Marco Ratto
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
MichelJuillard
3d6c184566
Merge pull request #1168 from JohannesPfeifer/filter_tests
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Improve speed of filtering unit tests and clean up setting of options
2016-04-15 09:50:49 +02:00
Johannes Pfeifer
3542d086ae
Transform hard-coded bandpass filter order into option
2016-04-15 09:23:35 +02:00
Michel Juillard
de567377c3
adding groups of shocks for shock_decomposition
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consistency checks, documentation and test case
are still missing
2016-04-15 09:02:53 +02:00
Johannes Pfeifer
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
Houtan Bastani
458cfc4fc6
preprocessor: initialize xref structure and use indices. closes #1125
2016-02-23 14:32:48 +01:00
Houtan Bastani
f546368252
preprocessor: print reverse references (param->eqs, endo->eqs, exo->eqs, exo_det->eqs)
2015-12-18 17:13:50 +01:00
Houtan Bastani
4976b2b335
preprocessor: add equation cross references
2015-12-18 15:17:32 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Stéphane Adjemian (Charybdis)
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
Houtan Bastani
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Johannes Pfeifer
9459ff5d8f
Add bandpass filtering to simulated moments
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Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +02:00
Johannes Pfeifer
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
Johannes Pfeifer
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
Johannes Pfeifer
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
MichelJuillard
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
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Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
Johannes Pfeifer
698a44c98a
Add option for storing contemporaneous correlation
2015-08-11 11:27:55 +02:00
Houtan Bastani
e13a59eb64
preprocessor: add one_sided_hp_filter to stoch_simul. #1011
2015-08-03 17:34:34 +02:00
Houtan Bastani
d9a1b99899
preprocessor: add bandpass_filter option to stoch_simul. #1011
2015-08-03 17:28:55 +02:00
Houtan Bastani
c88c17728e
preprocessor: issue warning when param used with lead/lag. closes #976
2015-07-30 14:40:03 +02:00
Michel Juillard
7d11ed7642
histval: use now the same treatment for exogenous and exogenous det
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variables as for endogenous ones. Closes issue #617 .
2015-07-29 16:12:53 +02:00
Michel Juillard
448bece904
ep: set default algorithm for solve_algo = 9 (trust region on a single block)
2015-07-28 17:17:25 +02:00
Johannes Pfeifer
4c15342e98
Add option for selection of draw number to execute_prior_posterior_function.m
2015-07-28 15:37:01 +02:00
Johannes Pfeifer
5131f3907f
Make sure the used global variables are correctly set and available in the base workspace
2015-07-28 15:36:59 +02:00
Johannes Pfeifer
0f50f33c2c
Initialize M_.dname=M_.fname in global_initialization.m
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Closes #979
2015-07-28 15:23:53 +02:00
Michel Juillard
ef8f36565b
initializing options_.instruments = []
2015-07-27 15:52:14 +02:00
Michel Juillard
9b8077fc28
Merge branch 'master' into new_ep
2015-07-21 09:30:58 +02:00
Stéphane Adjemian (Charybdis)
8007f508a2
New option linear_approximation for perfect foresight models.
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This approach only requires one evaluation of the dynamic model (and its
jacobian) instead of T (the number of perdiods). Also (because the model
is linear) the equilibrium paths are obtained by inverting the jacobian
of the stacked equations (no need for a Newton algorithm).
Only available with stack_solve_algo==0 (which is the default algorithm
for solving perfect foresight models).
If possible, the option is triggered automatically if the model is
declared linear.
TODO:
* Write a linear version of perfect_foresight_problem routine.
* Evaluate the approxilation error (just need to evaluate the system of
stacked non linear equations).
2015-07-07 17:55:41 +02:00
Johannes Pfeifer
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
Johannes Pfeifer
0769fd1cce
Add verbosity and SaveFile options to some optimizers
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Also moves additional optimizer-related files to corresponding subfolder
Closes #894
2015-06-08 16:44:44 +02:00
Stéphane Adjemian (Hermes)
959349d30f
Put rgwmh options in a substructure.
