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Author SHA1 Message Date
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
Johannes Pfeifer 9b6d7dc68a Make irf_plot_threshold consistent with manual 
IRFs smaller and not smaller equal should not be displayed
 2015-08-14 12:36:08 +02:00
Johannes Pfeifer 6e93c83b69 model_comparison: Do not issue warning if all prior densities are 1 
If the user specifies nothing, this is the default, which should not result in a warning
 2015-08-13 17:49:15 +02:00
Johannes Pfeifer a072294cab Improve documentation for model_comparison.m 2015-08-13 17:49:15 +02:00
Johannes Pfeifer 680625f260 Save results of model_comparison to oo_ 2015-08-13 17:48:09 +02:00
Johannes Pfeifer 9651f62aa0 Fix bug preventing selecting modified harmonic mean for model_comparison 2015-08-13 17:48:09 +02:00
Stéphane Adjemian de9f5cd8e1 Merge pull request #1023 from JohannesPfeifer/posterior_std 
Clarify that oo_.posterior_std comes from mode computing
 2015-08-13 16:10:12 +02:00
Stéphane Adjemian (Lupi) 1fa050830b Manually merged PR #1022. 2015-08-13 14:49:39 +02:00
Johannes Pfeifer 2476ffdbb9 Add indicator for successful run of MCMC and provide error message if load_mh_file is used with crashed chain 
Closes #917
 2015-08-11 14:37:37 +02:00
Johannes Pfeifer 7bdc6de481 Cosmetic improvements in *_mh_history_file 2015-08-11 14:33:45 +02:00
Johannes Pfeifer 698a44c98a Add option for storing contemporaneous correlation 2015-08-11 11:27:55 +02:00
Johannes Pfeifer 8a09c61adb Redefine oo_.posterior_std and add oo_.posterior_std_at_mode 
Makes clear that oo_.posterior_std_at_mode comes from mode-finding while oo_.posterior_std comes from MCMC
 2015-08-11 11:24:58 +02:00
Johannes Pfeifer beab158a67 Various cosmetic fixes 2015-08-10 21:35:51 +02:00
Houtan Bastani 6e3a73190f fix general oo_ conversion function: make recursive, works in both directions, #915 2015-08-07 11:42:33 +02:00
Johannes Pfeifer df54dcaddb filt_mc: Fix saving of variables that might not exist 2015-08-06 11:56:56 +02:00
Johannes Pfeifer ef4200b3c3 Fix compatibility of gsa with new data interface 2015-08-06 11:56:15 +02:00
Houtan Bastani e13a59eb64 preprocessor: add one_sided_hp_filter to stoch_simul. #1011 2015-08-03 17:34:34 +02:00
Houtan Bastani d9a1b99899 preprocessor: add bandpass_filter option to stoch_simul. #1011 2015-08-03 17:28:55 +02:00
Michel Juillard 8fb08096b2 fixed bug introduced in commit caa04fb251 2015-07-31 19:37:55 +02:00
Houtan Bastani f216b9194b modify version checking files to work with versions with 2 and 3 numbers, #915 2015-07-31 13:46:37 +02:00
MichelJuillard 7567c04421 Merge pull request #1007 from JohannesPfeifer/ml_use_calibration 
Filter out non-fully calibrated model when use_calibration is used wi…
 2015-07-31 11:34:28 +02:00
Michel Juillard caa04fb251 add explicit opts in calls to linsolve to solve a bug in linsolve.m 
for Octave 4.0.0
 2015-07-31 11:25:54 +02:00
Johannes Pfeifer 64889b7335 Filter out non-fully calibrated model when use_calibration is used with ML 
Required after 9557142cc4.
