Johannes Pfeifer
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
Johannes Pfeifer
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
Johannes Pfeifer
b1f1826d5f
Fix two bugs in dynare_estimation_init.m
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Makes sure that i) name field is always present and ii) that number fields of estim_params are only accessed after they have been set by set_prior
2016-08-17 21:47:46 +02:00
Johannes Pfeifer
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
Marco Ratto
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Marco Ratto
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
Michel Juillard
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
Johannes Pfeifer
9a9b8f2a70
Account for smoother setting parameter count fields in dynare_estimation_init.m
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Otherwise, subsequent calls to the smoother will result in crashes
2016-04-14 20:11:22 +02:00
Johannes Pfeifer
a78ebbce72
Document setting of element of restricted state space
2016-04-12 10:51:33 +02:00
Johannes Pfeifer
6d35dad894
Remove duplicate setting of bayestopt_.mf* in dynare_estimation_init Closes #820
2016-04-12 10:46:44 +02:00
Johannes Pfeifer
efee7b1a47
Remove duplication of restrict_var_list in bayestopt_
2016-04-12 10:43:28 +02:00
Johannes Pfeifer
80086ff4ab
Clarify naming of var_obs_index to indicate it refers to decision rule order
2016-04-12 10:42:44 +02:00
Johannes Pfeifer
16d8ee0c7b
Cosmetic changes to various function headers
2016-03-25 22:05:36 +01:00
Johannes Pfeifer
f597709228
Condition setting of nobs and first_obs on existence of dataset
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Required in identification.
2016-03-23 10:48:26 +01:00
Johannes Pfeifer
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Johannes Pfeifer
d1bbe8f852
Restore backward compatibility with old data interface
2016-03-23 10:10:42 +01:00
Johannes Pfeifer
f64b76f0d3
Move saving of data mean to data initialization instead of posterior computations
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Makes it accessible for other functions that also need it
2016-03-23 10:10:41 +01:00
Johannes Pfeifer
b235040ae1
Fix setting of no-constant option in dynare_estimation_init.m when loglinear option is used
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Setting was based on unlogged steady states
2016-03-23 10:09:17 +01:00
Stéphane Adjemian (Charybdis)
846a391eb1
Fixed bug.
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Test the existence of field var_exo in estim_params_. This field does
not exist if one runs a smoother on a calibrated model.
2015-12-15 22:37:08 +01:00
Johannes Pfeifer
f28a7a62bb
Only test non-zero measurement error covariance entries for positive definiteness
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Otherwise, not having measurement error on one variable is not allowed during estimation
2015-12-15 22:37:08 +01:00
Stéphane Adjemian (Charybdis)
a1aa2bcd6e
Changed second input of prior_bounds routine.
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Do not pass options_ structure but only the required field (prior_trunc).
2015-12-11 18:50:54 +01:00
Michel Juillard
eb3d0cd20e
fix problem with nobs
2015-11-28 17:38:00 +01:00
Michel Juillard
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
.
