0c00151092
Merge branch 'master' into remove-dynDate-class
...
Conflicts:
preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
ea6ee19402
More Octave compatibility fixes wrt catch
2013-11-08 16:35:52 +01:00
ecdbc42319
Fix error message when initial values of estimation are not suitable.
...
Ref #512
2013-11-08 16:09:16 +01:00
179af0e4ab
Octave compatibility fix: catch does not accept an argument
2013-11-08 15:02:30 +01:00
0fdc18e7fb
Merge branch 'ifc'
...
Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
8429321547
Merge branch 'master' into remove-dynDate-class
2013-11-06 12:43:06 +01:00
a72cc3ff48
Merge remote-tracking branch 'github/master'
2013-11-05 17:17:53 +01:00
ead332ed97
Merge pull request #511 from JohannesPfeifer/Correlated_errors_preprocessor
...
Bugfixes for correlated shocks
2013-11-05 07:49:37 -08:00
8a6e23845b
Merge remote-tracking branch 'jpfeifer/mode_compute'
2013-11-05 16:20:04 +01:00
fddee8e1db
Bugfixes for correlated shocks
...
Uses preprocessing capabilities introduced in 07137e804bFixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
...
Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00
1a8bba6393
Allow a custom function named 'prior' as a value for 'mode_compute' option
...
Closes #507
2013-11-04 15:42:59 +01:00
ddd95361ba
Cosmetic changes. Added isoctave function to replace exist('OCTAVE_VERSION').
2013-11-04 10:54:45 +01:00
b81159f12c
adding comments
2013-11-03 11:40:36 +01:00
8282e76d61
Add more explicit information in case of singularity problem
2013-10-31 08:14:35 +01:00
1f884db8ea
If TolX is set to any negative number, let cmaes choose the value of TolX.
2013-10-08 16:18:54 +02:00
6a250f894d
Removed interface for H0 (cmaes).
2013-10-08 16:18:00 +02:00
0f12404246
Added interface for some options of cmaes.
2013-10-08 15:53:55 +02:00
334d9976d6
Add interface to the main options of the simpsa optimization algorithm.
2013-10-08 15:18:14 +02:00
60e1d1b75e
Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm.
2013-10-08 12:55:11 +02:00
c7d82e0bf0
Do not print H0.
2013-10-08 11:02:46 +02:00
51be957fb6
Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate).
2013-10-04 16:12:14 +02:00
36e3fb496c
Do not crash if an unknown optimization option is declared (replaced an error by a warning).
2013-10-04 12:17:30 +02:00
05946cd684
Changed names of some options for csminwel (mode_compute=4).
2013-10-04 11:59:35 +02:00
b2db159cdd
Added the possibility to pass options for csminwell (mode_compute=4) through the optim option (in the estimation command).
2013-10-03 12:35:06 +02:00
49989504ea
Cosmetic changes.
2013-10-03 11:06:07 +02:00
62cad6ff44
Cosmetic changes.
2013-10-03 11:01:11 +02:00
979a55a334
Added missing semicolon.
2013-10-02 18:26:57 +02:00
581f97bada
Linked simpsa's tolerance options to dynare's defaults.
2013-10-02 17:09:05 +02:00
fb0ccdd5d2
Provide more sensible lower and upper bounds for simpsa algorithm.
2013-10-02 16:45:16 +02:00
3f16129e49
mode_compute = 10 calls simpsa algorithm.
2013-10-02 15:30:55 +02:00
ad73d1fd93
Fixes bug in display of parameters at prior bound
2013-09-30 17:10:39 +02:00
c5c3b45f3c
Merge branch 'master' into use-dynSeries
2013-09-23 08:14:46 +02:00
241fd07424
Add Geweke 1992 convergence diagnostics
2013-09-16 18:47:15 +02:00
e123670675
Fix bug introduced in 952139b
...
The 'hh' variable is now always defined, so we now test if it is empty.
2013-09-13 18:23:24 +02:00
ddce110bf2
Merge branch 'master' into use-dynSeries
2013-09-10 22:26:12 +02:00
952139bbc9
Changes related to the treatment of the (optionally) provided mode file.
...
(1) Added more checks on the content of the provided mode file compared the the list of declared parameters (the condition on the number of parameters is not strong enough).
(2) Added a mechanism to adapt the content of the mode file if possible. For instance, if the estimated parameters are a subset of the parameters in the mode file, we only need to discard some of the parameters in the mode file.
(3) Added output argument in dynare_estimation_init, which returns the hessian matrix (hh) with the estimated mode.
2013-09-10 22:25:16 +02:00
afed204526
Cosmetic. Renamed hh (figure handle not to be confused hessian matrix) as fh.
