Houtan Bastani
db8638ec97
pooled_fgls: use iterative method and fix bug in M_.Sigma_e
2019-02-13 15:57:06 +01:00
Houtan Bastani
29c3a86c81
sur: move to iterative method
2019-02-13 15:57:06 +01:00
Stéphane Adjemia (Scylla)
468d0f5ae5
Added integration test (IRFs of backward models).
2019-02-13 15:19:18 +01:00
Stéphane Adjemia (Scylla)
beb7d42d74
Initialize IRFs with histval (second approach).
2019-02-13 15:19:18 +01:00
Houtan Bastani
85e903ef90
tabs instead of spaces in Makefile.am
2019-01-30 16:29:21 +01:00
Houtan Bastani
20256b5be9
test zero equations in SUR
2019-01-30 16:29:11 +01:00
Stéphane Adjemia (Scylla)
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
Houtan Bastani
169ed2a655
reorder tests, slowest first
2019-01-22 17:13:03 +01:00
Houtan Bastani
407ac26f5b
separate test call for ols style mod files
2019-01-22 15:55:15 +01:00
Houtan Bastani
0399e3c777
modify test to handle AR(1) with no parameter
2019-01-17 18:57:41 +01:00
Houtan Bastani
8574e94bdb
change test to fix de_ehic_de_ehic_L1 at 1
2019-01-17 18:06:17 +01:00
Stéphane Adjemia (Scylla)
9b06086ea7
Added rules for running tests in ecb and estimation/univariate subfolders.
2019-01-16 16:05:05 +01:00
Houtan Bastani
df713e907b
add tests to makefile
2019-01-16 14:52:01 +01:00
Houtan Bastani
4804e729e8
makefile: fix spacing
2019-01-16 12:54:30 +01:00
Stéphane Adjemia (Scylla)
4d95484e60
Changed optimization algorithm.
2018-12-19 16:10:08 +01:00
Stéphane Adjemia (Scylla)
23e37e45c4
Cosmetic change.
...
create a namespace for each {VAR/PAC} expectation model.
2018-12-19 11:43:26 +01:00
Stéphane Adjemia (Scylla)
351da3b865
Do not update a dseries object, but instantiate a new object.
2018-12-19 10:53:09 +01:00
Stéphane Adjemia (Scylla)
0d5b310207
Added integration tests (for constrained OLS).
2018-12-07 19:54:33 +01:00
Stéphane Adjemia (Scylla)
bbf437bebd
Replaced histograms by non parameteric density estimators + other cosmetic changes.
2018-12-07 19:54:32 +01:00
Stéphane Adjemia (Scylla)
bfd9680f85
Fixed encoding.
2018-12-07 19:54:32 +01:00
Houtan Bastani
44e5a88ddd
dyn_ols: use AST instead of regex to parse equations
2018-12-07 19:54:32 +01:00
Stéphane Adjemia (Scylla)
cb4384bb27
Create on the fly a routine for evaluating the (VAR/PAC) expectations.
...
The routine takes a dseries object as unique argument and return an updated
object with the expectation term.
If the mod file is named `example.mod` and if the (VAR/PAC) expectation model is
named `toto`, then after
var_expectation.print('toto');
the expectation term can be evaluated:
ts = example.var_expectations.evaluate_varexp(ts);
where ts is a dseries object containing all the time series appearign in the
auxiliary (var or trend_component).
2018-12-03 15:07:43 +01:00
Stéphane Adjemia (Scylla)
53ab321de8
Added the possibility to use linear expressions in VAR_EXPECTATION_MODEL.
...
See tests/var-expectations/9/example.mod for a self documented example.
Also updated all the integration tests using the option `expression` instead of
`variable` (which is deprecated and will be removed at some point).
2018-11-30 23:36:06 +01:00
Stéphane Adjemia (Scylla)
650c78f99d
Merge branch 'master' into ecb-master
2018-11-30 21:34:56 +01:00
Stéphane Adjemia (Scylla)
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
Stéphane Adjemia (Scylla)
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
Stéphane Adjemia (Scylla)
6b113273d3
Added integration tests (Iterative OLS and NLS for PAC equations).
