dd8bd78562
Updated dseries submodule.
2015-07-09 16:03:47 +02:00
29589c062f
Moved mode_check data file (see commit fe41b64c84) in a subfolder.
2015-07-08 17:18:27 +02:00
fe41b64c84
Save on disk the data produced by mode_check.
2015-07-08 16:05:38 +02:00
69b7d8024c
submodule update: reporting
2015-07-08 11:43:19 +02:00
84f2b50043
Block using presample option with DSGE-VAR
2015-07-08 09:21:50 +02:00
d78ed888e5
Added a function to evaluate the accuracy of the linear approximation
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when solving perfect foresight models.
2015-07-07 17:55:41 +02:00
ee44dd5fea
Updated header.
2015-07-07 17:55:41 +02:00
316f394e06
Removed unused variables from sim1.m.
2015-07-07 17:55:41 +02:00
17f3583151
Allow linear_approximation option with stack_solve_algo=7.
2015-07-07 17:55:41 +02:00
27922a349c
Fixed typo.
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The value of jacobian_flag was not passed to fsolve.
2015-07-07 17:55:41 +02:00
8007f508a2
New option linear_approximation for perfect foresight models.
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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
3640b2b511
minor change to perfect_foresight_solver_core.m
2015-07-07 16:42:30 +02:00
ca6da942f2
Merge pull request #968 from JohannesPfeifer/Typos
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Fix typos in error message in stochastic_solvers.m
2015-07-06 09:37:21 +02:00
90a6bb991c
Fix typos in error message in stochastic_solvers.m
2015-07-06 08:53:54 +02:00
3d4d3ff2cb
Replace call to cholcov by call to chol
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Closes #964
2015-07-06 08:21:09 +02:00
3b142de609
submodule update: reporting
2015-07-02 11:16:10 +02:00
73781eafcf
submodule update: reporting
2015-07-02 10:15:57 +02:00
8ab0a60164
submodule update: reporting
2015-07-02 10:08:34 +02:00
cccb0995ff
submodule update: reporting
2015-07-01 15:07:31 +02:00
a51e7251e1
submodule update reporting
2015-06-26 15:42:06 +02:00
23ff65d15a
Updated dynare_config routine (initialization of the dseries and dates classes).
2015-06-24 19:02:42 +02:00
6d2f049637
Moved routines and updated submodules dseries and dates.
2015-06-24 18:54:51 +02:00
71700dff76
Merge pull request #942 from JohannesPfeifer/TaRB_integration
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Integrate the TaRB-algorithm into Dynare
2015-06-19 14:30:56 +02:00
3fd010ff91
Merge pull request #957 from JohannesPfeifer/fs2000_steady_state
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Update unit tests to use correct steady state files
2015-06-18 14:25:01 +02:00
49dbd4e091
Merge pull request #960 from JohannesPfeifer/calib_smoother
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Filter out case where estimated_params block is present but smoother on calibration is requested
2015-06-18 12:15:19 +02:00
1cd2df568a
Merge pull request #956 from JohannesPfeifer/dyn_mex_windows
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Fix bugs in dyn_mex.m under Windows
2015-06-18 11:48:12 +02:00
73e1ddf7f0
Merge pull request #961 from rattoma/gsa
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Fix bug for models with leads and legs in exo variables
2015-06-18 11:32:37 +02:00
bf707c1975
Merge pull request #962 from JohannesPfeifer/bvar_irf_fix
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Port bugfix #920 for Bayesian IRFs to BVAR routine
2015-06-18 11:27:55 +02:00
770250aee9
submodule update: reporting
2015-06-17 12:58:03 +02:00
ecd03815c8
Port bugfix #920 for Bayesian IRFs to BVAR routine
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Fixes plotting of IRFs where IRFs turn from negative to positive
2015-06-15 19:31:09 +02:00
44fd0b37f9
reporting: submodule update
2015-06-11 11:55:31 +02:00
a39c26060e
Fix bug for models with leads and legs in exo variables
2015-06-10 15:57:30 +02:00
864b5f17bc
submodule update: dates
2015-06-10 09:28:07 +02:00
22b1aa7a0d
Filter out case where estimated_params block is present but smoother on calibration is requested
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In this case, xparam1 will be empty while estim_params_ does not have conformable dimensions.
2015-06-09 14:51:32 +02:00
ac7b8a691e
Fix evaluation of residuals stored in info
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They were wrongly based on the initial guess
2015-06-08 18:10:58 +02:00
a5e60834ca
Ascertain that only correct steady states for linear models are accepted
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Without the check, incorrect steady states were accepted. This happened for example if the model was not linear in the first place and solving a wrongly presumed linear equation system did not work.
