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Author SHA1 Message Date
Marco Ratto 0aa7e15d58 - Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues. 
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
 2015-10-13 17:26:39 +02:00
Marco Ratto 05fc096569 Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables. 
This avoids shifting to univariate filter in most cases.
 2015-10-13 17:15:01 +02:00
Houtan Bastani c45a054c6f modify calling structure of execute_prior_posterior_function and update doc 2015-10-13 15:13:35 +02:00
Johannes Pfeifer cb3804ab51 Remove automatic error from resid.m when steady state does not solve. 
Closes #573
 2015-10-13 13:45:54 +02:00
Johannes Pfeifer 1043a019c2 Save posterior moments even if the distribution is degenerate 
Closes #1024
 2015-10-13 11:47:35 +02:00
Marco Ratto 2d59920a70 - systematically check bounds for each parameter during optimization 
- make htol adaptive to each parameter to speed up computations
 2015-10-13 11:07:01 +02:00
Marco Ratto 61d6e49dfd Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson) 2015-10-13 10:45:35 +02:00
Marco Ratto bc8f546cbb Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done. 2015-10-13 10:44:13 +02:00
Stéphane Adjemian d3eca9338b Merge pull request #1038 from JohannesPfeifer/kernel_density 
Allow computing posterior kernel density
 2015-10-12 23:23:07 +02:00
Johannes Pfeifer 40877685f2 Add LaTeX-output option to table from stoch_simul.m 2015-10-12 20:42:04 +02:00
Johannes Pfeifer 38d293b864 Replace globals in disp_th_moments.m by function arguments 2015-10-12 20:42:03 +02:00
Johannes Pfeifer f7ae5e4f60 Adjust table titles to accommodate new filter options 2015-10-12 20:42:02 +02:00
Johannes Pfeifer 281e87f807 Add simulated variance decomposition 2015-10-12 20:42:01 +02:00
Johannes Pfeifer a524681e40 Replace globals in disp_moments.m by function arguments 2015-10-12 20:42:00 +02:00
Johannes Pfeifer 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
Johannes Pfeifer a4b04ca9b4 Fix UnivariateSpectralDensity.m for filtered variables 
- Adds bandpass filter
- Writes results to oo_
 2015-10-12 20:41:59 +02:00
Johannes Pfeifer 25df325899 Add bandpass filter to th_autocovariances.m 
Also adds documentation
 2015-10-12 20:41:58 +02:00
Johannes Pfeifer e9f2be0c1a Cosmetic changes to UnivariateSpectralDensity.m 2015-10-12 20:41:57 +02:00
MichelJuillard 6d23db41d0 Merge pull request #1082 from JohannesPfeifer/steady_state_file_check 
Check whether steady state file returns column vector
 2015-10-12 16:33:29 +02:00
Johannes Pfeifer 8ef96c46ca Check whether steady state file returns column vector 2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis) 203455d2a1 Updates particles submodule (mainly bug fixes). 2015-10-12 15:51:16 +02:00
Johannes Pfeifer 7ebbc41d8a Get rid of eval statements by using indirect indexing of structures 2015-10-12 15:36:42 +02:00
Johannes Pfeifer b7cbb563d6 Allow suppressing density of smoother and forecast objects 2015-10-12 15:34:52 +02:00
Johannes Pfeifer 1ef1f9c75d Transform hard-coded kernel density options to real options 2015-10-12 15:34:51 +02:00
MichelJuillard aa894f8613 Merge pull request #1075 from JohannesPfeifer/stochastic_singularity 
Condition check for stochastic singularity on maximum of non-missing …
 2015-10-12 09:12:31 +02:00
MichelJuillard c2565e803f Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail 
Filter out failure of k_order_pert in likelihood computation
 2015-10-11 20:45:51 +02:00
Johannes Pfeifer 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
Johannes Pfeifer e3e34e1c7d Reduce default accuracy criterion in cmaes.m 2015-10-11 18:50:05 +02:00
Johannes Pfeifer df47be4076 Properly set bounds and H0 for CMAES 2015-10-11 18:21:25 +02:00
Johannes Pfeifer d513d38f73 Filter out failure of k_order_pert in likelihood computation 2015-10-11 17:55:27 +02:00
Johannes Pfeifer 33aa22a80f Condition check for stochastic singularity on maximum of non-missing observations 
closes #1071
 2015-10-11 10:49:15 +02:00
MichelJuillard 866ab33575 Merge pull request #1042 from JohannesPfeifer/discretionary 
Various fixes for discretionary_policy
 2015-10-10 22:25:46 +02:00
MichelJuillard b51b037ef2 Merge pull request #871 from JohannesPfeifer/prior_posterior_function 
Add functionality Prior posterior function
 2015-10-10 22:17:53 +02:00
Michel Juillard 6502c311a0 replaced global timer by local timer 2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis) 18a5eea7e0 Fixed bug in clear_persistent_variables routine. 
The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
 2015-10-10 00:21:18 +02:00
Stéphane Adjemian 3490e400bc Merge pull request #1015 from JohannesPfeifer/model_comparison 
Bugfixes and improvements for model_comparison
 2015-10-09 17:11:15 +02:00
Michel Juillard f7f158f078 Revert "removed global objective_function_penalty_base" 
This reverts commit 5ade8d7c6f.
