f51a57374a
mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur.
2021-06-01 11:23:07 +02:00
fad86785da
evaluate_planner_objective.m: do not evaluate non-existing terms for linear models
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1781
2021-05-28 17:00:44 +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
5ab724d38f
Following a change in the calling sequence. Fixes #1789
2021-05-28 13:49:58 +02:00
Stéphane Adjemian
77612e6bb7
Merge branch 'particle' into 'master'
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non_linear_dsge_likelihood.m: filter out explosive initial simulation
See merge request Dynare/dynare!1861
2021-05-28 11:42:24 +00:00
f97c138685
sim1_purely_backward.m: for purely static model, do not use past value for first iteration
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Index 0 does not exist.
2021-05-27 22:37:45 +02:00
cac6f82e34
non_linear_dsge_likelihood.m: filter out explosive initial simulation
2021-05-27 21:04:35 +02:00
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
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
7541b1b116
prior_draw.m: cosmetic fix
2021-05-27 16:46:40 +02:00
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
2021-05-27 16:46:28 +02:00
ae574fff78
Merge branch 'diagnostics' into 'master'
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model_diagnostics.m: only provide message if imaginary component reaches tolerance level
See merge request Dynare/dynare!1855
2021-05-27 14:23:55 +00:00
Stéphane Adjemian (Charybdis)
3e7cd877d3
Fix error message consistently with 2743ca8fd.
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[skip ci]
2021-05-26 19:11:01 +02:00
Stéphane Adjemian (Charybdis)
2743ca8fdb
Fix workspace if dynare is called from a function.
2021-05-26 19:07:44 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
ba3522a9ba
Merge branch 'compute_decision_rules' into 'master'
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Use of the compute_decision_rules function to factorize code
See merge request Dynare/dynare!1856
2021-05-25 16:18:43 +00:00
9c6cc04b0d
Use of the compute_decision_rules function to factorize code (Ref.#1173)
2021-05-20 11:36:29 +02:00
7e72b52677
model_diagnostics.m: only provide message if imaginary component reaches tolerance level
2021-05-20 11:23:48 +02:00
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
7d4b01883d
get_identification_jacobians.m: remove unnecessary reordering of equations
2021-05-14 13:35:01 +02:00
c8bc12ab6c
forcst.m: fix case with measurement error
2021-05-12 17:44:35 +02:00
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
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
cc045caa6f
loglinear: Take care of non-logged lagged/leaded exogenous variables
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Closes : #1783
2021-05-11 17:47:25 +02:00
5a2fbe2f89
dynare.m: remove non-working line feed
2021-05-11 14:24:02 +02:00
bdb743eaa7
Merge branch 'rattoma/dynare-fast_realtime_shock_decomp'
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Closes !1842
2021-05-10 15:55:28 +02:00
2d39991a0a
allow for a more accurate (and more expensive) fast realtime modality, triggered by fast_realtime=INTEGER_VECTOR and where vector fast_realtime controls periods for which the smoother is run. If max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual updated accordingly.
2021-05-10 15:55:03 +02:00
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
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
088fd64114
Merge branch 'rattoma/dynare-smoother_fixes'
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Ref. !1847
2021-05-07 16:35:36 +02:00
551917581f
Bug fixes in fitered variances of smoother
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- kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
- kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
2021-05-07 16:34:53 +02:00
d43a057af3
store_smoother_results: fix header explanation of output arguments
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Variances are now in declaration order.
2021-05-07 16:34:35 +02:00
ca43df16e0
Merge branch 'dot_error' into 'master'
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Filter out "Dot indexing is not supported for variables of this type." error...
See merge request Dynare/dynare!1846
2021-05-06 14:49:39 +00:00
58db4a4c21
Merge branch 'rattoma/dynare-parallel_without_psexec'
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Ref. !1843
2021-05-06 16:31:15 +02:00
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
f43ee91ed8
Filter out "Dot indexing is not supported for variables of this type." error if variable conflicts with namespace
2021-05-06 10:59:19 +02:00
f9fb3bb386
Octave compatibility fix: xlswrite() from the io package does not return a 2nd output
2021-05-05 15:47:14 +02:00
96ad0fbec5
SUR / pooled OLS: workaround for Octave bug in dbstack(N)
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See https://savannah.gnu.org/bugs/?60531
By the way, also add a safety check in pooled OLS for the case where the
function is directly called from the top-level.