2015-10-09 14:23:31 +02:00
Michel Juillard
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
Johannes Pfeifer
6f8000f0f3
Condition test whether varobs was defined on existence of field
2015-08-17 10:48:41 +02:00
Johannes Pfeifer
64889b7335
Filter out non-fully calibrated model when use_calibration is used with ML
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Required after 9557142cc4
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Closes #849
2015-07-31 11:23:58 +02:00
Johannes Pfeifer
f679594908
Add check whether bayestopt_ is empty
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Otherwise crashes for calibrated smoother occur
2015-07-25 07:32:48 +02:00
Johannes Pfeifer
d67e003e03
Correct check condition in dynare_estimation_init.m introduced in b2017ffece
2015-07-23 16:45:40 +02:00
Johannes Pfeifer
b2017ffece
Check whether estimation is fully ML or fully Bayesian
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Closes #754
2015-07-23 14:44:25 +02:00
Johannes Pfeifer
06bd20214e
Replace strmatch by strcmp
2015-07-21 16:40:40 +02:00
Johannes Pfeifer
319f73434c
Fix copy and paste error introduced in 3c9b031bd1
2015-07-21 16:18:15 +02:00
Johannes Pfeifer
2d8e6e2c83
Account for strmatch returning empty array instead of 0 if nothing is found
2015-07-21 16:00:00 +02:00
Johannes Pfeifer
15b47ef50b
Account for cases where estim_params_ is empty or has only been filled with field full_calibration_detected
2015-07-21 11:41:39 +02:00
MichelJuillard
2cb58be875
Merge pull request #969 from JohannesPfeifer/documentation
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Improve documentation of nobs, first_obs, presample, and mode_check
2015-07-20 14:27:40 +02:00
Johannes Pfeifer
84f2b50043
Block using presample option with DSGE-VAR
2015-07-08 09:21:50 +02:00
Johannes Pfeifer
3c9b031bd1
Fix bug in dynare_estimation_init.m if steady state does not solve
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There was no check in dynare_estimation_init.m whether the steady state solved, but the noconstant option was set nevertheless. This gave rise to cases where a steady state file returned 0 for the observables, but the steady state did not exits. Due to later using use_calibration, this problem with the initial values was not detected, but the observation equation featured no constant although it should. The solution is to move the use_calibration option before the first steady state computation and then issue an error if the parameterization does not work
2015-06-08 16:35:50 +02:00
Stéphane Adjemian
e07607011c
Merge pull request #710 from JohannesPfeifer/estimation_init_analytic_derivation
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Fix bug in dynare_estimation_init.m with analytic_derivation where param...
2015-06-06 23:17:10 +02:00
Marco Ratto
214dc74723
- Fixed bugs around analytic derivation.
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- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
Johannes Pfeifer
c7153ba2ea
Add initialization of bounds if estim_params is empty
2014-12-08 11:29:15 +01:00
MichelJuillard
6d12f2141f
Merge pull request #765 from JohannesPfeifer/analytic_derivation_message
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Fix message in dynare_estimation_init.m
2014-11-21 22:10:30 +01:00
Johannes Pfeifer
68b27252d7
Fix selected_variables_only option with classical forecasts
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dyn_forecast requires that the smoother has been run on all endogenous variables, leading to crashes. Now, if this option is encountered with classical forecasts, it is overridden. Also documents this in the manual.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
a159442935
Fix message in dynare_estimation_init.m
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If some parameters are NaN after computing the steady state, the message erroneously said that parameters had been changed. In a check for equality, NaN is not equal to NaN. Thus, NaNs are now taken care of separately.
2014-10-29 09:02:29 +01:00
Stéphane Adjemian (Karaba)
f48566aeae
Fixed prior bounds (according to the doc in master branch).
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* 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
3e427020d6
Cosmetic changes in headers
2014-09-21 11:51:46 +02:00
Johannes Pfeifer
79c5e18bfe
Cosmetic changes
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- Suppresses spurious output from dynare_estimation_1.m
- Removes unset output argument from dynare_estimation_init.m (which seems to be totally unused as it was not set at all and nobody reported any crashes)
- Corrects header of dynare_estimation_init.m
2014-09-19 16:20:43 +02:00
Johannes Pfeifer
41d1533086
Add check that prevents datafile from having same name as mod-file
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Otherwise, the generated m-file might be called as the datafile, leading to infinite loops. The check cannot be moved to makedataset because M_.fname is not available there.
2014-09-10 17:49:33 +02:00
Johannes Pfeifer
6030fed4ec
Fix bug in dynare_estimation_init.m with analytic_derivation where parameter vector was not set
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Before testing whether the steady state file changes parameter values, the parameter values were not set, leading to subsequent crashes
2014-08-14 10:47:29 +02:00
Stéphane Adjemian (Scylla)
1e4c2e0881
Fixed bug affecting prior restictions (removed the extension in the argument of str2func).
2014-07-28 13:02:10 +02:00
Stéphane Adjemian (Scylla)
916fe62218
Fixed bug. Test on multiple declaration of observed variables was wrong.
2014-07-24 17:53:20 +02:00