8276acb55f
Added integration tests for TREND_COMPONENT model.
2018-08-30 12:02:48 +02:00
7bcc5b9f42
Added integration tests for VAR_MODEL.
...
Check the AR matrices.
2018-08-29 17:43:35 +02:00
e1b2b80d64
Small efficiency change.
2018-08-29 17:42:49 +02:00
d23d1a470b
Added the possibility to estimate PAC_EQUATION with iterative ols and non constant growth.
2018-08-29 17:42:04 +02:00
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
a5e8b6383b
Updated preprocessor.
2018-08-28 19:28:28 +02:00
00498d19c8
Fixed ec matrix (rules out lag>1).
2018-08-28 19:25:05 +02:00
36388ce28a
Fixed bug in PAC_EXPECTATION.
...
The selection of the target variable in the error correction term was still
wrong if the target variable was not an auxiliary variable.
2018-08-28 19:23:35 +02:00
18a2626543
Fixed bugs in PAC_EXPECTATION.
...
- The selection of the target variable in the error correction term was wrong.
- Target variables in logs were still not working.
2018-08-28 12:12:21 +02:00
7cf4dc751e
Fixed integration test.
2018-08-28 11:08:40 +02:00
6dc35c676b
Fixed bug in VAR_EXPECTATION with TREND_COMPONENT_MODEL.
...
The selection of the expected variable in the companion VAR was not correct.
2018-08-28 11:06:20 +02:00
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
e8a08cdf52
Merge branch 'master' into ecb-master
2018-08-27 16:47:57 +02:00
b945bdd042
preprocessor: submodule update
2018-08-27 16:45:12 +02:00
83c9b0d5b6
Make rool for trend_component_model in var_expectation.
...
Not yet working, a bug in the preprocessor remains to be fixed. The
preprocessor does not create the correct number of reduced form parameters
for VAR_EXPECTATION when the auxiliary model is a trend component model,
because it ignores the fact that the model has to be rewritten in levels.
2018-08-27 14:37:26 +02:00
e25b6a0a18
Merge branch 'master' into ecb-master
2018-08-23 10:58:54 +02:00
ee93d9ddd1
preprocessor: update submodule
2018-08-23 10:53:32 +02:00
6ec9758313
update var_expectation code and tests for change in field name
2018-08-23 10:38:39 +02:00
50fbc8026c
preprocessor: submodule update
2018-08-23 10:38:39 +02:00
e3a9a8675e
Updated preprocessor submodule.
2018-08-22 16:19:25 +02:00
0a7083d6a6
preprocessor: submodule update
2018-08-22 12:18:55 +02:00
cd05b9ba8f
Cosmetic changes.
2018-08-22 11:49:30 +02:00
2b6ee881a4
Efficiency changes.
2018-08-22 11:49:15 +02:00
442a70e905
Added missing semicolon.
2018-08-21 21:56:01 +02:00
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
38b2593e31
Efficiency changes.
2018-08-21 21:02:20 +02:00
322682635f
get_ar_ec_matrices: fix bug in ordering of ec matrix
2018-08-20 14:58:52 +02:00
b27267da9b
get_ar_ec_matrices: changes for introduction of trend_component_model statement
2018-08-20 10:57:26 +02:00
7c541b3bba
preprocessor: submodule update
2018-08-20 10:52:06 +02:00
7580153599
Updated preprocessor submodule.
2018-08-20 09:39:09 +02:00
7d6296f7a6
Fixed bug introduced by 42bba08887.
2018-08-17 21:42:09 +02:00
e50bb1566e
Updated dseries submodule.
2018-08-16 16:42:25 +02:00
822446c043
Added missing copyright headers.
2018-08-15 22:05:47 +02:00
42bba08887
Make the code robust to the order of declaration of the estimated parameters.
2018-08-15 22:03:33 +02:00
15ad3cebcf
Fixed indexation bug (last autoregressive parameter was missing).
2018-08-15 22:03:01 +02:00
c0d3cfde23
Merge branch 'master' into ecb-master
2018-08-14 16:51:35 +02:00
57c6eaad07
Updated preprocessor submodule.
2018-08-14 16:50:30 +02:00
702e6d4cc7
Fixed lag number in PAC equation.
...
The number of autoregressive parameters has to be equal to the number of lags
in the PAC equation.
2018-08-13 12:41:37 +02:00
f70712d086
Merge branch 'master' into ecb-master
2018-08-13 12:36:40 +02:00
e1a20dfb92
Updated preprocessor submodule.
2018-08-13 12:35:32 +02:00
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
8a6d23f471
Merge branch 'master' into ecb-master
2018-08-10 15:37:26 +02:00
451385774b
Cosmetic changes.
2018-08-10 15:36:41 +02:00
86445832fd
Added routine returning true iff a variable is an auxiliary variable.
2018-08-10 14:52:22 +02:00
ca9633f79a
Merge remote-tracking branch 'origin/master' into ecb-master
2018-08-09 14:08:14 +02:00
25f19c3d32
preprocessor: submodule update
2018-08-09 14:05:23 +02:00
349cd25b8a
Added an integration test for VAR_EXPECTATION_MODEL.
...
+ small cosmetic changes.
2018-08-09 09:05:39 +02:00
f8f8ce5120
Added integration tests for VAR_EXPECTATION_MODEL.
2018-08-08 22:58:27 +02:00
c28c8187e8
Fixed typo.
2018-08-08 16:23:15 +02:00
8033b2737e
Added routines for VAR_EXPECTATION_MODEL.
2018-08-08 15:53:55 +02:00
Stéphane Adjemia (Scylla)
Houtan Bastani
Stéphane Adjemian(Charybdis)