 2015-10-09 14:23:32 +02:00
Michel Juillard 784b8d893c Revert "reducing penalty value to 0.1 when there is no ground to make it proportional" 
This reverts commit a6f123fd50.
 2015-10-09 14:23:32 +02:00
Michel Juillard 818fa47375 Revert "adding new functions for penalty optimization" 
This reverts commit b9e535e99e.
 2015-10-09 14:23:31 +02:00
Michel Juillard 295eed6118 Revert "adapted dsge-var code for new handling of penalties" 
This reverts commit 3966296aca.
 2015-10-09 14:23:31 +02:00
Michel Juillard f464760c45 Revert "remove global objective_function_penalty_base" 
This reverts commit cf858c7fcb.
 2015-10-09 14:23:31 +02:00
Michel Juillard 035adeb89e Revert "More fixing related to objective_function_penalty_base" 
This reverts commit 1ad8df4635.
 2015-10-09 14:23:31 +02:00
Michel Juillard 1a9aa17c9e Revert "More fixings around objective_function" 
This reverts commit 05cd51111c.
 2015-10-09 14:23:31 +02:00
Michel Juillard 9be5c31761 Revert "More fixing of the same" 
This reverts commit a54dda165f.
 2015-10-09 14:23:31 +02:00
Michel Juillard 063a548bd3 Revert "changed persitent variables into local ones in mr_hessian.m" 
This reverts commit fe077fc710.
 2015-10-09 14:23:31 +02:00
Michel Juillard bc37c838c7 Revert "more fixes for penalty objective function" 
This reverts commit 3dac7f8809.
 2015-10-09 14:23:31 +02:00
Michel Juillard a7a3bbef89 Revert "reset newratflag = 0 in dynare_minimize_objective" 
This reverts commit d4cf3576e4.
 2015-10-09 14:23:31 +02:00
Michel Juillard 7202c497de Revert "removed initialization of mr_hessian()" 
This reverts commit f48a026d89.
 2015-10-09 14:23:31 +02:00
Michel Juillard f48a026d89 removed initialization of mr_hessian() 2015-10-08 20:57:00 +02:00
Michel Juillard d4cf3576e4 reset newratflag = 0 in dynare_minimize_objective 2015-10-08 20:57:00 +02:00
Michel Juillard 3dac7f8809 more fixes for penalty objective function 2015-10-08 20:57:00 +02:00
Michel Juillard fe077fc710 changed persitent variables into local ones in mr_hessian.m 2015-10-08 20:57:00 +02:00
Michel Juillard a54dda165f More fixing of the same 2015-10-08 20:57:00 +02:00
Michel Juillard 05cd51111c More fixings around objective_function 2015-10-08 20:57:00 +02:00
Michel Juillard 1ad8df4635 More fixing related to objective_function_penalty_base 2015-10-08 20:57:00 +02:00
Michel Juillard cf858c7fcb remove global objective_function_penalty_base 2015-10-08 20:57:00 +02:00
Michel Juillard 3966296aca adapted dsge-var code for new handling of penalties 2015-10-08 20:57:00 +02:00
Michel Juillard b9e535e99e adding new functions for penalty optimization 2015-10-08 20:57:00 +02:00
Michel Juillard a6f123fd50 reducing penalty value to 0.1 when there is no ground to make it proportional 2015-10-08 20:57:00 +02:00
Michel Juillard 5ade8d7c6f removed global objective_function_penalty_base 
added penalty_objective_function.m and penalty_hessian.m
 2015-10-08 20:57:00 +02:00
Stéphane Adjemian (Charybdis) 9131472429 Do not ask for confirmation when deleting a non empty directory (Octave) 2015-10-07 18:13:44 +02:00
Stéphane Adjemian (Charybdis) c064e9ed5e Make unit test compatible with Octave. 2015-10-07 17:47:14 +02:00
Stéphane Adjemian (Charybdis) 44c198f3f4 Updated dseries module (fix for csv files). 2015-10-07 11:58:17 +02:00
MichelJuillard f4e8fc74da Merge pull request #1068 from JohannesPfeifer/trust_region 
Test for solution before breaking with error code -3 in trust_region
 2015-10-06 14:17:25 +02:00
Johannes Pfeifer 934901036b Test for solution before breaking with error code -3 in trust_region.m 
Fixes #1067
 2015-10-06 13:59:59 +02:00
Stéphane Adjemian (Charybdis) 489bffdfd8 Fixed option names for mode_compute=6. 2015-10-06 11:34:56 +02:00
Stéphane Adjemian (Charybdis) 03b92c6387 Added file to clear all functions with persistent variables. 2015-10-06 11:34:56 +02:00
Houtan Bastani 07e29125a2 Revert "Merge pull request #1064 from JohannesPfeifer/trust_region" 
This reverts commit 9cc96b93c0, reversing
changes made to 1bc965625c.
