Sébastien Villemot
8f47b276a0
Merge branch 'online_filter' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:54:03 +01:00
Johannes Pfeifer
847eb8050a
Check measurement error for mode_compute=11
2021-01-26 16:51:39 +01:00
Sébastien Villemot
e1bdc87ff9
Merge branch 'lmmcp' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:27:43 +01:00
Johannes Pfeifer
c304dea35f
stoch_simul.m: filter out mcp-tag solvers
2021-01-26 11:40:46 +01:00
Johannes Pfeifer
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
Sébastien Villemot
09f992d584
Merge branch 'moments_varendo' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:18:46 +01:00
Sébastien Villemot
f9437f89c2
Merge branch 'analytic_derivation' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:17:52 +01:00
Sébastien Villemot
992e375bfa
Merge branch 'use_mh_covariance' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:16:23 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
c27c4fd932
moments_varendo: delete stale files from previous runs
2021-01-25 15:55:10 +01:00
Johannes Pfeifer
1ee788e61b
dynare_minimize_objective.m: reorder 13 to come before 101
2021-01-24 17:41:17 +01:00
Johannes Pfeifer
25803a6842
dynare_minimize_objective: fix use of analytic derivatives by employing wrapper function
2021-01-24 17:40:24 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
d2a55d1e49
method_of_moments: adapt analytic jacobian output to interface used elsewhere
2021-01-24 09:21:09 +01:00
Johannes Pfeifer
2b79eb2850
solvopt.m: suppress incidental output
2021-01-24 09:21:08 +01:00
Johannes Pfeifer
916058cbfd
initial_estimation_checks.m: Do not allow quadratic equation solver for non-quadratic problems
2021-01-24 09:21:08 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
5bee25c06e
weibull prior: fix second derivative output and suppress display of output
2021-01-23 09:57:17 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
de16e9c00a
dynare_estimation_1: restore exiting with mode_compute=0 and order=1
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
ade1dfce5e
compute_moments_varendo: cosmetic fix to display
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
b38d6f8139
compute_moments_varendo: use pruned state space at higher order
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
314948ce34
compute_moments_varendo: skip computations for various unsupported cases
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
dedfd0c08f
compute_moments_varendo: skip variance decomposition at higher order
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
9f903db283
disp_th_moments_pruned_state_space.m: cosmetic fix to header
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
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
Sébastien Villemot
dfa6359dd3
Merge branch 'solve_opt' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:33:12 +01:00
Sébastien Villemot
565d61aad3
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:32:42 +01:00
Sébastien Villemot
35df056905
histval_file: workaround for bug in MATLAB ≤ R2019a
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Ref. dseries#45
2021-01-22 18:31:31 +01:00
Johannes Pfeifer
731a168f69
Make mh_tune_jscale work with use_mh_covariance_matrix
2021-01-22 15:01:23 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
32bdb82cf8
Make load_mh_file honor use_mh_covariance option
2021-01-22 15:01:02 +01:00
Johannes Pfeifer
a89f21b53d
solvopt.m: prevent returning with inf
2021-01-22 14:56:49 +01:00
Johannes Pfeifer
371fdb227b
solvopt.m: use gradient as second output instead of expecting separate function
2021-01-22 14:56:49 +01:00
Johannes Pfeifer
c6c9b4e356
kalman_filter.m: fix bug when using analytic_derivation
2021-01-22 14:54:17 +01:00
Sébastien Villemot
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
Sébastien Villemot
cc38c4e9f7
Merge branch 'kalman_headers' of git.dynare.org:JohannesPfeifer/dynare
2021-01-19 17:29:24 +01:00
Sébastien Villemot
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
Sébastien Villemot
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
Sébastien Villemot
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
Sébastien Villemot
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
Sébastien Villemot
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
Johannes Pfeifer
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
Johannes Pfeifer
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