Closes #849
 2015-07-31 11:23:58 +02:00
Houtan Bastani c88c17728e preprocessor: issue warning when param used with lead/lag. closes #976 2015-07-30 14:40:03 +02:00
Michel Juillard 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
Michel Juillard fe861fee76 fixed bug introduced in commit 1bd2a1b1c2 2015-07-29 11:54:10 +02:00
Michel Juillard 1bd2a1b1c2 ep: fixed return of solve_stochastic_perfect_foresight() and solve_stochastic_perfect_foresight_2() 2015-07-28 17:17:25 +02:00
Michel Juillard 448bece904 ep: set default algorithm for solve_algo = 9 (trust region on a single block) 2015-07-28 17:17:25 +02:00
Johannes Pfeifer 4c15342e98 Add option for selection of draw number to execute_prior_posterior_function.m 2015-07-28 15:37:01 +02:00
Johannes Pfeifer 161f2d8bc7 Add functionality for prior and posterior computations 2015-07-28 15:37:00 +02:00
Johannes Pfeifer 2620322122 Cosmetic improvements in prior_draw.m 2015-07-28 15:37:00 +02:00
Johannes Pfeifer f57cf46df9 Make GetOneDraw.m only compute posterior for prior if needed 
Potentially saves a lot of time
 2015-07-28 15:37:00 +02:00
Johannes Pfeifer ca5c714e29 Replace global variables in CutSample.m and metropolis_draw.m by function arguments 
Makes them usable outside of their current environment
 2015-07-28 15:36:59 +02:00
Johannes Pfeifer 5131f3907f Make sure the used global variables are correctly set and available in the base workspace 2015-07-28 15:36:59 +02:00
Johannes Pfeifer 0f50f33c2c Initialize M_.dname=M_.fname in global_initialization.m 
Closes #979
 2015-07-28 15:23:53 +02:00
MichelJuillard 1a5c379a86 Merge pull request #1001 from JohannesPfeifer/steady_state_file_crash 
Add missing return statement to evaluate_steady_state_file.m
 2015-07-27 21:56:30 +02:00
MichelJuillard 2209944c7c Merge pull request #1000 from JohannesPfeifer/collect_latex 
Bugfixes related to collect_LaTeX_Files.m
 2015-07-27 21:55:09 +02:00
MichelJuillard 6864a5fad6 Merge pull request #999 from JohannesPfeifer/init_fix 
Add check whether bayestopt_ is empty
 2015-07-27 21:54:05 +02:00
MichelJuillard fb77b447bd Merge pull request #998 from JohannesPfeifer/prior_distributions 
Prior distributions
 2015-07-27 21:53:19 +02:00
MichelJuillard c8f11ba162 Merge pull request #995 from JohannesPfeifer/steady_fail_message 
In debugging modus, provide termination values of steady state finding.
 2015-07-27 21:50:16 +02:00
MichelJuillard 62ded1d250 Merge pull request #994 from JohannesPfeifer/doc_shock_decomp 
Add headers and more documentation to shock_decomposition.m and graph…
 2015-07-27 21:49:33 +02:00
Johannes Pfeifer f5e8aeb552 Add missing return statement to evaluate_steady_state_file.m 
Otherwise, the code will subsequently crash if the steady state file does not return a conformably sized vector, although an error code was returned
 2015-07-27 18:10:27 +02:00
Michel Juillard c3c72192ac small bug corrections 2015-07-27 16:52:36 +02:00
Michel Juillard ef8f36565b initializing options_.instruments = [] 2015-07-27 15:52:14 +02:00
Michel Juillard 2207b51aaa correcting typo 2015-07-27 15:51:48 +02:00
Michel Juillard 22eb824c6f extended path: fixing bug 2015-07-27 14:31:42 +02:00
Johannes Pfeifer 19fdb309ac Fix computation of prior mode for uniform distribution 
While this code is never actually used, we return the prior mean, which is directly given by the first hyperparameter.
 2015-07-27 10:19:02 +02:00
Johannes Pfeifer 19b7f5ea7f Bugfixes related to collect_LaTeX_Files.m 
- deals with potentially unset M_.dname
- loads missing float package
- prevents crash when longnames is not used
 2015-07-26 17:49:54 +02:00
Johannes Pfeifer f679594908 Add check whether bayestopt_ is empty 
Otherwise crashes for calibrated smoother occur
 2015-07-25 07:32:48 +02:00
Johannes Pfeifer 8b49b30f91 Add unit tests for prior sampling 2015-07-24 16:32:05 +02:00
Johannes Pfeifer b5aeefe526 Make prior_draw.m check for uniform distribution violation of bounds 
Follows the logic for all other distributions
 2015-07-24 16:23:40 +02:00
Johannes Pfeifer 560d9719db Correct copy and paste mistake in prior_draw.m for inverse gamma II 
In case of bound violations, it was instead sampled from inverse gamma I
 2015-07-24 15:59:40 +02:00
Johannes Pfeifer 3d9f12d769 Add check whether prior mean violates Generalized (Inverse) Gamma 
Performs check as for generalized beta distribution
 2015-07-24 15:08:52 +02:00
Johannes Pfeifer f788271b9c In debugging modus, provide termination values of steady state finding. 