 2015-10-06 09:52:16 +02:00
Houtan Bastani 51463929d1 reporting submodule update 2015-10-02 16:22:35 +02:00
Stéphane Adjemian (Charybdis) a42a9a427f Added a routine to test if a file is older than all the files in a folder (and subfolders). 2015-09-25 23:37:45 +02:00
Johannes Pfeifer c01352ea3b Fix exit criterion in trust_region.m 
Otherwise, error code -3 (Trust region became uselessly small) was accepted as a solved steady state
 2015-09-25 09:11:47 +02:00
ferhat 7c5272d852 Allows to compute the extended path and the conditional forecasts with bytecode 2015-09-22 15:39:49 +02:00
Stéphane Adjemian (Charybdis) a911568b37 Updated dseries submodule and reference manual. 
Remove the possibility to instantiate an empty dseries with a range of dates.
 2015-09-14 14:07:51 +02:00
Houtan Bastani 268384572b Merge pull request #1017 from JohannesPfeifer/gsa_fix 
Fix bugs in gsa with morris and posterior sampling
 2015-09-09 11:44:49 +02:00
Stéphane Adjemian (Charybdis) e5e9bdb892 Adding missing exception... 
For cases where a generalized eigenvalue is too close to 0/0.
 2015-09-04 11:02:39 +02:00
Stéphane Adjemian (Charybdis) 59618d132e Do not print warning backtrace when some parameters are not initialized. 2015-09-03 18:31:02 +02:00
Stéphane Adjemian (Charybdis) 267218b5b2 Updated m-unit-tests submodule. 2015-09-01 14:55:23 +02:00
Stéphane Adjemian edcddd9008 Merge pull request #1037 from JohannesPfeifer/rolling_window 
Add capacities for rolling window estimation
 2015-08-31 12:56:02 +02:00
Stéphane Adjemian ffa281a058 Merge pull request #1043 from JohannesPfeifer/check_matlab_path 
Make check_matlab_path.m able to deal with one-letter files
 2015-08-31 09:12:35 +02:00
Johannes Pfeifer b592987fb4 Base evaluation of linearity at steady state for exogenous variables 2015-08-30 11:56:26 +02:00
Johannes Pfeifer 9e504a1293 discretionary_policy: Add check whether equation number is consistent with declared number of instruments 
Also fixes unit test that violated this.
 2015-08-30 11:43:54 +02:00
Johannes Pfeifer 3b64c37cb3 Update information in M_ if discretionary_policy_1.m changes lead_lag_incidence 2015-08-30 11:42:49 +02:00
Johannes Pfeifer 9d90a204f7 Clean up evaluate_planner_objective.m 2015-08-30 11:16:26 +02:00
Johannes Pfeifer c66ee8941a Document discretionary_policy_engine.m 2015-08-30 11:14:35 +02:00
Stéphane Adjemian (Charybdis) d8eff0843f Updated particles submodule. 2015-08-28 11:20:24 +02:00
Johannes Pfeifer 14e2b6ec67 Make check_matlab_path.m able to deal with one-letter files 
Closes #1040
 2015-08-27 15:34:54 +02:00
Stéphane Adjemian 9179d331e0 Merge pull request #1036 from JohannesPfeifer/cosmetics 
Speedup and compatibility
 2015-08-27 11:46:16 +02:00
Stéphane Adjemian (Charybdis) d125c2effc Fixed bug (wrong syntax for switch, case 5). 2015-08-27 11:37:07 +02:00
Johannes Pfeifer cc3aeafd00 Save planner objective function with discretionary_policy 2015-08-26 10:00:35 +02:00
Johannes Pfeifer f5dac58ffc Remove redundant check whether nobs is empty from dynare_estimation.m 2015-08-25 15:40:44 +02:00
Johannes Pfeifer f80f0f9258 Add capacities for rolling window estimation 2015-08-25 15:37:25 +02:00
Johannes Pfeifer 26437e1c32 Replace eval by indirect addressing of fields. 2015-08-25 09:45:39 +02:00
Johannes Pfeifer 24a91ab6bc Replace inline by anonymous functions 
Inline will be removed from future Matlab versions
 2015-08-25 09:44:48 +02:00
Michel Juillard 511801c903 finalize svar_global_identification_check 2015-08-24 14:53:27 +02:00
Houtan Bastani a88d1bd0f8 Merge pull request #1032 from JohannesPfeifer/mode_check 
Add missing fclose to mode_check.m
 2015-08-17 14:45:25 +02:00
Johannes Pfeifer ee66f892ca Add missing fclose to mode_check.m 2015-08-17 14:42:52 +02:00
Houtan Bastani e8b894c791 submodule update: dseries 2015-08-17 12:16:21 +02:00
Houtan Bastani b7b9202672 Merge pull request #1029 from JohannesPfeifer/display_Jacobian 
Fix wrong display type in display_problematic_vars_Jacobian.m
 2015-08-17 11:00:25 +02:00
Johannes Pfeifer 6f8000f0f3 Condition test whether varobs was defined on existence of field 2015-08-17 10:48:41 +02:00
Johannes Pfeifer c322315010 Fix wrong display type in display_problematic_vars_Jacobian.m 
Equation number is a double, not a string.
 2015-08-15 11:58:43 +02:00