2018-11-21 16:26:38 +01:00
Sébastien Villemot
6995e24863
The testsuite can now be run from Windows
2018-11-21 16:21:59 +01:00
Sébastien Villemot
59d4dd185e
Merge branch 'ident_test' into 'master'
...
kim2.mod: trigger case where estim_params_block is not detected
See merge request Dynare/dynare!1638
2018-11-16 17:55:39 +00:00
Sébastien Villemot
a7a46a6b75
Add missing file in c407b63e84
...
Ref Dynare/preprocessor#13
2018-11-16 18:37:20 +01:00
Sébastien Villemot
c407b63e84
Update preprocessor submodule + add test
...
Ref Dynare/preprocessor#13
2018-11-16 18:34:37 +01:00
Johannes Pfeifer
33d35d8fcc
kim2.mod: trigger case where estim_params_block is not detected
2018-11-16 17:56:13 +01:00
Stéphane Adjemia (Scylla)
460dba40d7
Added integration test (estimated_params_init).
2018-10-25 10:33:31 +02:00
Stéphane Adjemia (Scylla)
524085927d
Removed useless tag (data_type).
2018-10-24 18:45:38 +02:00
Stéphane Adjemia (Scylla)
dcea7514d9
Merge branch 'master' into ecb-master
2018-10-24 18:31:31 +02:00
Houtan Bastani
8a2c38cf6c
olsgibbs: save fitted values in dataset; allow use of dictionary as in dyn_ols
2018-10-24 17:17:01 +02:00
Stéphane Adjemia (Scylla)
2c890f924a
Removed useless tags.
2018-10-24 14:28:32 +02:00
Stéphane Adjemia (Scylla)
1c1a3ea0a4
Removed tests on targets.
...
A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
Stéphane Adjemia (Scylla)
d96740c2ef
Added integration tests (var and pac expectations).
2018-10-14 17:01:02 +02:00
Stéphane Adjemia (Scylla)
9358a1544b
Updated integration test (trends->targets).
2018-10-10 16:15:31 +02:00
Stéphane Adjemia (Scylla)
d4bfd6c9f0
Another attempt to fix numerical accuracy issues in integration tests.
2018-10-06 21:44:58 +02:00
Stéphane Adjemia (Scylla)
9a84129707
Added integration for the bayesian estimation of a single equation.
...
Uses a Gibbs sampling algorithm.
2018-10-06 16:59:00 +02:00
Stéphane Adjemian (Charybdis)
084b7ac537
Changed optimization algorithm in integration tests.
...
fs2000_uncorr_ME_missing was failing on some servers due to a numerical
precision issue. It appears that the problem drops off if the smoothed
variables are computed on another point (given by another optimization
algorithm).
2018-10-04 12:02:31 +02:00
Stéphane Adjemian (Charybdis)
03bd2b73e6
Fixed integration test for the automatic tuning of mh_jscale.
2018-10-03 18:21:16 +02:00
Sébastien Villemot
c6a17abc72
Testsuite: suppress MATLAB splash screen when generating .m.tls file
2018-10-01 16:40:26 +02:00
Stéphane Adjemian(Charybdis)
a680cea095
Fixed integration test for trend component model (equation ordering).
2018-09-28 17:39:14 +02:00
Stéphane Adjemian(Charybdis)
11a882d66f
Fixed bug in integration tests (trends-->targets).
2018-09-28 12:23:37 +02:00
Stéphane Adjemian(Charybdis)
76c4df129c
Added integration tests.
2018-09-27 18:58:52 +02:00
Sébastien Villemot
39110b3087
Test for analytical_derivatives: use mode_compute=9
...
This optimizer seems more robust accross different hardware (with other
optimizers, the algorithm does not converge to a local maximum, e.g. on the
runner "lupi").
2018-09-27 15:05:14 +02:00
Houtan Bastani
bd36a0c109
Merge branch 'master' into ecb-master-targets
2018-09-25 15:51:18 +02:00