2021-05-05 15:27:15 +02:00
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
0a7d60e7a6
Stochastic solution under block decomposition: minor simplification
2021-05-04 16:33:15 +02:00
f617631b68
Merge branch 'mode_compute6' into 'master'
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gmhmaxlik.m: show mode value in addition to change in mode
See merge request Dynare/dynare!1845
2021-05-04 09:12:27 +00:00
9a4bbfef09
gmhmaxlik.m: show mode value in addition to change in mode
2021-05-03 20:33:21 +02:00
1e4d2f5aef
dseries: fix double() method for dates at yearly frequenc
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Ref. dseries#47
2021-05-03 15:03:42 +02:00
ec28179043
Perfect foresight: add warning when lmmcp and linear option are used together
2021-04-20 16:53:54 +02:00
0cef790498
Preprocessor: fix treatment of “series” option of “initval_file”
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As a consequence, adapt histval_initvalf.m to the new format.
2021-04-20 10:44:18 +02:00
Stéphane Adjemian (Charybdis)
6fe97182da
Deactivate unit tests for gamrnd if statistical toolbox is available.
2021-04-09 12:44:59 +02:00
Stéphane Adjemian (Charybdis)
237aa465d2
Fix precision in perfect_foresight_solver for backward models.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
a03b65bab7
Honour option solve_algo with backward models in perfect_foresight_solver.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
8683790927
Throw error if solve_algo={12,14} is used without JSON output.
2021-04-08 20:31:40 +02:00
d5c8e8115e
Preprocessor update
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— Properly escape some characters in JSON. As a consequence, remove the
workaround that was in matlab/loadjson_.m
— Fix JSON output for load_params_and_steady_state
— Add maximum lead/lag and varobs to JSON output
2021-04-08 14:51:49 +02:00
Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
3c11ee9581
posterior_sampler.m: make sure proposal density fields are set in parallel
2021-03-25 17:11:48 +01:00
a42a9fff75
Merge branch 'foresight_debug' into 'master'
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perfect foresight: provide debugging information for singular Jacobian
Closes #1732
See merge request Dynare/dynare!1834
2021-03-22 09:41:24 +00:00
baa6c8dbbd
Provisions for MATLAB R2021a
2021-03-17 17:47:27 +01:00
b5a4c0695f
perfect foresight: provide debugging information for singular Jacobian
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1732
2021-03-17 15:02:30 +01:00
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Stéphane Adjemian (Charybdis)
3859ea0de0
Fix read_key_value_string if commas are followed by spaces.
2021-02-26 17:50:47 +01:00
Stéphane Adjemian (Charybdis)
6752426809
Bug fixes in particles submodule.
2021-02-26 10:40:37 +01:00
Stéphane Adjemian (Charybdis)
9e37e07075
Updated dseries submodule (time aggregation routines).
2021-02-26 09:44:24 +01:00
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
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
75882bcc11
Improve command suggestion for installing statistics package from Octave Forge
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The “io” package is a dependency, hence must be explicitly installed first.
[skip ci]
2021-02-19 14:24:32 +01:00
3939544498
Remove remnants from estimation DLL
2021-02-18 14:26:10 +01:00
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
6d95abdb95
Merge remote-tracking branch 'origin/JohannesPfeifer-master-patch-11225'
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Ref. !1830
2021-02-16 16:58:04 +01:00
9ddad32e4e
Merge branch 'shock_decomp_fixes' of git.dynare.org:rattoma/dynare
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Ref. !1829
2021-02-16 16:56:52 +01:00
9d06016dc3
Merge branch 'fixes_4.7' of git.dynare.org:rattoma/dynare
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See !1827
2021-02-16 16:55:31 +01:00
592cd69e25
Bug-fix: staticmodel type.
2021-02-16 15:06:43 +01:00
99c7d88c53
dyn_forecast.m: set first_obs and allow for Bayesian smoother input
2021-02-16 11:26:35 +01:00
6b2555f0ad
smoother2histval: fix computation of data length
2021-02-16 09:00:11 +00:00
50e80fe496
write xls output in Output subdir
2021-02-16 09:56:22 +01:00
a0d0270679
smoother2histval.m: suppress output
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[skip CI]
2021-02-16 08:11:13 +00:00
f592cca59d
fixed wrong naming of shock decompositions
2021-02-13 19:07:28 +01:00
b1ae98845d
fixed bug in var list for expand menu
2021-02-13 19:07:02 +01:00
dbcdaf75a6
fixed bug when SteadyState is not used for shock decompositions
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fixed names of files, removing spaces and dots
use writetable with mac OS
2021-02-13 19:05:54 +01:00
c8cd0a06ce
allow to export expand groups to excel (instead than plotting them)
2021-02-13 19:04:39 +01:00
f8b8ec6c18
fixes around init2shocks in plotting utilities
2021-02-13 19:04:01 +01:00
faa203e029
condition computation of posterior statistics also to (options_.load_mh_file && ~options_.load_results_after_load_mh) and apply it to all cases
2021-02-13 18:53:17 +01:00
5c3b0ebc95
better handle newrat options, avoiding to treat newratflag in two places
2021-02-13 16:44:50 +01:00
915502ce13
copyright year and indentation
2021-02-13 11:29:40 +01:00
d56bba724c
autocov is initialized NaN with the original order and then only loop up to updted order compatible with sample size.
