b8c76a96e3
block_kalman_filter: add integration tests
2021-08-17 14:26:58 +02:00
bfd92e79a7
Occbin: udpate options
2021-08-16 11:37:53 +02:00
Stéphane Adjemian (Charybdis)
c00307c8cc
Fix encoding.
2021-08-16 11:23:13 +02:00
Stéphane Adjemian (Charybdis)
1c54eb21d2
Cosmetic change (remove trailing spaces).
2021-08-16 11:19:28 +02:00
0d200f3b39
MoM: Fix AFVRR test cases due to 3c67ad
2021-08-16 10:58:35 +02:00
f5ec70a06d
MoM: Refactor AnScho test case
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Instead of checking everything in one mod file, this commit separates the checks into individual mod files that test:
- whether the translation from matched_moments works
- whether the duplicate moments are found
- whether GMM and SMM both work with different estimated_params blocks.
wip
2021-08-16 10:58:35 +02:00
Stéphane Adjemian (Ryûk)
bdc95dd1d0
Add unit tests (trust_region algorithm).
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Using mex implementation (block_trust_region).
2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk)
e8cc23d3af
Bug fixes (typos).
2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk)
a905539f60
Add test functions for nonlinear solvers.
2021-07-23 19:44:16 +02:00
b34be496c5
Merge branch 'evaluate_planner' into 'master'
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evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
See merge request Dynare/dynare!1890
2021-07-23 14:01:22 +00:00
440a0e460b
Storage of results: use subfolder
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Ref. #1758
2021-07-23 14:12:17 +02:00
e09d215964
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
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Also cosmetic changes to indentation
2021-07-23 13:27:30 +02:00
3206ea9684
Merge branch 'evaluate_planner_objective' into 'master'
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Streamline evaluate planner objective
See merge request Dynare/dynare!1887
2021-07-22 14:42:22 +00:00
a517c1f1de
neo_growth_ramsey_k_order.mod: call evaluate_planner_objective
2021-07-22 15:20:30 +02:00
8b8f919a0f
Merge branch 'smoother2histval' into 'master'
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Improvements for smoother2histval
See merge request Dynare/dynare!1886
2021-07-22 12:03:59 +00:00
3fb41e075f
Matlab implementation of the consider_all_endogenous_and_auxiliary option
2021-07-22 13:12:27 +02:00
0e793faeb2
Merge branch 'pf_options' into 'master'
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Particle filter: enable passing of option values and prepare for other samplers
Closes preprocessor#59
See merge request Dynare/dynare!1884
2021-07-22 09:50:10 +00:00
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
Stéphane Adjemian (Ryûk)
cd2ed823b6
Fix constant in VAR and PAC expectations...
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When the VAR auxiliary model has a constant.
2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk)
a69f68bb7c
Modify companion matrix if VAR model has a constant.
2021-07-21 18:02:04 +02:00
1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1882
2021-07-21 16:42:00 +02:00
944bf2b68e
occbin: work with non-demeaned data and in constraints
2021-07-21 13:42:38 +02:00
ac3f04c2ff
borrcon*.mod: nostrict option is not needed anymore
2021-07-20 22:38:21 +02:00
c4e1d1e802
Occbin: new syntax for constructing multi-regime equations
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Ref. #569
2021-07-20 18:19:19 +02:00
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
Stéphane Adjemian (Ryûk)
54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations.
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Ref. #1785
Just add option `structural` to the `var_model` command.
2021-07-16 10:25:18 +02:00
Stéphane Adjemian (Ryûk)
547b7aef45
Activate integration test for NLS estimation.
2021-07-15 17:39:41 +02:00
Stéphane Adjemian (Ryûk)
14bc82b287
Add single equation estimation by NLS.
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Ref. #1798 .
See example in tests/estimation/example_nls.mod.
2021-07-15 16:55:49 +02:00
Stéphane Adjemian (Ryûk)
2b4572affd
Allow arbitrary nonzero mean exogenous variables in PAC equations.
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Previously any nonzero mean exogenous variable had to be centered on
the growth rate (first difference) of the (PAC's LHS) endogenous
variable.
2021-07-11 17:06:53 +02:00
abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands
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These command solve the problem where agents think they know perfectly the
future (they behave as in perfect foresight), but make expectation errors.
Hence they can potentially be surprised in every period, and their expectations
about the future (incl. the final steady state) may change.
Currently the sequence of information sets needs to be passed through a CSV
file. Another interface may be added in the future.
The algorithm uses a sequence of (true) perfect foresight simulations (not
necessarily as many as there are periods, because if the information set does
not change between two periods, there is no need to do a new computation).
There are two possibilities for guess values:
— the default is to use the initial steady state for the simulation using the
first-period information set; then use previously simulated values as guess
values
— alternatively, with the terminal_steady_state_as_guess_value option, use the
terminal steady state as guess value for all future periods (this is actually
what the “true” perfect foresight solver does by default)
2021-07-09 18:16:46 +02:00
Stéphane Adjemian (Ryûk)
fe63082c42
Add lagged information set in VAR based expectations.
2021-07-06 23:06:46 +02:00
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
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
88b427f7bc
Compatibility fix for MATLAB R2014a
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MATLAB R2014a does not like the syntax “abs(x).data” where “x” is a dseries.
