016-11-03 17:36:22 +01:00
Stéphane Adjemian (Charybdis)
a4fc0cb1a6
Fixed typo.
2016-11-03 17:22:44 +01:00
Stéphane Adjemian (Charybdis)
f303378f54
Added warnings about the BVAR identification scheme.
2016-11-03 17:22:44 +01:00
Stéphane Adjemian (Charybdis)
9900c05560
Added missing command in list of BVAR commands.
2016-11-03 17:22:44 +01:00
Johannes Pfeifer
fac3348dfe
Add information on bvar_irf to bvar-a-la-sims.tex
2016-11-03 17:22:44 +01:00
Johannes Pfeifer
b2954b4103
Add bvar_irf to unit test
2016-11-03 17:22:44 +01:00
Johannes Pfeifer
ef2ee9d2b0
Fix typo in manual
2016-11-03 17:22:44 +01:00
Stéphane Adjemian
c0e5cc6abf
Merge pull request #1313 from JohannesPfeifer/evaluate_steady_state
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evaluate_steady_state.m: make sure ys contains auxiliary variables in…
2016-11-03 15:30:02 +01:00
Johannes Pfeifer
0c3065b39b
Posterior IRFs: only plot HPDIs when sufficient draws were generated
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Otherwise a crash during plotting will happen
2016-10-30 18:31:11 +01:00
Johannes Pfeifer
9bdc0286d6
Fix bug in dyn_forecast.m that led to crashes when periods-option was not specified
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Condition for setting ex did not account for equality of horizon and periods
2016-10-30 10:41:14 +01:00
Houtan Bastani
08617bb740
fix typo
2016-10-28 16:30:43 +02:00
Houtan Bastani
cf3d82f0f8
Merge pull request #1323 from JohannesPfeifer/qz_test
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Add unit test for qz_criterium
2016-10-28 10:37:43 +02:00
Johannes Pfeifer
5fe79aeda2
Add unit test for qz_criterium
2016-10-27 20:16:43 +02:00
Houtan Bastani
0a2f3f0f10
Merge pull request #1322 from JohannesPfeifer/cosmetic
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Fix typo in comment of dsge_likelihood.m
2016-10-27 17:20:51 +02:00
Johannes Pfeifer
4502369617
Fix typo in comment of dsge_likelihood.m
2016-10-27 17:15:24 +02:00
Houtan Bastani
e3fbefc616
mjdgges: fix bug where qz_criterium was not taken into account if a threshold argument is also passed
2016-10-27 11:19:34 +02:00
Houtan Bastani
f38f9b0268
submodule update: dseries
2016-10-26 12:09:26 +02:00
Houtan Bastani
2499a13e5a
test suite: add stats directory for stats tests so that those functions are called instead of the built in octave functions
2016-10-25 18:13:07 +02:00