Sébastien Villemot
84862b8a39
Merge branch 'borrcon' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1983
2021-12-20 12:08:57 +01:00
Stéphane Adjemian (Ryûk)
d841fc7cc2
Do not run integration tests for NLS with Octave.
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Also moved some integration tests.
2021-12-19 17:20:15 +01:00
Johannes Pfeifer
67cab849af
borrcon.mod: fix LaTeX symbol and header
2021-12-19 11:37:13 +01:00
Stéphane Adjemian (Ryûk)
c43777f610
Show how to hide simulated annealing algorithm iterations.
2021-12-17 20:55:46 +01:00
Stéphane Adjemian (Ryûk)
4512000f0f
Display estimation results PAC/NLS.
2021-12-17 20:53:39 +01:00
Stéphane Adjemian (Ryûk)
24c817afa7
Add integration tests for NLS estimation.
2021-12-17 18:02:24 +01:00
Stéphane Adjemian (Ryûk)
b297353b06
PAC decomposition between stationary and non-stationary components.
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The taget in PAC equation can be decomposed into an arbitrary number of components (variables
in the VAR auxiliary model).
TODO Iterative OLS estimation (which is not the preferred estimation routine).
TODO Decomposition in the routine evaluating the forecasts for each component.
2021-12-17 12:17:13 +01:00
Sébastien Villemot
4db2899868
estimated_params: fixes for new semantics
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The change implemented in 21a8a5794a
broke the
testsuite and was incomplete.
– new option “overwrite” to provide the old behaviour (used to fix the testsuite);
– when concatenating several “estimated_params” block, the preprocessor now
checks that paramateres are not declared twice across blocks.
2021-12-16 15:38:09 +01:00
Sébastien Villemot
21a8a5794a
Various new model editing features
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– multiple “model” and “estimated_params” block are supported
– new “model_options” statement to set model options in a global fashion
– new “model_remove” command to remove equations
– new “model_replace” block to replace equations
– new “var_remove” command to remove variables (or parameters)
– new “estimated_params_remove” block to remove estimated parameters
2021-12-15 17:33:01 +01:00
Sébastien Villemot
f8fc786459
Merge branch 'het_shocks' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1980
2021-12-15 10:27:06 +01:00
Willi Mutschler
488ab7a979
Update testsuite Kalman Smoother name of data file
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gen_data.mod creates a datafile called "data.mat"
test_compute_Pinf_Pstar_data.mod creates a datafile called "Data.mat"
There could be a race condition on systems that don't distinguish between upper and lower cases.
2021-12-15 10:26:38 +01:00
Johannes Pfeifer
1bfb9ffbb9
heteroskedastic shocks: take into account first_obs
2021-12-14 11:21:16 +01:00
Sébastien Villemot
1638374b46
Merge branch 'evaluate_planner' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1970
2021-12-07 18:06:13 +01:00
Sébastien Villemot
8eeb92e56b
Add hyberbolic primitives (sinh, cosh, tanh, asinh, acosh, atanh)
2021-12-07 18:04:56 +01:00
Sébastien Villemot
5f675eee18
Add erfc() primitive
2021-12-07 17:00:59 +01:00
Sébastien Villemot
d69c14398d
Factorize test for normpdf(), normcdf(), erf() and trigonometric functions
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Incidentally:
- add trigonometric tests for bytecode
- add back a test for pure M-files
2021-12-07 17:00:57 +01:00
Johannes Pfeifer
d039bcbfec
evaluate_planner_objective.m: initialize newly introduced options and fix naming
2021-12-07 13:56:01 +01:00
Johannes Pfeifer
c07508a917
occbin_write_regimes: distinguish between smoother and simulations
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Closes : #1828
2021-12-07 12:41:34 +01:00
Normann Rion
cf829fb28e
A few fixes for k-order welfare assesment in `evaluate_planner_objective`
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As suggested in !1962
2021-12-07 12:19:30 +01:00
Sébastien Villemot
06fd42c19b
Drop the dynare_simul_ MEX in favour of the new Fortran k_order_simul MEX
2021-11-26 17:37:53 +01:00
Sébastien Villemot
a3956996f7
Merge branch 'local_state_space_it' of git.dynare.org:normann/dynare
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Ref. !1962
2021-11-26 17:35:30 +01:00
NormannR
6b566d37c7
Add k-order conditional and unconditional welfare evaluation in evaluate_planner_objective
2021-11-24 17:30:02 +01:00
NormannR
f889a25e86
Amend the k_order_welfare routine for it to return the adequate output variables
2021-11-24 17:16:03 +01:00
Stéphane Adjemian (Ryûk)
f4a7a5430c
Re-implement PAC equations.
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This commit only introduce new elements in the Dynare language (adding the
possibility to decompose the target into stationary and non stationary
components) and insure that all the former codes (ie without decomposition of
the target) are still working as expected.
2021-11-24 16:40:35 +01:00
Johannes Pfeifer
485c815f50
burnside_k_order.mod: fix timing logic
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Did not correctly deal with loading of mex-file
2021-10-22 17:59:07 +02:00
Sébastien Villemot
2ab919ebf1
Testsuite: use default number of particles when comparing performance of the various state space iteration MEX
2021-10-21 16:34:22 +02:00
Stéphane Adjemian (Ryûk)
f778e3c1ce
Fix growth neutrality correction in PAC equations.
