Sébastien Villemot
18a172bd45
Merge branch 'mcp_ramsey' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1874
2021-06-16 17:41:40 +02:00
Johannes Pfeifer
1d10659b59
get_complementarity_conditions.m: fix equation numbering with ramsey_model
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M_.equation_tags already contains the correct equation number
2021-06-16 13:21:49 +02:00
Normann Rion
3d27672c58
kth-order approximation of conditional welfare
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Partially addresses issue #1680 :
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
2021-06-15 15:04:31 +02:00
Sébastien Villemot
2952d18343
Testsuite: improve and integrate unit test for A·(B⊗C) MEX files
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In particular, add a test for the sparse A·(B⊗C) where B≠C.
2021-06-14 15:28:34 +02:00
Johannes Pfeifer
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
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Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
Johannes Pfeifer
f78ac9f5ac
EP with MCP: add test case
2021-05-28 13:49:58 +02:00
Marco Ratto
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
Marcoo Ratto
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
Sébastien Villemot
cf37b5151a
Testsuite: indicate that glibc bug has been fixed in version 2.34
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[skip ci]
2021-05-11 18:54:07 +02:00
Sébastien Villemot
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
Marco Ratto
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
Sébastien Villemot
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
Marco Ratto
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
Sébastien Villemot
58b2bc78c3
Testsuite: check that stochastic solution in block decomposition mode is correct
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Only test with mfs=0, since the result is wrong for other mfs values.
Ref. #1726
2021-05-04 16:31:44 +02:00
Sébastien Villemot
ef58f1329a
Testsuite: factorize code between block decomposition tests based on LOLA model
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By the way, move tests files under tests/block_bytecode/, which is a more
natural place.
Ref. #1726
2021-05-04 16:17:37 +02:00
Sébastien Villemot
d68fc14fed
Build system: remove trailing whitespace in Makefile
2021-03-29 15:27:47 +02:00
Sébastien Villemot
559b0b5679
Source package: fix name of ms-sbvar datafile
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Bug introduced in 11f8f9c7f4
2021-03-17 18:11:40 +01:00
Sébastien Villemot
c9eb6920c9
local_state_space_iteration_k MEX: fix bug in output
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In its output, the MEX was returning values for all endogenous variables, but
it was used in a context where only the variables from oo_.dr.restrict_var_list
were expected (as is done with local_state_space_iteration_2 MEX).
This commit fixes this discrepancy, and also fixes the test that was checking
that both MEX are returning the same output.
Closes : #1768
2021-03-10 13:45:29 +01:00
Normann Rion
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
Sébastien Villemot
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
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Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
Normann Rion
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
Sébastien Villemot
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
Johannes Pfeifer
788e05b2fd
smoother2histval: add test case for correctness
2021-02-16 11:25:46 +01:00
Sébastien Villemot
7cbb86bb64
Testsuite: rename estimation/univariate/ols/ols.mod
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Under Octave, the +ols folder conflicts with the builtin ols() function.
2021-02-09 16:58:07 +01:00
Sébastien Villemot
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +01:00
Johannes Pfeifer
7c8f486727
Allow setting initial state for Kalman filter
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Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
Sébastien Villemot
6e6bc3f6c9
Testsuite: rename test files for Octave compatibility
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Rename histval_initval_file/ramst_data.mod to ramst_data_generate.mod.
Otherwise, there is a conflict between the +ramst_data folder and the generated
ramst_data.m.
Similarily, rename shock_decomposition/shock_decomposition_backward.mod to
shock_decomposition/shock_decomp_backward.mod (otherwise it conflicts with
matlab/shock_decomposition_backward.m).
2021-01-27 18:24:22 +01:00
Johannes Pfeifer
ec69174173
Improvements to particle tests
2021-01-22 21:19:07 +01:00
Stéphane Adjemian (Charybdis)
0f3dd003b7
Run mod files in tests/particle.
2021-01-16 17:42:17 +01:00
Johannes Pfeifer
ad17b8ec33
Particle filtering: provide more informative error messages in typical problematic cases
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Also adds test cases
2021-01-15 22:11:20 +01:00
Sébastien Villemot
91b0ba64c6
Testsuite: rename all test files that have the name “example.mod”
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That filename conflicts with Octave’s builtin example() function.
2021-01-15 17:19:41 +01:00
Sébastien Villemot
23cb1879e9
Testsuite: fix PAC test filename
2021-01-15 17:19:41 +01:00
Willi Mutschler
a697002a4e
MoM: Gradient-based optimizers can use analytical Jacobian for GMM
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New option analytic_jacobian for mode_compute 1, 3, and 13
2021-01-14 10:03:39 +01:00
Stéphane Adjemian (Odysseus)
b87690a9f1
Revert "Add tests for matrix notation"
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This reverts commit 8d4a80956c
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2021-01-12 16:47:56 +01:00
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +01:00
Willi Mutschler
dabe0ada33
MoM: Add test for optimizers
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Note that mode_compute=11 and 12 need some fixing
2021-01-07 14:14:13 +01:00
Willi Mutschler
562a9c737f
MoM: Improve testsuite
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- add Andreasen, Fernandez-Villaverde, Rubio-Ramirez (2017) test models
- move models to dedicated folders
- add `make m/method_of_moments` and `make o/method_of_moments` commands to run testsuite only for method of moments
2021-01-06 14:19:17 +01:00
Sébastien Villemot
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
Johannes Pfeifer
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
Johannes Pfeifer
4cf9f7d1a7
stoch_simul.m: reports second moments based on pruned state space at order=2 when pruning is specified
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
2020-12-17 09:45:28 +01:00
Stéphane Adjemian (Charybdis)
e066556d7a
Added integration test for d8ddd9ef6
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2020-12-07 22:25:54 +01:00
Sébastien Villemot
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
Sébastien Villemot
f27852d1ec
Add test for mshocks block
2020-11-26 15:48:57 +01:00
Willi Mutschler
3c1087a369
Fix for sylvester3a for purely forward-looking models
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In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
2020-11-21 09:46:10 +01:00
Johannes Pfeifer
d38a4428cc
Move macro_processor/example1_macro.mod to subfolder
2020-11-02 16:00:03 +01:00
Johannes Pfeifer
b4f3eb4a1c
Add unit test for ifndef
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See https://git.dynare.org/Dynare/dynare/-/issues/1747
2020-11-02 16:00:03 +01:00
Sébastien Villemot
cf68570813
Testsuite: workaround for glibc bug #19329
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This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
(cherry picked from commit f46dfba961
)
2020-10-23 15:32:07 +02:00
Sébastien Villemot
299769c51b
Testsuite/MATLAB: output stderr to log file
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(cherry picked from commit 2a472a0a6b
)
2020-10-23 15:32:06 +02:00
Sébastien Villemot
f46dfba961
Testsuite: workaround for glibc bug #19329
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This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
2020-10-23 12:35:35 +02:00