2021-02-13 11:27:18 +01:00
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
22ef0b1413
get statistics also when load_mh_file
2021-02-12 18:55:50 +01:00
b9a6462462
bug fix in trapping option newratflag
2021-02-12 18:54:07 +01:00
ebec3ede8a
allow negative lag (i.e. a lead)
2021-02-12 18:50:55 +01:00
1519e4673a
trap case when order is too big wrt sample size
2021-02-12 18:49:33 +01:00
2ee03c7e28
OLS: Octave compatibility fix
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Cell arrays cannot be used for derefencing fields in a structure.
For some unknown reason, this was nevertheless accepted by MATLAB in this
context.
2021-02-04 16:54:09 +01:00
78fdd50894
cherrypick.m: Octave compatibility fix
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The plus sign (+) was unescaped in the regular expression, which was confusing
Octave.
By the way, also remove unneeded parenthesis groupings.
2021-02-04 16:01:54 +01:00
901d8355e3
PAC iterative OLS: compatibility fix for Octave < 6
2021-02-04 16:01:30 +01:00
50a7507f9b
options_.bnlms.set_dynare_seed_to_default is a boolean
2021-02-04 12:37:36 +01:00
8e9085eea4
PAC NLS estimation: Octave compatibility fix
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In regular expressions, the end-of-word operator (\>) does not behave the same
under Octave and under MATLAB. See:
https://savannah.gnu.org/bugs/index.php?59992
In this case, we can simply drop the \> operator, since there is no risk of
matching a partial variable name (since there is already “(-1)” at the end of
the pattern).
By the way, remove a useless parenthesis grouping in the regexp.
2021-02-02 17:02:04 +01:00
7bbe67748b
simul_backward: Octave compatibility fix
2021-02-02 17:02:04 +01:00
00e36dd342
var_expectation.update: Octave compatibility fix
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There was a conflict between matlab/+var_expectation/update.m and
matlab/+var_expectation/+update/. So we renamed the (single) file in the latter
directory.
2021-02-02 17:01:59 +01:00
44a2e6463b
lyapunov_solver: increase tolerance for 2 unit tests, for MATLAB R2014a
2021-02-02 15:05:41 +01:00
1bb5612474
Merge branch 'resol' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:57 +01:00
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +01:00
3e6224e0b6
plot_contributions.m: compatibility fixes for Octave
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— use zeros instead of NaNs when decomposing between positive and negative
contributions; otherwise some contributions are not plotted
— the bar() function returns a column-vector of graphic handles, while on
MATLAB it returs a row-vector
2021-01-29 15:20:18 +01:00
5da473ac66
plot_contributions.m: compatibility fix for MATLAB ≤ R2019a
2021-01-29 14:55:06 +01:00
dcfd45bd25
missing/unique_stable.m: also support cell arrays and 2nd output argument
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Needed by aggregate.m.
2021-01-29 14:06:40 +01:00
3e98918690
aggregate.m: compatibility fix for MATLAB R2014a
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The importdata function returns empty lines on R2014a, while it omits them in
R2020a. Moreover, importdata is not meant to parse arbitrary text file. We thus
replace it by repeated calls to fgetl.