2015-05-28 18:03:53 +02:00
Stéphane Adjemian (Hermes)
194bdb57c3
Merge branch 'rewrite-nonlinear-filters'
2015-05-28 15:40:39 +02:00
Houtan Bastani
fe8750c1bc
preprocessor: add minimal_workspace option to dynare statement, #946
2015-05-28 11:50:39 +02:00
Frédéric Karamé
0c2483278c
Add three variables for RWGMH.
2015-05-28 11:45:16 +02:00
Frédéric Karamé
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
Michel Juillard
b3047c9742
Merge branch 'master' into new_ep
2015-05-23 18:26:07 +02:00
Houtan Bastani
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
Stéphane Adjemian (Hermes)
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
Stéphane Adjemian (Hermes)
6d0dfc2d3f
Do not use hard coded value for the finite interval replacing unbounded intervals in simpsa and simulated annealing algorithms.
2015-05-07 15:59:46 +02:00
Stéphane Adjemian
de526eae57
Merge pull request #906 from JohannesPfeifer/table_display
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Cosmetic fixes to the on-screen display of tables
2015-05-07 15:15:38 +02:00
Stéphane Adjemian
efc5ec7002
Merge pull request #908 from JohannesPfeifer/optimizer_doc
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Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
Houtan Bastani
18e9521450
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
Johannes Pfeifer
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
Johannes Pfeifer
8285121f9b
Allow selection of tolerance for display of decision rules
2015-04-22 15:37:35 +02:00
Stéphane Adjemian (Charybdis)
1970951d1f
Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues'
2015-04-16 22:31:07 +02:00
Marco Ratto
fe48de4406
Re-set default of new option diffuse_kalman_tol to 1e-6:
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former hardcoded value was 1e-6 in the univariate smoother (i.e. the one most often used).
Updated documentation.
2015-04-08 15:44:39 +02:00
Johannes Pfeifer
a81c9da9a2
Add simulated_annealing.m to optimizers
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Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
Johannes Pfeifer
405b1f7368
Add solvopt.m to Dynare optimizers
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Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
Stéphane Adjemian (Charybdis)
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
Marco Ratto
c881cfff17
Fixed issues related to newratflag.
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This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
Houtan Bastani
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
Houtan Bastani
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
Houtan Bastani
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
Johannes Pfeifer
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
Stéphane Adjemian (Charybdis)
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis)
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
Michel Juillard
21f009a531
Merge branch 'master' into new_ep
2015-02-14 11:54:57 +01:00
Houtan Bastani
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Michel Juillard
9c6e219990
new implementation for extended path
2015-02-06 12:36:09 +01:00
Johannes Pfeifer
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
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- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
Johannes Pfeifer
268e8627f0
Add missing simple option to global_initialization.m
2014-11-25 09:54:41 +01:00
Marco Ratto
06572f26a4
Use the nodecomposition option which is available in th_autocovariances.m: for large models with the HP filter option, this may spare a lot of time, if only the unconditional moments are needed on output;
2014-11-14 17:28:17 +01:00
Johannes Pfeifer
cc96d46911
Transfer hard-coded verbosity of simplex algorithm into an option
2014-11-10 19:54:44 +01:00
Johannes Pfeifer
a9bb341b0a
Increase default maxit for steady and deterministic simulations
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Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
Johannes Pfeifer
8655df67a9
Clean up use of verbosity option
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- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
Stéphane Adjemian (Scylla)
5500846280
Added option distribution_proposal (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
4c9be8a56a
Removed useless option.
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
df19396acf
Added option proposal_approximation (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
9bfdeb30e2
Bug fixes.
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
bcad4f31f2
Added option resampling_method (estimation command, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
08c74b8f41
Added option resampling_threshold (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla)
a6009908e4
Added option resampling (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla)
f6a1df8549
Increased default number of particles.
2014-09-08 22:36:40 +02:00
Marco Ratto
62b4cfe631
Provisions for moment calibration.
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Sensitivity analysis for irf and moment calibration, with new function /gsa/map_calibration.m
Added new tests/gsa/ls2003a.mod for testsuite of irf/moment calibration
To be done:
- extend SA of calibration to MC and posterior samples (currently uses prior sample only)
- documentaion
- partial progress to close #267
2014-09-04 16:44:14 +02:00
Stéphane Adjemian (Scylla)
0efcef8f20
Added the possibility to declare non linear prior restrictions over estimated parameters.