Closes #3
 2015-07-24 10:44:46 +02:00
Johannes Pfeifer 36e7bcdbcd Add headers and more documentation to shock_decomposition.m and graph_decomp.m 2015-07-24 10:08:43 +02:00
MichelJuillard 61d514c9eb Merge pull request #991 from JohannesPfeifer/marginal_density 
marginal_density.m: performance improvements
 2015-07-23 18:26:06 +02:00
Johannes Pfeifer 5d775d3d76 marginal_density.m: Rely on already computed inverse of SIGMA 2015-07-23 18:18:31 +02:00
Johannes Pfeifer 4202dff6c9 marginal_density.m: only compute determinant once 
Uses log(det(SIGMA*increase))=log(increase^npar*det(SIGMA))=npar*log(increase)+log(det(SIGMA))
 2015-07-23 18:13:15 +02:00
Johannes Pfeifer 9e3f89fd3b marginal_density.m: move inversion out of loop 
Related to #270
 2015-07-23 17:54:46 +02:00
MichelJuillard a156f2b42c Merge pull request #990 from JohannesPfeifer/mode_file 
Delete mode-file option after completing estimation
 2015-07-23 17:22:48 +02:00
Johannes Pfeifer 7f0318856a Delete mode-file option after completing estimation 
Prevents the recursive estimation from altering the option and closes #378
 2015-07-23 16:52:21 +02:00
Johannes Pfeifer d67e003e03 Correct check condition in dynare_estimation_init.m introduced in b2017ffece 2015-07-23 16:45:40 +02:00
MichelJuillard d82524ad1d Merge pull request #987 from JohannesPfeifer/mixed_estimation 
Prevent mixed ML/Bayesian estimation
 2015-07-23 15:57:03 +02:00
MichelJuillard 5791e15007 Merge pull request #985 from JohannesPfeifer/display_jacobian 
Change display_problematic_vars_Jacobian.m to use number of auxiliary…
 2015-07-23 15:55:48 +02:00
MichelJuillard 13cb9930f4 Merge pull request #983 from JohannesPfeifer/lyap_fix 
Two fixes regarding solution of lyapunov equations
 2015-07-23 15:55:12 +02:00
Michel Juillard 53fef04e29 Merge branch 'new_ep' 2015-07-23 15:46:09 +02:00
Johannes Pfeifer b2017ffece Check whether estimation is fully ML or fully Bayesian 
Closes #754
 2015-07-23 14:44:25 +02:00
Michel Juillard e8f318ff50 fixed problems in extended path 2015-07-23 14:27:55 +02:00
Michel Juillard b8194f7845 histval: replaced initialization with NaN by zeros 2015-07-23 14:25:18 +02:00
Michel Juillard 0d7e349187 removed useless statement 2015-07-23 11:41:47 +02:00
Johannes Pfeifer 33f4fa9f48 Change display_problematic_vars_Jacobian.m to use number of auxiliary equations stored by preprocessor 
Closes #972
 2015-07-23 09:53:02 +02:00
Johannes Pfeifer 0fd76e0c6f Assigning unique function for each input argument of lyapunov_symm.m 
The old way of redefining input arguments to satisfy different options was too error-prone. See 69daaa0460b0ddee97292c39d40355201e316622 of tholden
 2015-07-22 15:11:39 +02:00
Johannes Pfeifer aee579ecc1 Add iteration maximum to disclyap_fast.m prevent infinite loops 2015-07-22 15:08:25 +02:00
Johannes Pfeifer 83352e688a Restore compatibility of collect_LaTeX_Files.m with recently introduced _content.TeX files 2015-07-22 13:47:08 +02:00
Michel Juillard 7ff165f8b2 Merge branch 'master' into new_ep 2015-07-22 09:31:22 +02:00
Johannes Pfeifer 06bd20214e Replace strmatch by strcmp 2015-07-21 16:40:40 +02:00
Johannes Pfeifer 319f73434c Fix copy and paste error introduced in 3c9b031bd1 2015-07-21 16:18:15 +02:00
