0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
6aa65e2a6a
Added test function for slice sampler
2016-05-19 14:34:09 +02:00
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
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It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
4ea52066b9
preprocessor: simplify a5590f7917
2016-05-19 12:10:19 +02:00
a5590f7917
preprocessor: fix bug in debian compilation
2016-05-19 12:06:53 +02:00
0e2e1376c9
Fix bug in simulated moments
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Closes #1105
2016-05-18 22:51:20 +02:00
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
6b7a77d5a9
preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187
2016-05-18 12:26:19 +02:00
253e6c8dfb
Revert "Revert "preprocessor: add option no_2nd_order_params_derivs. #1187""
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This reverts commit c496d6f5ca
2016-05-18 10:34:45 +02:00
42895ce32c
Revert "preprocessor: add params_derivs_order to identification and sensitivity. #1187"
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This reverts commit 6192a6a776
2016-05-18 10:33:45 +02:00
706351f1a0
Merge pull request #1190 from JohannesPfeifer/dsgevar
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Filter out error code 6 in dsge_var_likelihood.m
2016-05-17 22:36:46 +02:00
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
6192a6a776
preprocessor: add params_derivs_order to identification and sensitivity. #1187
2016-05-17 17:18:16 +02:00
4b71593b3c
preprocessor: fix typo
2016-05-17 15:42:23 +02:00
c496d6f5ca
Revert "preprocessor: add option no_2nd_order_params_derivs. #1187"
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This reverts commit 024586fbb1
2016-05-17 15:37:46 +02:00
308828aa95
Revert "preprocessor: params_derivs_file: by default, compute second order derivs wrt params; simplify code; #1187"
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This reverts commit 1442f83037
2016-05-17 15:37:29 +02:00
626f8af374
preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187
2016-05-17 15:32:51 +02:00
7c00ae723e
preprocessor: add analytic_derivation option to identification and sensitivity. #1187
2016-05-17 12:43:05 +02:00
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
28aeb9f308
bug fix
2016-05-17 08:40:32 +02:00
85e3ddd2d4
build system: modify package creation for OS X. Min requirements OS X 10.8+ and 64-bit Matlab
2016-05-13 15:52:49 +02:00
5723e7ea58
build system: remove support for 32-bit Matlab on OS X
2016-05-13 10:53:55 +02:00
1442f83037
preprocessor: params_derivs_file: by default, compute second order derivs wrt params; simplify code; #1187
2016-05-13 10:48:49 +02:00
024586fbb1
preprocessor: add option no_2nd_order_params_derivs. #1187
2016-05-12 14:40:28 +02:00
9d26ab46e9
preprocessor: only compute first order derivatives w.r.t. parameters with identification. closes #1187
2016-05-12 12:02:34 +02:00
89667ea8da
remove unused file. closes #1172
2016-05-11 15:12:27 +02:00
a4b6dfa3f3
preprocessor: interface for osr_params_bounds. #948
2016-05-10 18:01:00 +02:00
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
e1bdd830af
testsuite: fix race condition in accessing .mat file
2016-05-10 11:34:17 +02:00
d5dff28704
preprocessor: fix bug introduced in c9ca46f228. Further simplify ParsingDriver::declare_nonstationary_var(). Closes #1184
2016-05-09 16:10:04 +02:00
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
5e5157e375
loglinear: bug correction
2016-05-06 10:12:12 +02:00
67ea280773
adding missing semi-colon
2016-05-06 10:11:53 +02:00
Marco Ratto
Houtan Bastani
Johannes Pfeifer
Stéphane Adjemian
Michel Juillard