c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
9459ff5d8f
Add bandpass filtering to simulated moments
...
Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +02:00
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
fd9f2db79d
Allow resuming previous run of CMAES
...
Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
...
Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
698a44c98a
Add option for storing contemporaneous correlation
2015-08-11 11:27:55 +02:00
e13a59eb64
preprocessor: add one_sided_hp_filter to stoch_simul. #1011
2015-08-03 17:34:34 +02:00
d9a1b99899
preprocessor: add bandpass_filter option to stoch_simul. #1011
2015-08-03 17:28:55 +02:00
c88c17728e
preprocessor: issue warning when param used with lead/lag. closes #976
2015-07-30 14:40:03 +02:00
7d11ed7642
histval: use now the same treatment for exogenous and exogenous det
...
variables as for endogenous ones. Closes issue #617 .
2015-07-29 16:12:53 +02:00
448bece904
ep: set default algorithm for solve_algo = 9 (trust region on a single block)
2015-07-28 17:17:25 +02:00
4c15342e98
Add option for selection of draw number to execute_prior_posterior_function.m
2015-07-28 15:37:01 +02:00
5131f3907f
Make sure the used global variables are correctly set and available in the base workspace
2015-07-28 15:36:59 +02:00
0f50f33c2c
Initialize M_.dname=M_.fname in global_initialization.m
...
Closes #979
2015-07-28 15:23:53 +02:00
ef8f36565b
initializing options_.instruments = []
2015-07-27 15:52:14 +02:00
9b8077fc28
Merge branch 'master' into new_ep
2015-07-21 09:30:58 +02:00
8007f508a2
New option linear_approximation for perfect foresight models.
...
This approach only requires one evaluation of the dynamic model (and its
jacobian) instead of T (the number of perdiods). Also (because the model
is linear) the equilibrium paths are obtained by inverting the jacobian
of the stacked equations (no need for a Newton algorithm).
Only available with stack_solve_algo==0 (which is the default algorithm
for solving perfect foresight models).
If possible, the option is triggered automatically if the model is
declared linear.
TODO:
* Write a linear version of perfect_foresight_problem routine.
* Evaluate the approxilation error (just need to evaluate the system of
stacked non linear equations).
2015-07-07 17:55:41 +02:00
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
0769fd1cce
Add verbosity and SaveFile options to some optimizers
...
Also moves additional optimizer-related files to corresponding subfolder
Closes #894
2015-06-08 16:44:44 +02:00
959349d30f
Put rgwmh options in a substructure.
2015-05-28 18:03:53 +02:00
194bdb57c3
Merge branch 'rewrite-nonlinear-filters'
2015-05-28 15:40:39 +02:00
fe8750c1bc
preprocessor: add minimal_workspace option to dynare statement, #946
2015-05-28 11:50:39 +02:00
0c2483278c
Add three variables for RWGMH.
2015-05-28 11:45:16 +02:00
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
b3047c9742
Merge branch 'master' into new_ep
2015-05-23 18:26:07 +02:00
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
6d0dfc2d3f
Do not use hard coded value for the finite interval replacing unbounded intervals in simpsa and simulated annealing algorithms.
2015-05-07 15:59:46 +02:00
de526eae57
Merge pull request #906 from JohannesPfeifer/table_display
...
Cosmetic fixes to the on-screen display of tables
2015-05-07 15:15:38 +02:00
efc5ec7002
Merge pull request #908 from JohannesPfeifer/optimizer_doc
...
Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
18e9521450
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
8285121f9b
Allow selection of tolerance for display of decision rules
2015-04-22 15:37:35 +02:00
1970951d1f
Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues'
2015-04-16 22:31:07 +02:00
fe48de4406
Re-set default of new option diffuse_kalman_tol to 1e-6:
...
former hardcoded value was 1e-6 in the univariate smoother (i.e. the one most often used).
Updated documentation.
2015-04-08 15:44:39 +02:00
a81c9da9a2
Add simulated_annealing.m to optimizers
...
Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
405b1f7368
Add solvopt.m to Dynare optimizers
...
Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
c881cfff17
Fixed issues related to newratflag.
...
This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
21f009a531
Merge branch 'master' into new_ep
2015-02-14 11:54:57 +01:00
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Michel Juillard
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer
Frédéric Karamé
Marco Ratto
Johannes Pfeifer