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- Force long run levels of the exogenous variables to be zero or g (the BGP growth rate of the LHS endogenous variable).
- Fix the correction of the correction for the share λ (aak γ).
- Provisions for the case where the long run level of the exogenous variable is
different from 0 or g (see tmp1 and ll which should be added to the growth
neutrality correction as a constant).
(cherry picked from commit a4423d734e1df1d4ee09c7225d7fd610e0d94cd1)
2021-10-21 10:19:23 +02:00
Sébastien Villemot
e66a1a63f8
local_state_space_iteration_2 MEX: enable parallelization by default
2021-10-20 15:33:04 +02:00
Sébastien Villemot
fbba0bf2fc
Testsuite: fix display of relative timings of local_state_space_iteration_{k,fortran}
2021-10-20 15:32:26 +02:00
Johannes Pfeifer
45772571c3
testsuite: expand Ramsey tests to check for consistency of utility and welfare
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Also increase variance to make tests more challenging
2021-10-15 12:46:26 +02:00
Sébastien Villemot
3af51e3153
Testsuite: disable an estimation with mode_compute=5 that randomly fails under Octave
2021-10-13 17:01:02 +02:00
Sébastien Villemot
f9a550651d
Merge branch 'k_order_fix' into 'master'
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k_order_simulation bug: fixes simulations and adds/corrects integration test
Closes #1819
See merge request Dynare/dynare!1940
2021-10-12 15:34:29 +00:00
Johannes Pfeifer
d5141ced42
simult_.m: remove redundant first simulation period for k_order_simulations
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1819
2021-10-12 15:20:26 +02:00
Johannes Pfeifer
cd43c8669b
burnside_k_order.mod: fix logic of test and compare Fortran and C++ routines
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Also decreases approximation order for speedup
2021-10-12 15:20:26 +02:00
Johannes Pfeifer
733ffdf3ab
Add unit test for k-order simulations
2021-10-12 15:20:11 +02:00
Johannes Pfeifer
fa04600264
Testsuite: add calls to resid for optimal policy
2021-10-11 18:06:37 +02:00
Sébastien Villemot
4a041b3b2c
tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod: set mh_blocks=1
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This fixes the test under Octave on haumea.
2021-09-29 15:02:13 +02:00
Sébastien Villemot
191cb05f87
tests/block_bytecode/lola_stochastic_block.mod: increase test tolerance on ghx
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Needed for Octave on haumea.
2021-09-28 12:45:52 +02:00
Sébastien Villemot
9fd0806643
Testsuite: do not distribute optimal_policy/Ramsey/oo_ramsey_policy_initval.mat
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It is a generated file.
By the way, ensure that the generated file has the .mat extension under Octave.
2021-09-27 16:43:50 +02:00
Normann Rion
6475c52b3d
Implements k-order simulation routine in Fortran (Ref: #1802 )
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`k_order_simul` may replace `dynare_simul_` in the long run
2021-09-24 09:11:15 +02:00
Sébastien Villemot
7083f1d692
Merge branch 'local_state_space_it' into 'master'
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Implements the Fortran replacement of local_state_space_iteration_k (Ref #1802 )
See merge request Dynare/dynare!1918
2021-09-22 15:54:17 +00:00
NormannR
cab65dabb5
Implements `local_state_space_iteration_fortran`, the Fortran replacement of `local_state_space_iteration_k` (Ref #1802 )
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- Creates the library `libkordersim` with all the relevant Fortran routines to `folded_to_unfolded_dr` and `local_state_space_iteration_fortran`
- Implements `folded_to_unfolded_dr`, which converts folded decision rule matrices to their unfolded counterparts
2021-09-22 16:28:46 +02:00
Sébastien Villemot
014e18df69
Preprocessor: remove unused steady_state_growth option to pac_model
2021-09-22 16:27:48 +02:00
Johannes Pfeifer
76b3f53d0b
ramst_initval_file.mod: move to non-deprecated syntax
2021-09-22 09:56:33 +02:00
Sébastien Villemot
fa3ed38735
Source package: fix bug introduced in d62a09cdef
2021-09-21 17:45:30 +02:00
Sébastien Villemot
872c0424a8
tests/block_bytecode/lola_stochastic_block.mod: increase test tolerance on ghu
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Needed for Octave on lupi.
2021-09-21 17:00:39 +02:00
Sébastien Villemot
d62a09cdef
tests/ep/rbcii.mod: use supported mechanism for user-provided steady state file
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Incidentally, this should fix random crashes under Octave (where the manually
copied steady state file was not correctly detected by the interpreter).
2021-09-21 16:26:58 +02:00
Johannes Pfeifer
2dd6510051
smoother2histval.m: undo logging
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1407
2021-09-17 14:43:50 +02:00
Sébastien Villemot
49a396030b
Yet another batch of Octave compatibility fixes
2021-09-16 18:25:00 +02:00
Sébastien Villemot
37467a9b9d
Merge branch 'octave_fixes' of git.dynare.org:wmutschl/dynare
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Ref. !1926
2021-09-16 15:16:14 +02:00