2015-06-08 18:09:39 +02:00
52f9d164ac
Add routine for creating parameter table
2015-06-08 17:59:57 +02:00
f1d81dbf90
Account for latex_original file in collect_LaTeX_Files.m
2015-06-08 17:59:57 +02:00
45bbd460e7
Add routine collect_LaTeX_Files.m that integrates non-standalone TeX-codes into one file that can be compiled
2015-06-08 17:57:16 +02:00
bcc1008d3d
Only create eps-loaders if eps-figures have been created (leaves table TeX-output unaffected)
2015-06-08 17:57:15 +02:00
be567c92a3
Fix description of generating function in eps-loader in dynare_estimation_1.m
2015-06-08 17:57:15 +02:00
200187a2c9
Fix TeX-loader of PosteriorIRF.m
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It referred to the wrong files and always loaded only one figure, even if several were created.
2015-06-08 17:57:14 +02:00
66a840b4d5
Add TeX-loader to forecast_graphs.m used with dyn_forecast.m
2015-06-08 17:57:14 +02:00
3a18b72f1b
Add TeX eps-loader to graph_decomp.m called in shock_decomposition.m
2015-06-08 17:57:14 +02:00
efb23bbca0
Add captions to pm3.m TeX-output
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Otherwise, it is impossible to know that is displayed
2015-06-08 17:57:13 +02:00
26f6f7eb3b
Fix bug in forecast_graphs.m when var_list_ was empty
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In this case, var_list was not set to M_.endo_names because of a typo
2015-06-08 17:57:13 +02:00
6f7265337b
Fix saving of graphs in forecast_graphs.m
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Did not use the M_.dname folder, but rather fname
2015-06-08 17:57:12 +02:00
a339164b77
Eliminate global variables from dyn_forecast.m and add header
2015-06-08 17:57:12 +02:00
8385e813ce
Fix display of ML forecasts with Matlab 2014b graphics interface
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Explicit colours need to be specified
2015-06-08 17:57:11 +02:00
c2f07c720f
Add check whether tarb_new_block_probability is between 0 and 1
2015-06-08 16:49:39 +02:00
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
0769fd1cce
Add verbosity and SaveFile options to some optimizers
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Also moves additional optimizer-related files to corresponding subfolder
Closes #894
2015-06-08 16:44:44 +02:00
ccbb5fa7fb
Fix relative_irf option for higher order
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Ex-post scaling is only allowed if linearity holds
2015-06-08 16:39:07 +02:00
3c9b031bd1
Fix bug in dynare_estimation_init.m if steady state does not solve
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There was no check in dynare_estimation_init.m whether the steady state solved, but the noconstant option was set nevertheless. This gave rise to cases where a steady state file returned 0 for the observables, but the steady state did not exits. Due to later using use_calibration, this problem with the initial values was not detected, but the observation equation featured no constant although it should. The solution is to move the use_calibration option before the first steady state computation and then issue an error if the parameterization does not work
2015-06-08 16:35:50 +02:00
1c01bacf36
Fix bug in dyn_forecast.m where forecasts after an initval block where computed at the initial values and not at the steady state
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This contradicted the manual (histval must be used to do this). Also clarifies the manual on this.
2015-06-08 15:48:46 +02:00
58387f00e9
Make conditional forecasts compatible with histval
2015-06-08 15:42:14 +02:00
ad66a7bb35
Account for initial values when making conditional forecasts
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- Closes #655
- Implements unit test
- Saves distribution of controlled exogenous variables
- Adds information that the full path of constrained variables must be specified
2015-06-08 15:42:14 +02:00
5f40285307
Take care of more requested plot periods than unconditional forecast periods
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Also takes care of initial period that was neglected
2015-06-08 15:33:54 +02:00
5d8da65e6d
Add check for unique data entries in dataset
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Leads to cryptic crashes if not filtered out
2015-06-08 11:16:40 +02:00
41155369ac
Merge pull request #955 from JohannesPfeifer/identification_fixes
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Various fixes to GSA and Identification
2015-06-08 10:17:24 +02:00
249c2ca7ad
Force sampling from uniform distribution for ML in stab_map_.m
2015-06-08 09:45:09 +02:00
c864d9facb
Fix histvalf.m for steady state files
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In this case, ex0_ is required, but it was not set global, leading to crashes
2015-06-07 17:28:16 +02:00
13134e0c80
Make check_list_of_variables.m reflect that varobs is now a cell array.