2021-06-16 17:41:40 +02:00
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
Stéphane Adjemian (Ryuk)
2a5ed79be5
Do not run MCMC after online filter (integration test)
2021-06-15 22:09:35 +02:00
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
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
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +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
Stéphane Adjemian (Charybdis)
9867203f25
Reduce simulation length in integration test.
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Also removed commented codes.
Closes #1857
2021-05-28 13:56:13 +02:00
f78ac9f5ac
EP with MCP: add test case
2021-05-28 13:49:58 +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
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
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +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
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
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
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
749fc219e5
Testsuite: increase test tolerance under Octave for ecb/SURGibbs/fulton_fish.mod
2021-05-05 15:43:19 +02:00
62e42e08a8
Testsuite: more fixes related to stochastic block decomposition + mfs > 0
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Ref. #1726
2021-05-05 10:15:52 +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
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
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
d6677f66a4
Testsuite: adapt histvalf_initvalf unit tests following previous commit
2021-04-20 12:17:23 +02:00
caef9e266b
Preprocessor: fix crash in DataTree::operator=() with model local variables
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Also add a regression test.
Closes : #1782
2021-04-16 17:36:08 +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
d68fc14fed
Build system: remove trailing whitespace in Makefile
2021-03-29 15:27:47 +02:00
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
11f8f9c7f4
MATLAB R2021a compatibility: rename datafile for ms-sbvar tests
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The datafile was name “data.m”, and for some unidentified reason, this stopped
working with MATLAB R2021a.
2021-03-17 17:41:27 +01:00
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
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
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
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
788e05b2fd
smoother2histval: add test case for correctness
2021-02-16 11:25:46 +01:00
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
e4af502360
Testsuite / pac: Octave compatibility fix
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Use a different random seed under Octave for several tests.
Note that these tests seems fragile. Changing the seed under MATLAB often leads
to a failure.
2021-02-04 16:01:35 +01:00
f094dc71f9
Testsuite / pac/trend-component-19-growth-comb: fix accuracy check
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The test was using the comparison operator (>) on a dseries. This would give a
bogus (false) result under MATLAB, and would crash under Octave.
2021-02-04 16:01:30 +01:00
9b555ec974
Testsuite / BGP tests: compatibility fix tests with MATLAB < R2016a
2021-02-02 15:02:50 +01:00
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +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
6ac1af7035
Merge branch 'filtered_variables' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:53:30 +01:00
af67b4f7c9
Testsuite: Octave 6 compatibility fix
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In Octave ≤ 5, it was impossible to take a function handle for a function in a
package (“+” folder). This bug has been fixed in Octave 6, so we can use the
same codepath as MATLAB in that case. See
https://savannah.gnu.org/bugs/index.php?46659
2021-01-28 16:36:43 +01:00
25d19fef96
Testsuite: increase numerical tolerance for minimal_state_space_system/sw_minimal.mod
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This is necessary for MATLAB R2014a on some runners.
2021-01-27 18:24:26 +01:00
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
c596b8890e
Trend_diagnostics_MCMC_common.inc: do not store smoother results on disk
2021-01-27 17:42:15 +01:00
8ad8bf05b3
gsa/ls2003a.mod: reduce run-time
2021-01-26 10:39:38 +01:00
e9ea837b28
Reduce run-time of tune_mh_jscale/fs2000.mod
2021-01-26 10:10:29 +01:00
c507eefc23
testsuite: check values of analytic derivation likelihood to prevent regression
2021-01-24 17:41:50 +01:00
ec69174173
Improvements to particle tests
2021-01-22 21:19:07 +01:00
c9a6637ca5
Testsuite: compatibility fix for MATLAB R2014a
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Double quotes strings are not supported under older MATLAB versions.
2021-01-19 16:14:25 +01:00
783598bdeb
Testsuite / methods of moments: compatbility fix for MATLAB R2014a
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MATLAB R2014a does not like some of the variable names that are passed to
table(). Disable that call, as under Octave.
2021-01-19 16:10:40 +01:00
68af1c80fe
Testsuite: cosmetic changes to TeX and debug options
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– Whenever possible, pass the “tex” option to Dynare commands instead of
fiddling with options_.TeX;
— For the remaining explicit options_.TeX and also for options_.debug,
use a boolean value instead of an integer.
2021-01-19 15:50:14 +01:00
654da6ecb8
Merge branch 'octave_fixes' into 'master'
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Don't do bgp/solow-1 in Octave
See merge request Dynare/dynare!1780
2021-01-18 11:28:36 +00:00
Stéphane Adjemian (Charybdis)
78a4bca383
Use nonlinear filter.
2021-01-16 17:43:30 +01:00
Stéphane Adjemian (Charybdis)
0f3dd003b7
Run mod files in tests/particle.
2021-01-16 17:42:17 +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
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
23cb1879e9
Testsuite: fix PAC test filename
2021-01-15 17:19:41 +01:00
0a880825a1
MoM: Testsuite fixes for Octave
2021-01-14 10:04:10 +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
Johannes Pfeifer
Willi Mutschler
Sébastien Villemot
Marco Ratto
Normann Rion