2013-09-10 22:25:16 +02:00
b485a13580
Merge branch 'use-dynSeries' of ithaca.fr:dynare into use-dynSeries
...
Conflicts:
matlab/check_list_of_variables.m
matlab/dynare_estimation_1.m
2013-09-09 11:40:01 +02:00
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
c2e6feeb75
Deletion of unused definition of H_is_diagonal
...
Cosmetic fix
2013-09-04 11:11:29 +02:00
e1a0fd0524
Bugfix for conditional variance decomposition
...
sigma_e_is_diagonal was erroneously set to 0 if the covariance matrix was diagonal, but contained a 0 on the main diagonal.
2013-09-04 11:11:14 +02:00
01c3724371
Deal with pathological case where nobs=1
...
In this case the plots crash due to an invalid xlim. Also adds markers if only one point is plotted
2013-08-15 16:35:01 +02:00
b4f8532bea
Merge pull request #441 from JohannesPfeifer/mode_check
...
Bugfix for mode_check and display of parameters out of bounds
2013-08-12 03:31:50 -07:00
184c403375
Replaced disp(' ') by skipline().
2013-07-10 16:16:32 +02:00
964b7580d8
Cosmetic change.
2013-07-10 16:15:28 +02:00
dfc51d097a
Cosmetic change. Replaced warning(...) by disp(...).
2013-07-10 16:09:31 +02:00
2fae989131
Rewrote the portion of code requesting a user input when non linear filters are used with a gradient based optimization routine.
...
Closes issues #442 and #443 .
2013-07-10 16:03:49 +02:00
aeda8d17ff
Add warning if gradient-based optimizer is used with particle-filtering and offer user choice to change mode-finder
2013-07-10 12:08:59 +02:00
41f6c2ff66
Display source of non-positive definite Hessian if parameters at prior bound
2013-07-06 00:26:23 +02:00
d9579418fd
Bugfix for correct display of names of parameters outside of bounds
2013-07-06 00:20:07 +02:00
08feada8b0
Fixed bug.
2013-06-24 10:24:55 +02:00
340bcc2739
Added an option for setting the number of points where the posterior kernel is evaluated when using mode_check. Reorganized the options_ global structure wrt mode_check.
2013-06-20 17:19:44 +02:00
1bbfd90498
Added online auxiliary filter as options_.mode_compute=10.
2013-06-18 16:18:55 +02:00
c08c34223d
Fixed typo and bug in MCMC diagnostics.
2013-06-13 17:14:04 +02:00
e8ed4c1f67
Bunch of cosmetic changes
2013-06-13 14:24:17 +02:00
49277db6ab
Merge branch 'master' into use-dynSeries
...
Conflicts:
matlab/dynare_estimation_1.m
2013-06-01 19:56:44 +02:00
985e00b739
Consider options_.varobs as a cell of strings.
2013-05-21 16:38:17 +02:00
fc83427185
Merge pull request #393 from JohannesPfeifer/display_tables
...
Add function for displaying estimation results
2013-05-14 03:18:19 -07:00
d9fb19e479
Make error message if mode violated prior more explicit
2013-05-12 13:27:55 +02:00
7aea75f348
Add function for displaying estimation results
...
The commit moves the creation of results tables, both the ones displayed
and printed to LaTeX, from dynare_estimation_1.m to a separate function.
This factorization later allows to use this function to display results
from other estimation routines. At the same time, it removes the display
of t-statistics for posterior estimates ( #339 )
2013-05-10 18:58:08 +02:00
58b6c3122f
Cosmetic Changes to Graphs
2013-04-26 19:57:36 +02:00
7518072e77
Fix several bugs related to estimated measurement errors
...
1. The first call to set_prior overwrote the first column of
estim_params_.var_endo storing the position of the variable with
measurement error in M_.endo_names with the position in
options_.var_obs. All subsequent calls to set_prior then lead to
crashes.
2. At the same time, for correlations of ME, the first column of
estim_params_.corrn still stored the position of the variable with
measurement error in M_.endo_names. But subsequent calls to it were done
as if it stored the position in options_.var_obs
I introduced two new variables in estim_params_ storing the respective
positions in var_obs so as to not necessitate changes in the
preprocessors.
3. For cases of calibrated measurement error correlations, the
covariance matrix was not updated.
4. Fixing a lot of smaller bugs related to measurement errors, including
some copy and paste errors
-
2013-03-21 20:51:12 +01:00
6390830b4d
Store MCMC information recorded in record in oo_
...