2021-01-29 12:29:39 +01:00
5fc29ace8f
Merge branch 'octave_typo' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 11:19:13 +01:00
585781bd4c
dynare_minimize_objective.m: use analytic gradient if specified
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Bug introduced in ce3e4412
2021-01-29 11:10:59 +01:00
20c00d5a02
dynare_minimize_objective: fix analytic derivatives in mode_compute=13 for Octave and MATLAB < R2016a
2021-01-29 11:02:23 +01:00
827a7fcaa8
resol.m: reduce inheritance of decision rule info
2021-01-29 10:16:04 +01:00
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
3e7c0b1eef
Merge branch 'optimizer' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:54:58 +01:00
6ac1af7035
Merge branch 'filtered_variables' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:53:30 +01:00
ce56305318
mr_hessian.m: only compute inverse of A once
2021-01-28 15:07:05 +01:00
b56b7760b1
mr_hessian.m: don't manually increase run index of loop
2021-01-28 15:06:32 +01:00
1ca5aad981
mr_hessian.m: account for non-scalar output
2021-01-28 14:45:13 +01:00
e766ad053e
mr_hessian.m: add comments and remove redundant line
2021-01-27 22:13:15 +01:00
7df35bca35
newrat.m: only compute eig(hh) if output is actually required
2021-01-27 22:02:45 +01:00
ef14cdb1e9
mr_hessian.m: remove redundant lines and try-catch statement
2021-01-27 21:42:48 +01:00
9a86f316c6
newrat.m: only find index once
2021-01-27 21:38:04 +01:00
96b1ca3bee
mr_hessian.m: honor Save_files option
2021-01-27 21:38:03 +01:00
1fc33a4c63
newrat.m: check for valid initial parameter
2021-01-27 21:38:03 +01:00
11f7ae2236
Merge branch 'octave_optim' of git.dynare.org:JohannesPfeifer/dynare
2021-01-27 18:28:35 +01:00
f662c17c5d
shock_decomposition_backward: Octave compatibility fix
2021-01-27 18:25:27 +01:00
d52a35889c
shock_decomposition_backward: workaround for bug in MATLAB ≤ R2019a
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Ref. dseries#45
2021-01-27 18:25:27 +01:00
0402c56ee7
Compatibility fix for MATLAB R2014a when estimating with empty estim_params
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The tests kalman_filter_smoother/fs2000_smoother_only.mod and
kalman_filter_smoother/fs2000_smoother_only_ns.mod would fail under MATLAB
R2014a.
They both run the estimation command without having declared an estim_params
block.
Their execution would fail in check_bounds_and_definiteness_estimation, at the
point where we check if initial values are below the lower bound.
The problem is that xparam1 would be of size 0×1, while bounds.lb would be
empty (0×0), and the comparison fails on older MATLABs.
The fix consists in ensuring that xparam1 remains of size 0×0 in that case.
2021-01-27 18:25:27 +01:00
0f19774b55
check_bounds_and_definiteness_estimation: rename last argument to BoundsInfo
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The previous name was misleading, since this is not the same as bayestopt_.
The confusion was introduced in cfe1069367
2021-01-27 18:25:27 +01:00
59dd96db83
Bayesian smoother: fix field naming for Filtered_Variables_X_step_ahead
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Naming used length of vector instead of actual steps
2021-01-27 17:41:37 +01:00
ce3e441205
dynare_minimize_objective.m: restore octave compatibility
2021-01-27 14:56:24 +01:00
8f47b276a0
Merge branch 'online_filter' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:54:03 +01:00
847eb8050a
Check measurement error for mode_compute=11
2021-01-26 16:51:39 +01:00
e1bdc87ff9
Merge branch 'lmmcp' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:27:43 +01:00
c304dea35f
stoch_simul.m: filter out mcp-tag solvers
2021-01-26 11:40:46 +01:00
a5c8fa54b6
dsge_likelihood.m: error out with non-empty gradient for analytic_derivation
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Matlab optimizers require it
2021-01-26 08:31:31 +01:00
09f992d584
Merge branch 'moments_varendo' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:18:46 +01:00
f9437f89c2
Merge branch 'analytic_derivation' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:17:52 +01:00
992e375bfa
Merge branch 'use_mh_covariance' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:16:23 +01:00
1245d41a6a
moments_varendo: store var_list in files
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Allows identifying changes in var_list in the future
2021-01-25 15:56:44 +01:00
c27c4fd932
moments_varendo: delete stale files from previous runs
2021-01-25 15:55:10 +01:00
1ee788e61b
dynare_minimize_objective.m: reorder 13 to come before 101
2021-01-24 17:41:17 +01:00
25803a6842
dynare_minimize_objective: fix use of analytic derivatives by employing wrapper function
2021-01-24 17:40:24 +01:00
ff4278070a
dynare_minimize_objective.m: replace optimset by optimoptions to allow for both Pre and post R2016a option names
2021-01-24 09:21:09 +01:00
d2a55d1e49
method_of_moments: adapt analytic jacobian output to interface used elsewhere
2021-01-24 09:21:09 +01:00
2b79eb2850
solvopt.m: suppress incidental output
2021-01-24 09:21:08 +01:00
916058cbfd
initial_estimation_checks.m: Do not allow quadratic equation solver for non-quadratic problems
2021-01-24 09:21:08 +01:00
b652b6d932
csminwel1.m: two small fixes
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- gh always exists, no need to check
- allow having non-bad gradient in first iteration
2021-01-23 22:18:45 +01:00
5bee25c06e
weibull prior: fix second derivative output and suppress display of output
2021-01-23 09:57:17 +01:00
82aa669b30
prior densities: make sure derivative output has correct dimensions
2021-01-23 09:57:17 +01:00
Stéphane Adjemian (Charybdis)
2b7dbff459
Cosmetic change.