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If a file <MOD_FILE_NAME>_prior_restrictions.m exists in current folder, the value returned by this routine is
substracted to fval (likelihood-lnprior) at the end of dsge_likelihood. The arguments of this routine are: M_,
oo_, options_, dataset_ and dataset_info. Routines for writing <MOD_FILE_NAME>_prior_restrictions.m will be
provided later.
2014-07-21 12:45:49 +02:00
Stéphane Adjemian (Scylla)
5b08223820
Changed default value of initial_period (NaN).
2014-07-17 22:05:08 +02:00
Michel Juillard
4613fb2bf4
Adding initialization for lmmcp options
2014-07-08 13:53:18 +02:00
Stéphane Adjemian (Scylla)
788c528c84
Merge branch 'master' into use-dseries
2014-06-19 18:13:35 +02:00
Stéphane Adjemian (Charybdis)
4f02e58010
Added the possibility to pass a dseries object to the data command (the user can manipulate the data in the mod file, using dseries class methods, and use them for estimation without writing the data on disk).
2014-06-17 16:03:30 +02:00
Michel Juillard
499967f9a1
adding an option to extended path to control homotopic steps and
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continue in case of failed case
2014-06-16 14:25:23 +02:00
Stéphane Adjemian (Charybdis)
06d1f66242
Fix initialization of the fields in options_.dataset + Cosmetic changes.
2014-05-21 16:47:58 +02:00
Stéphane Adjemian (Scylla)
0f62d74ee4
Fixed bug. Global options_.dataset.file must be initialized as an empty array.
2014-04-30 15:35:43 +02:00
Stéphane Adjemian (Scylla)
66d08ac3bf
Merge branch 'master' into use-dynSeries
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Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
Sébastien Villemot
85f7af9133
Perfect foresight solver now uses a homotopy technique by default.
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This commit introduces a "no_homotopy" option to restore the old behavior.
Ref #220
2014-04-10 16:39:06 +02:00
Sébastien Villemot
bb1fd49629
Remove nonexistent global variable ex_det0_.
2014-04-08 17:19:55 +02:00
Sébastien Villemot
210d2f24e6
Trust-region solver is now the default solver.
2014-03-10 14:08:40 +01:00
Sébastien Villemot
5862099416
Merge pull request #607 from JohannesPfeifer/unique_varlist
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Unique varlist and choosing endogenous variables for estimation
2014-02-04 05:14:05 -08:00
Sébastien Villemot
5308da2cad
Upgrade the minimum requirement to MATLAB 7.5 (R2007b).
2014-02-03 15:52:54 +01:00
Johannes Pfeifer
85815ca651
Adds new option to select which variables to consider for estimation
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First step for ticket #336
2014-02-03 13:10:31 +01:00
Johannes Pfeifer
15f0353d02
Make sure repeated runs of stoch_simul.m with loglinear option do not crash due to logged steady state
2014-01-29 19:52:20 +01:00
Stéphane Adjemian (Charybdis)
1ea7631930
Added new option for perfect foresight simulations (sim1 routine, available only with stack_solve_algo==0).
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Try to reduce the size of the nonlinear system of equations by skipping the (last) periods for wich the residuals are
already (almost) zero. The number of periods is not constant during the Newton, the effective number of periods for
each iteration of the Newton is available in oo_.deterministic_simulation.vperiods.
2013-12-27 18:35:53 +01:00
Stéphane Adjemian (Scylla)
63986a0ebf
Closes #567 .
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Scylla)
4a4c06b781
Fixed bug (options_.subdraws does not exist).
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Penelope)
0c00151092
Merge branch 'master' into remove-dynDate-class
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Conflicts:
preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
Sébastien Villemot
80a2a6b712
Merge remote-tracking branch 'jpfeifer/irf_debug_feedback'
2013-11-13 14:26:58 +01:00
Houtan Bastani
0fdc18e7fb
Merge branch 'ifc'
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Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
Johannes Pfeifer
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
Stéphane Adjemian (Scylla)
8429321547
Merge branch 'master' into remove-dynDate-class
2013-11-06 12:43:06 +01:00
Johannes Pfeifer
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
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Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00