Johannes Pfeifer 2d8e6e2c83 Account for strmatch returning empty array instead of 0 if nothing is found 2015-07-21 16:00:00 +02:00
Michel Juillard 995c0d7c66 fixing typo 2015-07-21 15:32:33 +02:00
Michel Juillard 808fc067e2 Merge branch 'master' into new_ep 2015-07-21 14:05:47 +02:00
Johannes Pfeifer 68af0a4e65 Account for potentially unset M_.dname in forecast_graphs.m 2015-07-21 11:46:47 +02:00
Johannes Pfeifer 15b47ef50b Account for cases where estim_params_ is empty or has only been filled with field full_calibration_detected 2015-07-21 11:41:39 +02:00
Johannes Pfeifer 84e04522bf Account for options_.nk potentially being empty. 2015-07-21 10:41:47 +02:00
Michel Juillard 9b8077fc28 Merge branch 'master' into new_ep 2015-07-21 09:30:58 +02:00
MichelJuillard 80253835a7 Merge pull request #738 from JohannesPfeifer/Kalman 
Kalman
 2015-07-20 15:02:40 +02:00
MichelJuillard f94910173d Merge pull request #937 from JohannesPfeifer/graph_fix 
Various fixes related to graphs and eps-TeX-loaders
 2015-07-20 14:36:20 +02:00
MichelJuillard 2cb58be875 Merge pull request #969 from JohannesPfeifer/documentation 
Improve documentation of nobs, first_obs, presample, and mode_check
 2015-07-20 14:27:40 +02:00
MichelJuillard c15e8f65c7 Merge pull request #769 from JohannesPfeifer/filtered_vars_ML 
Do not create classical filtered variables at posterior mean if Bayesian...
 2015-07-20 14:21:30 +02:00
MichelJuillard 2269b38465 Merge pull request #740 from JohannesPfeifer/relative_irf 
Fix and document relative_irf
 2015-07-20 14:20:00 +02:00
MichelJuillard 8045217773 Merge pull request #729 from JohannesPfeifer/complex_jacobian 
Deal with debugging info on complex Jacobians
 2015-07-20 14:08:33 +02:00
MichelJuillard e174f5f00a Merge pull request #726 from JohannesPfeifer/steady_linear 
Prevent incorrect steady state from being accepted if model is not truly linear
 2015-07-20 14:06:03 +02:00
MichelJuillard 4b3550efbc Merge pull request #691 from JohannesPfeifer/var_decomp_unit 
Fix dsge_simulated_theoretical_variance_decomposition.m for non-stationa...
 2015-07-20 14:03:22 +02:00
MichelJuillard 9634ff2098 Merge pull request #698 from JohannesPfeifer/Fix_steady_state_estimation 
Fix bug in dynare_estimation_init.m if steady state does not solve
 2015-07-20 13:57:37 +02:00
Johannes Pfeifer 86322bcb3a Fix typo in dsge_likelihood.m 
blkdiag command is not written with ck
 2015-07-20 13:10:31 +02:00
Johannes Pfeifer b0bbab68f3 Add likelihood value to mode-file 2015-07-20 13:06:22 +02:00
Johannes Pfeifer d6bc85fdc6 Improve error message for incompatible filter/Kalman option 2015-07-20 13:06:22 +02:00
Johannes Pfeifer bb0446873f Add initial likelihood value to debugging info 2015-07-20 13:06:21 +02:00
MichelJuillard ce3dc068c3 Merge pull request #692 from JohannesPfeifer/imcforecast 
Account for initial values when making conditional forecasts
 2015-07-20 10:18:43 +02:00
Michel Juillard 2c8ee55d16 Revert "adding provision for histval in conditional_forecasts" 
This reverts commit cb9a0ef064.
 2015-07-20 10:16:03 +02:00
Michel Juillard cb9a0ef064 adding provision for histval in conditional_forecasts 2015-07-19 17:34:06 +02:00
Michel Juillard edbd1ef374 fixing typo 2015-07-13 11:51:07 +02:00