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[skip ci]
2021-01-23 09:53:54 +01:00
f19decf297
non_linear_dsge_likelihood.m: consistently use options_.particles.pruning
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1756
2021-01-22 21:19:07 +01:00
29537b761b
csminwel1.m: fix bug with user-supplied gradient function
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transformation to function handle made subsequent ischar-checks non-functioning
2021-01-22 21:19:07 +01:00
de16e9c00a
dynare_estimation_1: restore exiting with mode_compute=0 and order=1
2021-01-22 21:19:07 +01:00
ade1dfce5e
compute_moments_varendo: cosmetic fix to display
2021-01-22 21:19:07 +01:00
b38d6f8139
compute_moments_varendo: use pruned state space at higher order
2021-01-22 21:19:07 +01:00
314948ce34
compute_moments_varendo: skip computations for various unsupported cases
2021-01-22 21:19:07 +01:00
dedfd0c08f
compute_moments_varendo: skip variance decomposition at higher order
2021-01-22 21:19:07 +01:00
9f903db283
disp_th_moments_pruned_state_space.m: cosmetic fix to header
2021-01-22 21:19:07 +01:00
417f038cc5
Particle filters: do not compute Kalman smoother
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Related to https://git.dynare.org/Dynare/dynare/-/issues/1757
2021-01-22 21:19:07 +01:00
0b87f66443
non_linear_dsge_likelihood.m: do not set use_k_order_solver with pruning
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local_state_space_iteration_k does not support it, use local_state_space_iteration_2 at order=2 instead and error out with order=3
2021-01-22 21:19:07 +01:00
dfa6359dd3
Merge branch 'solve_opt' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:33:12 +01:00
565d61aad3
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:32:42 +01:00
35df056905
histval_file: workaround for bug in MATLAB ≤ R2019a
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Ref. dseries#45
2021-01-22 18:31:31 +01:00
731a168f69
Make mh_tune_jscale work with use_mh_covariance_matrix
2021-01-22 15:01:23 +01:00
fa739c3a63
posterior_sampler_initialization.m: update record if different sampler is used
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Also removes redundant field
2021-01-22 15:01:23 +01:00
c78890d5ca
posterior_sampler_initialization.m: Allow running different samplers after each other
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Transform error to warning
2021-01-22 15:01:22 +01:00
32bdb82cf8
Make load_mh_file honor use_mh_covariance option
2021-01-22 15:01:02 +01:00
a89f21b53d
solvopt.m: prevent returning with inf
2021-01-22 14:56:49 +01:00
371fdb227b
solvopt.m: use gradient as second output instead of expecting separate function
2021-01-22 14:56:49 +01:00
c6c9b4e356
kalman_filter.m: fix bug when using analytic_derivation
2021-01-22 14:54:17 +01:00
bc053018a0
Remove risky steady state (unfinished) code
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Incidently, remove the possibility of passing model derivatives as arguments to
the k_order_perturbation. That possibility was only used by the risky steady
state code.
Closes : #1338
2021-01-22 11:32:36 +01:00
cc38c4e9f7
Merge branch 'kalman_headers' of git.dynare.org:JohannesPfeifer/dynare
2021-01-19 17:29:24 +01:00
315bfa6f51
SUR OLS: compatibility fix for MATLAB R2014a
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Under MATLAB R2014a, the strjoin() function wants a 1×n cell array, and rejects
a n×1 cell array. Octave and MATLAB R2020b are more permissive.
2021-01-19 16:27:28 +01:00
57326339e9
SUR Gibbs: do not try to create plot under Octave and MATLAB < R2014b
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The histogram() function does not exist there.
