Johannes Pfeifer
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f7175745ac
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Add one-sided HP filter
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2015-10-13 20:50:03 +02:00 |
Houtan Bastani
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8c44936846
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prior_posterior_function: modify test to accord with preprocessor changes #1076
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2015-10-13 17:41:45 +02:00 |
Houtan Bastani
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145e2d5542
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preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
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2015-10-13 17:41:31 +02:00 |
Marco Ratto
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93e7be66e7
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proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
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2015-10-13 17:28:29 +02:00 |
Marco Ratto
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0aa7e15d58
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- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
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2015-10-13 17:26:39 +02:00 |
Houtan Bastani
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f0e94d6475
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fix typo
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2015-10-13 17:21:32 +02:00 |
Houtan Bastani
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b4aa21f018
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preprocessor: interface for prior_posterior_function command. closes #1076
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2015-10-13 17:16:10 +02:00 |
Marco Ratto
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05fc096569
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Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
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2015-10-13 17:15:01 +02:00 |
Houtan Bastani
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9e28e796d5
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preprocessor: simplify code
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2015-10-13 15:13:40 +02:00 |
Houtan Bastani
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447b01b0b0
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fix typo
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2015-10-13 15:13:40 +02:00 |
Houtan Bastani
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c45a054c6f
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modify calling structure of execute_prior_posterior_function and update doc
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2015-10-13 15:13:35 +02:00 |
Johannes Pfeifer
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cb3804ab51
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Remove automatic error from resid.m when steady state does not solve.
Closes #573
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2015-10-13 13:45:54 +02:00 |
Johannes Pfeifer
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1043a019c2
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Save posterior moments even if the distribution is degenerate
Closes #1024
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2015-10-13 11:47:35 +02:00 |
Marco Ratto
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2d59920a70
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- systematically check bounds for each parameter during optimization
- make htol adaptive to each parameter to speed up computations
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2015-10-13 11:07:01 +02:00 |
Marco Ratto
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61d6e49dfd
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Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
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2015-10-13 10:45:35 +02:00 |
Marco Ratto
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bc8f546cbb
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Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
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2015-10-13 10:44:13 +02:00 |
Stéphane Adjemian
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d3eca9338b
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Merge pull request #1038 from JohannesPfeifer/kernel_density
Allow computing posterior kernel density
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2015-10-12 23:23:07 +02:00 |
Michel Juillard
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8be2841582
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fixing Makefile.am error
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2015-10-12 22:39:03 +02:00 |
Johannes Pfeifer
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2c63ca8843
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Add unit tests for HP filter, bandpass filter, and spectral density
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2015-10-12 21:18:51 +02:00 |
Johannes Pfeifer
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40de494568
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Document new filter option
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2015-10-12 20:42:04 +02:00 |
Johannes Pfeifer
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40877685f2
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Add LaTeX-output option to table from stoch_simul.m
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2015-10-12 20:42:04 +02:00 |
Johannes Pfeifer
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38d293b864
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Replace globals in disp_th_moments.m by function arguments
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2015-10-12 20:42:03 +02:00 |
Johannes Pfeifer
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f7ae5e4f60
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Adjust table titles to accommodate new filter options
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2015-10-12 20:42:02 +02:00 |
Johannes Pfeifer
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3902c86407
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Add unit test for variance decomposition
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2015-10-12 20:42:02 +02:00 |
Johannes Pfeifer
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281e87f807
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Add simulated variance decomposition
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2015-10-12 20:42:01 +02:00 |
Johannes Pfeifer
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a524681e40
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Replace globals in disp_moments.m by function arguments
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2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
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9459ff5d8f
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Add bandpass filtering to simulated moments
Also takes precautions for future implementation of one-sided hp filter
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2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
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a4b04ca9b4
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Fix UnivariateSpectralDensity.m for filtered variables
- Adds bandpass filter
- Writes results to oo_
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2015-10-12 20:41:59 +02:00 |
Johannes Pfeifer
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25df325899
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Add bandpass filter to th_autocovariances.m
Also adds documentation
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2015-10-12 20:41:58 +02:00 |
Johannes Pfeifer
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e9f2be0c1a
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Cosmetic changes to UnivariateSpectralDensity.m
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2015-10-12 20:41:57 +02:00 |
Michel Juillard
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8bfec92d4d
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adding missing @end deffn
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2015-10-12 16:57:55 +02:00 |
MichelJuillard
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6d23db41d0
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Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
Check whether steady state file returns column vector
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2015-10-12 16:33:29 +02:00 |
Johannes Pfeifer
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8ef96c46ca
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Check whether steady state file returns column vector
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2015-10-12 16:17:56 +02:00 |
Stéphane Adjemian (Charybdis)
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203455d2a1
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Updates particles submodule (mainly bug fixes).
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2015-10-12 15:51:16 +02:00 |
Stéphane Adjemian (Charybdis)
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a4dc9a2423
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Adddd missing closing parenthesis.
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2015-10-12 15:43:08 +02:00 |
Johannes Pfeifer
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7ebbc41d8a
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Get rid of eval statements by using indirect indexing of structures
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2015-10-12 15:36:42 +02:00 |
Johannes Pfeifer
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b7cbb563d6
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Allow suppressing density of smoother and forecast objects
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2015-10-12 15:34:52 +02:00 |
Johannes Pfeifer
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1ef1f9c75d
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Transform hard-coded kernel density options to real options
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2015-10-12 15:34:51 +02:00 |
MichelJuillard
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aa894f8613
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Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
Condition check for stochastic singularity on maximum of non-missing …
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2015-10-12 09:12:31 +02:00 |
MichelJuillard
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c2565e803f
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Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
Filter out failure of k_order_pert in likelihood computation
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2015-10-11 20:45:51 +02:00 |
MichelJuillard
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7df7fe6fd8
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Merge pull request #1080 from JohannesPfeifer/CMAES_settings
Improve cmaes settings
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2015-10-11 20:44:10 +02:00 |
Johannes Pfeifer
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fd9f2db79d
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Allow resuming previous run of CMAES
Also enables saving of intermediate results, consistent with the manual.
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2015-10-11 19:13:48 +02:00 |
Johannes Pfeifer
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e3e34e1c7d
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Reduce default accuracy criterion in cmaes.m
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2015-10-11 18:50:05 +02:00 |
Johannes Pfeifer
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df47be4076
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Properly set bounds and H0 for CMAES
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2015-10-11 18:21:25 +02:00 |
Johannes Pfeifer
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d513d38f73
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Filter out failure of k_order_pert in likelihood computation
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2015-10-11 17:55:27 +02:00 |
Johannes Pfeifer
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33aa22a80f
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Condition check for stochastic singularity on maximum of non-missing observations
closes #1071
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2015-10-11 10:49:15 +02:00 |
MichelJuillard
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866ab33575
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Merge pull request #1042 from JohannesPfeifer/discretionary
Various fixes for discretionary_policy
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2015-10-10 22:25:46 +02:00 |
MichelJuillard
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b51b037ef2
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Merge pull request #871 from JohannesPfeifer/prior_posterior_function
Add functionality Prior posterior function
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2015-10-10 22:17:53 +02:00 |
Michel Juillard
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a8580258a1
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changed Dynare timer to local timer
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2015-10-10 14:33:30 +02:00 |
Michel Juillard
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6502c311a0
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replaced global timer by local timer
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2015-10-10 14:33:30 +02:00 |