Closes issue #315 (https://github.com/DynareTeam/dynare/issues/315 )
2013-03-17 22:49:28 +01:00
5c8efaae6c
More explicit error message when posterior mode file is outdated
2013-03-08 14:31:15 +01:00
5c88338965
Fix mode_compute=3 under Octave
2013-01-07 15:40:48 +01:00
8c7e3d46ed
Document when mode_compute={1,3,7} are available, and error with an informative message if not
2013-01-07 15:40:45 +01:00
c06bd0ae75
Support nograph option for posterior distribution plots
2012-11-29 14:52:33 +01:00
c722f53955
fixed bug with options mode_compute=0,mode_file=....
...
added tests for mode_compute=4 and mode_compute=6. They increase computing time of the
test suite by about 30 minutes.
2012-10-06 16:51:42 +02:00
e81f9d48ac
Improved display of mode_compute=6 optimization algorithm. Fixed bugs. Changed the options.
2012-09-29 00:08:05 +02:00
3744061112
Save the names of the estimated parameters in <MODEL_NAME>_mode.mat when mode_compute is equal to six (stochastic optimization).
2012-09-29 00:08:05 +02:00
e519b04713
bug fix: when nograph=1, SmoothedShocks were not saved.
2012-08-27 17:45:47 +02:00
40e1e60fd1
1) changed options of optimizer n. 1 with analytic derivs;
...
2) force no analytic derivative with mode_check;
2012-07-05 10:22:36 +02:00
b907e82e7b
Removed NaNs in M_.Correlation_matrix if they are the consequence of variances (of structural innovations) calibrated to zero.
2012-06-14 15:32:14 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
...
2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
e12748329b
Fixed bug reported by Johannes ( http://www.dynare.org/pipermail/dev/2012-May/002015.html ), see also trac#257.
2012-06-06 18:25:08 +02:00
fac9528014
Do not compute smoothed variables or forecasts if the model is
...
estimated with a particle filter (the non linear smoother is not yet
implemented).
2012-06-06 18:25:08 +02:00
ef1146f5a3
Fixed bug trac#202. Define the sigma_e_is_diagonal flag when no shocks block is declared in the mod file.
2012-06-06 18:25:08 +02:00
9bea42f411
order=2 in estimation command now triggers particle filter
2012-06-06 17:08:53 +02:00
4480f5b494
Fixes around latex output: use of longtable for parameter estimates and various fixes for posterior analysis, also for parallel execution.
2012-05-30 11:22:59 +02:00
c0ffcf7fd8
Fix problem with smoother where original data series was not plotted
2012-05-11 19:58:16 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
...
This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
e692185c6b
storing oo_.prior.mean oo_.prior.variance
...
oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
9cc4661942
Fixed bug in initial_estimation_checks + Cosmetic changes.
2012-03-30 11:12:59 +02:00
5d4d318bc7
fixing bug in estimation by maximum likelihood
2012-03-15 15:33:02 +01:00
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
cf9e8a6714
Bug fix. When the estimation command is used, do not issue an error message if options_.order>1. In this
...
case reset the options_.order equal to one (except if options_.particle.status==1).
2012-03-05 14:56:02 +01:00
59d3d30c90
Fixed typo. Do not use the non linear filter automatically when order==2, otherwise the non linear filters are used if the estimation command is used after a stoch_simul command with order==2. The non linear filter is used only if options_.particle.status is explicitely set to 1 (before the estimation command). A new estimation option is needed...
2012-03-05 14:21:52 +01:00
e1a5e0de53
Objective function needs to be passed as a string to CMAES optimization routine.
2012-03-04 22:13:00 +01:00
6a8095303e
Added particle filter flag.
2012-03-04 22:12:59 +01:00
2f3c8f910f
Fixed bug related to the dynare implementation of the simplex algorithm.
2012-03-04 22:12:58 +01:00
8aea0bf14c
Updated copyright year.
2012-03-04 22:12:58 +01:00
ce40f0ebfc
Add CMAES (Ticket #245 ) for mode optimization
2012-03-04 22:07:26 +01:00
c848b3337a
added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
...
nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
de8962b239
Revert "added calls to re-initialize persistent variable 'penalty' in dsge_likelihood() and dsge_likelihood_hh() before calling the optimizer"
...
This reverts commit 108444b703
2012-01-09 20:47:11 +01:00
108444b703
added calls to re-initialize persistent variable 'penalty' is
...
dsge_likelihood() and dsge_likelihood_hh() before calling the
optimizer
2012-01-08 17:59:33 +01:00
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Penelope)
Sébastien Villemot
Houtan Bastani
Johannes Pfeifer
Michel Juillard
Sébastien Villemot
Frédéric Karamé
Johannes Pfeifer
Marco Ratto
Sébastien Villemot
Johannes Pfeifer