2021-01-19 16:27:26 +01:00
f81b330f14
Methods of moments: compatibility fix for MATLAB < R2015a
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The mean(…, 'omitnan') syntax does not exist before R2015a. Use nanmean
instead (either provided by the statistics toolbox, or by our fallback under
matlab/missing/stats/).
2021-01-19 15:50:14 +01:00
4944a711db
MATLAB R2014a compatibility: fix crash of rplot with several variable names
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Under MATLAB R2014a, the strjoin() function wants a 1×n cell array, and rejects
a n×1 cell array. Octave and MATLAB R2020b are more permissive.
2021-01-19 15:50:14 +01:00
f946baf6c5
Testsuite: add workaround for crash of MATLAB R2014a with TeX option
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The TeX option crashes MATLAB R2014a run with "-nodisplay" option
(as is done from the testsuite). We disable the TeX option in that case.
Since we can’t directly test whether "-nodisplay" has been passed, we test for
the "TOP_TEST_DIR" environment variable, which is set by the testsuite.
Note that it was not tested whether the crash happens with more recent MATLAB
versions, so when OLD_MATLAB_VERSION is increased, one should make a test
before removing this workaround.
2021-01-19 15:50:11 +01:00
869147c13a
Kalman filter functions: clarify header comments
2021-01-18 17:33:21 +01:00
Stéphane Adjemian (Charybdis)
38e300b94e
Merge #1786 .
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Do not compute cholesky decomposition of H if the matrix has zeros on
the diagonal.
2021-01-16 11:24:10 +01:00
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
fe93589148
non_linear_dsge_likelihood.m: return in case of exception without computing prior
2021-01-15 22:11:20 +01:00
Stéphane Adjemian (Charybdis)
b3e8dbe018
Do not rely on internal representation of @dates, use methods instead...
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... Or add a new method if one is missing.
2021-01-15 20:44:09 +01:00
4c0b2e8c4e
Mitigation for spurious warning in Octave
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Because of a bug, Octave wrongly complains that matlab/+pac/+bgp/{get,set}.m
shadow built-in functions (see https://savannah.gnu.org/bugs/?46849 ).
We disable the warning as early as we can after running the dynare command.
However the warning will nevertheless appear two times in a given Octave
session (the first time when the addpath to Dynare is done, the second time
when the dynare command is run).
2021-01-15 18:08:04 +01:00
e26a5e2805
NLS: compatibility fix for Octave and MATLAB < R2014b
2021-01-15 17:42:00 +01:00
547969df45
Trust region: compatibility fix for Octave and MATLAB < R2017b
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When merging the enterprise code, the dogleg subfunction was modified to
incorporate a call to decomposition(), which does not exist under Octave and
MATLAB < R2017b.
For those cases, we reinstate the old code (which uses a plain matrix right
divide).
2021-01-15 17:30:17 +01:00
8f07a134a3
OLS + aggregate: compatibility fix for Octave < 6
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unique(…, 'stable') does not exist in Octave 5.
2021-01-15 17:19:38 +01:00
Stéphane Adjemian (Charybdis)
6c5d61355b
Updated dseries submodule (new implementation of @dates).
2021-01-15 12:46:02 +01:00
52a57eaf60
MoM: Remove duplicate check in gradient helper function
2021-01-14 14:17:55 +01:00
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
6639cd8a41
Merge branch 'MoM' of git.dynare.org:JohannesPfeifer/dynare
2021-01-13 15:59:05 +01:00
7476d741a2
Merge branch 'estimation_forecast' of git.dynare.org:JohannesPfeifer/dynare
2021-01-13 15:58:25 +01:00
Stéphane Adjemian (Odysseus)
f4508a6ca1
Revert "update jacob_element & hess_element for vector arguments"
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This reverts commit 1975e467b5
2021-01-12 16:48:49 +01:00
Stéphane Adjemian (Odysseus)
47affc94e1
Revert "Matrix notation: fix bug in numerical Hessian of external functions"
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This reverts commit 2acacf61f1
2021-01-12 16:48:21 +01:00
Stéphane Adjemian (Odysseus)
8fd18fa9ba
Merge remote-tracking branch enterprise into master.
2021-01-12 16:45:51 +01:00
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +01:00
ea03868a6b
mode_compute=0: run dyn_forecast after smoother when forecast > 0
2021-01-10 19:46:18 +01:00
fbb1272164
Fix mode_compute=12 and filter out mode_compute=11
2021-01-10 17:30:35 +01:00
c397828eb7
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
2021-01-08 19:02:44 +01:00
Stéphane Adjemian (Charybdis)
18b54dfa98
Updated dseries submodule.
