290f19c705
resol + stoch_simul.m: header fixes
...
Also makes global naming consistent
2023-09-08 11:59:37 +02:00
74399f0728
🐛 fix check for Metropolis folder
2023-09-08 10:31:09 +02:00
5ac11449ce
slice: move saved files to subfolder
2023-09-08 10:27:35 +02:00
bd905360e0
Slice: provide convergence diagnostics even for low number of draws
2023-09-08 10:26:21 +02:00
842bf3d687
csminwel1.m: clean up file
2023-09-08 10:02:14 +02:00
cb0f0e6701
Merge branch 'dynare-irf_matching'
...
Ref. !2159
2023-09-08 09:45:51 +02:00
2e742462b3
Rename McMCDiagnostics and McMCDiagnostics_core
2023-09-08 09:44:43 +02:00
cd05bfb8a2
Remove unused ghx2transition.m
2023-09-08 08:09:20 +02:00
c43308a07b
forcst.m: remove redundant call to make_ex_
2023-09-08 08:08:35 +02:00
2fa6c437f7
solve_model_for_online_filter.m: remove redundant call to Lyapunov solver
2023-09-08 08:05:48 +02:00
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
4e58e22bdd
Variance decomposition with pruning: add unit test
2023-09-08 07:02:43 +02:00
c063d53646
th_autocovariances.m: fix matrix dimension
2023-09-07 18:09:28 +02:00
f2f1c48baf
compute_moments_varendo.m: cosmetic fixes
2023-09-07 17:52:31 +02:00
3dd1ffb8fe
pruned_state_space_system.m: gracefully exit in case of unit roots
2023-09-07 17:52:18 +02:00
41ac891f80
Factorize variance decomposition code
2023-09-07 17:13:09 +02:00
a0b443b9f8
Cosmetical changes to headers and message strings
2023-09-07 09:36:27 +02:00
777ec76536
method_of_moments: cosmetical changes to cleanup
2023-09-07 09:36:27 +02:00
55dc4a00d5
method_of_moments: refactor displaying of moments
2023-09-07 09:36:27 +02:00
e025d56a59
method_of_moments: refactor J-Test
2023-09-07 09:36:27 +02:00
07b62fe554
method_of_moments: refactor iterated GMM/SMM estimation
2023-09-07 09:36:27 +02:00
9dc4878f9f
method_of_moments: refactor printing of info to a utility function
2023-09-07 09:36:27 +02:00
e52c007d8b
method_of_moments: cosmetical changes to checks for objective function at initial parameters
2023-09-07 09:36:27 +02:00
fb326638f9
method_of_moments: remove redundant noconstant option check
2023-09-07 09:36:27 +02:00
e170b64713
method_of_moments: refactor steady-state check utility functions
...
Reuse same functions from full-information estimation command
2023-09-07 09:36:27 +02:00
b737d46d61
method_of_moments: cosmetical changes to smm shock series
2023-09-07 09:36:27 +02:00
9914d764c2
method_of_moments: refactor data moments computation
...
Also rename function to not confuse this with the variable stored in oo_.mom.datamoments.
2023-09-07 09:36:27 +02:00
c0cae0ebaa
method_of_moments: cosmetical changes to mom.objective function
2023-09-07 09:36:27 +02:00
0cd65df72a
method_of_moments: add warnings for problematic prior stderr/corr and value
...
Also moved oo_.prior to oo_.mom.prior
2023-09-07 09:36:27 +02:00
017b4f05f6
method_of_moments: cosmetical changes on estimated params initializations
2023-09-07 09:36:27 +02:00
1ef026dc9d
method_of_moments: factorize correct bounds for stderr and corr
2023-09-07 09:36:27 +02:00
180b92cb1e
method_of_moments: refactor penalized estimation with laplace prior
2023-09-07 09:36:27 +02:00
c3327e000c
method_of_moments: refactor matched moments block transformations
2023-09-07 09:36:27 +02:00
0487dd4a77
method_of_moments: refactor and function for default options & initializations
...
Also changed:
- options_mom_.vector_output to options_mom_.mom.vector_output
- optimizer_vec to options_mom_.optimizer_vec
- oo_.dr.obs_var to oo_.mom.obs_var
2023-09-07 09:36:27 +02:00
f25188cf2f
method_of_moments: improved header
2023-09-07 09:36:27 +02:00
3c0f3c1c24
Factorize estimation: check steady-state (static, changes parameters)
2023-09-07 09:36:27 +02:00
23f6019cdf
Factorize estimation: check prior stderr and corr parameters
2023-09-07 09:36:27 +02:00
6941bd5516
Factorize estimation: wrapper for tune_mh_jscale
2023-09-07 09:36:27 +02:00
c356db4531
Factorize estimation: set_mcmc_jumping_covariance
2023-09-07 09:36:27 +02:00
aa99eff81d
Factorize estimation: set_mcmc_prior_bounds
2023-09-07 09:36:27 +02:00
7f22414843
Factorize estimation: checks for VAROBS
2023-09-07 09:36:27 +02:00
688d847489
Factorize estimation: check_mode_file
2023-09-07 09:36:27 +02:00
c21f75887d
Factorize estimation: check_hessian_at_the_mode
2023-09-07 09:36:27 +02:00
dd2c816df0
compute_mh_covariance_matrix: remove globals
2023-09-07 09:36:27 +02:00
d8105a3237
Cosmetical changes
2023-09-07 09:36:27 +02:00
960c075420
Replace "Estimation::mcmc::" by a variable
...
This enables re-using estimation functions for other Bayesian estimation routines such as Bayesian method_of_moments and printing it nicer to the console.
2023-09-07 09:36:27 +02:00
6551b88fc8
Merge branch 'truncated_normal' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2161
2023-09-07 08:56:13 +02:00
9e2b387d0a
Merge branch 'prior_sampling' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2162
2023-09-07 08:55:18 +02:00
8f79e848f0
Remove remnants of GPU code
2023-09-07 08:00:05 +02:00
9afd75ca9b
th_autocovariances.m: rework routing to clarify approach
...
Changes reflect model representation with 1 lag only
2023-09-06 22:14:19 +02:00
Johannes Pfeifer
Sébastien Villemot
Willi Mutschler