2021-01-07 22:00:51 +01:00
b2efc7a604
smoother2histval.m: fix bug when variable names are similar
2021-01-07 21:44:06 +01:00
4434edae0b
Merge branch 'MoM_testsuite' into 'master'
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Method of Moments: Updates to testsuite
See merge request Dynare/dynare!1799
2021-01-07 19:52:13 +00:00
b3e3501a6d
MoM: Fix bug in SMM with ME
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Occurs by running RBC_MoM_SMM_ME with mode_compute=9
2021-01-07 14:25:26 +01:00
2b554e0511
MoM: cosmetical changes to description of options in testsuite
2021-01-07 13:39:45 +01:00
ba8d5d364d
MoM: Update copyright years
2021-01-07 10:32:35 +01:00
8e7d0d2c5d
Preprocessor binary renamed and moved, various other improvements to make install rules
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– preprocessor binary renamed to dynare-preprocessor
— the preprocessor binary is now installed under a preprocessor/ top-level directory
— a backward-compatibility symlink is still provided under
matlab/preprocessor64/dynare_m
— the make install rule now install PDF and HTML documentation when those have
been built
Closes : #1728
2021-01-06 18:17:20 +01:00
860775ca49
Merge branch 'labels' of git.dynare.org:JohannesPfeifer/dynare
2021-01-06 14:30:52 +01:00
25d5352350
Include Dynare version and input arguments into log file
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The log file is now started from dynare.m.
Closes : #1743
2021-01-06 14:29:37 +01:00
e2f16b504c
MoM: Improve mode_compute=0 and more details on optimizers
2021-01-06 13:57:07 +01:00
ca978b6bf7
get_labels_transformed_vars.m: fix header
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[skip CI]
2021-01-06 10:27:53 +01:00
8b3da285d2
Merge branch 'msbvar' of git.dynare.org:JohannesPfeifer/dynare
2021-01-04 14:27:32 +01:00
3ef988dfcd
msbvar: provide error is chain is not specified
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See https://forum.dynare.org/t/cannot-have-number-of-chains-for-variance-or-coefficient-bigger-than-1/16650
2021-01-01 11:31:33 +01:00
9c52aec23d
Adjust output of loglinear option to make clear when a logged variable is used
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- use of function for getting labels will allow to accommodate https://git.dynare.org/Dynare/dynare/-/issues/349
- incidentally fixes a bug in the display of the simulated variance decomposition for observables with measurement error
2020-12-23 13:53:44 +01:00
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
9728a52889
evaluate_planner_objective.m: lift size restriction by solving Lyapunov equation instead of using Kronecker
2020-12-19 14:12:12 +01:00
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
205b87d195
MoM: Fix typos, improve messages and checks, schur_vec_tol option, dname
2020-12-18 16:16:30 +01:00
2359a1496c
MoM: Changed default qz_criterium and added Schur_vec_tol
2020-12-18 16:16:30 +01:00
4d9ee3f8e5
MoM: Update To-Do list
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- lsqnonlin takes less time in Andreasen toolbox due to different handling of bounds; our approach is better (objective is smaller for RBC model)
- user-specified weightning matrix does work
- qz_criterium is set to 1+e-6 to allow for unit-roots (but observables need to be stationary)
- informative message is printed that NaN values in data moments are replaced by mean
- estimated_params_bounds work as well as informative message when parameters are not calibrated
- SMM at any order without pruning works
- SMM with pruning works for orders 1,2,3; for orders above 3 simult_.m throws an error that pruning is not available
- Analytical standard errors for GMM and Bayesian estimation is included
- dirname is not needed
- Remaining to dos are updated
2020-12-18 16:16:30 +01:00
5d475d4527
MoM: Checks and fixes for perturbation order and pruning
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- Set pruning to false as default, for GMM we turn it on for order>2 and display a message for the user that we do so
- Provide error if users try GMM with order > 3
- For SMM, order > 2 and no pruning, simult_.m uses Dynare++ routines which require a seed
2020-12-18 16:16:10 +01:00
363610affe
MoM: Save checkplot data also in graphs folder
2020-12-18 16:16:10 +01:00
eae5e2f029
MoM: Add analytical standard errors for GMM
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Reset analytic_derivation_mode for steadystate file parameter changes
MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
2020-12-18 16:16:10 +01:00
ec8ea32b3e
Merge branch 'dname' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:43:30 +01:00
ba71db647e
Merge branch 'Schur_vec_tol' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:40:57 +01:00
7bdf07631a
Provide better warnings when using ramsey_constraints
2020-12-18 12:59:29 +00:00
83774a1f44
global_initialization.m: Remove automatic creation of directories
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When using `dname` they would be redundant
2020-12-17 20:10:58 +01:00
f2cde3b6d9
Make schur_vec_tol settable and document it
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Related to https://git.dynare.org/Dynare/preprocessor/-/merge_requests/29
Also convert it to lowercase as all other options
2020-12-17 19:59:22 +01:00
b8d396e388
Merge branch 'pruned_moments' of git.dynare.org:JohannesPfeifer/dynare
2020-12-17 16:47:02 +01:00
49e73e48d3
dseries: Octave 6 compatibility fixes
2020-12-17 16:44:26 +01:00
44f3a26042
Octave 6 compatibility fix
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By the way, remove an obsolete version test for MATLAB (since we now require
R2014a).
2020-12-17 16:08:32 +01:00
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
da3943beba
Make sure output is saved in dname-folder
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That's where other functions are looking for them
2020-12-16 22:41:55 +01:00
4aa25e26b2
Merge branch 'ramsey_tag' into 'master'
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get_complementarity_conditions.m: fix variable naming
See merge request Dynare/dynare!1788
2020-12-14 17:55:37 +00:00
3f18acb1f2
get_complementarity_conditions.m: fix variable naming
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Model structure must be named M_ for eval-statement with parameters replaced by position in M_.params to work
2020-12-14 17:46:08 +01:00
9351fd662f
Merge branch 'cova_compute' into 'master'
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🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
See merge request Dynare/dynare!1787
2020-12-10 11:35:51 +00:00
35b1a6859f
🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
2020-12-09 22:31:43 +01:00
Stéphane Adjemian (Charybdis)
12ef75314a
Apply d8ddd9ef6 to deterministic exogenous variables.
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(cherry picked from commit eceba8d6da
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
ffa828a659
Fixed multiple periods expected shocks in the case of mshocks.
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(cherry picked from commit d8ddd9ef61
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
a669c3765d
Cosmetic change in doc headers.
2020-12-07 22:25:54 +01:00
Stéphane Adjemian (Charybdis)
eceba8d6da
Apply d8ddd9ef6 to deterministic exogenous variables.
2020-12-07 22:25:54 +01:00
7e9a87c313
evaluate_steady_state.m: small simplification
2020-12-07 16:25:01 +01:00
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
a16023103b
ensure only lowercase files are retrieved
2020-12-07 12:31:37 +01:00
05c7925620
Accessors for posterior distributions of objects, needed by the MATLAB GUI
2020-12-07 12:31:26 +01:00
8ba1a15262
Remove outdated Occbin files
2020-12-03 10:50:58 +01:00
c160d24074
Octave 6 implements intersect(…, 'stable')
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[skip ci]
2020-11-30 18:26:50 +01:00
03641585e4
✅ Fix lsqnonlin in Octave
2020-11-26 17:07:46 +01:00
25f1641db1
Change order of checks for NaN moments, improve warnings and errors
2020-11-26 16:45:07 +01:00
21e61ef954
Merge branch 'identification_fixes' of git.dynare.org:wmutschl/dynare
2020-11-26 16:36:34 +01:00
6076c1a140
Remove obsolete VAR estimation routine
2020-11-26 15:59:23 +01:00
a710532c3a
🐛 Fix identification error with unit root observables and diffuse_filter set
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Fixes #1752
2020-11-26 13:49:14 +01:00
4aa0fa540e
Display minimum in check plots in method of moments
2020-11-26 13:28:29 +01:00
2b17a711e0
Provisions for MATLAB R2020b
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(cherry picked from commit fa12e5abfc
2020-11-24 20:47:40 +01:00
Stéphane Adjemian (Charybdis)
d8ddd9ef61
Fixed multiple periods expected shocks in the case of mshocks.
2020-11-24 15:04:41 +01:00
8c63c97d3c
Merge branch 'numprocs' into 'master'
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Add num_procs.m function in missing
See merge request Dynare/dynare!1778
2020-11-23 16:51:42 +00:00
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
MichelJuillard
Sébastien Villemot
Marco Ratto
Selma Malmberg
Normann Rion
Nikola Bokan
Willi Mutschler
Houtan Bastani