2015-06-07 17:25:04 +02:00
c39331d526
Fix bugs in dyn_mex.m under Windows
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Fixes string comparison and copy and paste error.
2015-06-07 14:07:11 +02:00
e07607011c
Merge pull request #710 from JohannesPfeifer/estimation_init_analytic_derivation
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Fix bug in dynare_estimation_init.m with analytic_derivation where param...
2015-06-06 23:17:10 +02:00
79ca991b02
Add initialization of c1 to sylvester3.m
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Prevents crashes in older Matlab versions for pathological cases (e.g. if p=0)
2015-06-06 18:45:05 +02:00
27622a29da
Fix initialization of parameter bounds for ML case in stab_map_.m
2015-06-06 17:40:37 +02:00
68c9c3e9ab
Account for ML in map_ident_.m
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In this case, pdraws is empty. Closes #676
2015-06-05 20:49:43 +02:00
4e6ce64081
Account for possibility of ML estimation in stab_map_.m
2015-06-05 20:48:43 +02:00
a269bed26e
Account for fact that varobs is row cell now, not char column array in GSA
2015-06-05 20:47:51 +02:00
88ae542a8a
Fix copy and paste error in set_shocks_param.m introduced in 3ea44d47cf
2015-06-05 20:46:46 +02:00
1232d51765
Cosmetic fixes to stab_map_.m
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Also fixes initialization of variables; closes #764
2015-06-05 19:22:03 +02:00
446b1f6dc1
Fix bug in identification when estimating only standard deviations
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Closes #945
2015-06-05 18:22:45 +02:00
3ea44d47cf
Port changes from #511 to gsa/set_shocks_param.m
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Closes #662
2015-06-05 16:56:32 +02:00
01cb238a22
Account for NaN in graphs during identification if ML is used
2015-06-05 16:40:01 +02:00
d09bf195c9
Make sure diffuse_filter option is correctly passed in dynare_identification.m
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Closes #677
2015-06-05 16:39:17 +02:00
0b99367648
Fixed bug in makedataset (do not use 'exist' function, cannot make the difference between xls and xlsx files).
2015-06-05 16:35:05 +02:00
11c84b733f
Fixed bug.
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isoctave is not in the path when calling add_path_to_mex_files.
2015-06-05 11:32:44 +02:00
6196501f37
Updated dseries submodule (fix for octave and big csv files loading).
2015-06-04 18:38:37 +02:00
c782ca3686
adding occbin original files from 20140630
2015-06-04 14:18:46 +02:00
ccad2848db
Homotopy not implemented for purely backward or forward perfect foresight
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models.
2015-06-04 12:28:58 +02:00
08635df66f
submodule update: reporting
2015-06-03 15:22:47 +02:00
c639e4a075
Merge pull request #952 from JohannesPfeifer/ident_lag_fix
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Update computation of non-zero moments within loop that increases num…
2015-06-03 14:26:34 +02:00
7a1b5a3dfc
Updated particles submodule.
2015-06-03 12:05:18 +02:00
6d17a860b5
Update computation of non-zero moments within loop that increases number of lags
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Closes #949
2015-06-03 11:16:55 +02:00
c43cfb45a8
Fixed bug in Extended Path (added second argument to get_complementarity_condition).
2015-06-03 08:22:26 +02:00
3602a0b1a8
Fix bug in pm3 for filtered variables that led to crashes.
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Manual merge of Johannes PR #737 .
-> Check for size of array failed with singleton dimension.
2015-06-01 18:22:54 +02:00
b53578dc80
Completed description of minimizer_algorithm input argument.
2015-06-01 16:42:02 +02:00
05635a4546
Change dynare_minimize_objective.m to use the correct field when selecting user-defined optimizer.
2015-06-01 16:42:02 +02:00
583d20848f
Merge pull request #941 from JohannesPfeifer/huge_number
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Document new options huge_number and dr_disp_tol
2015-06-01 16:40:32 +02:00
c22d31330c
Adding 'ramsey_constraints' block to declare contraints for Ramsey
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problems. Note that LMMCP (solve_algo=10) still doesn't work in all cases.
2015-05-31 12:18:20 +02:00
c97aaad62d
Fixed bug.
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Rename options as options4fsolve, otherwise original options structure is lost.
2015-05-29 15:19:20 +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
a211e91378
Updated particles.
2015-05-28 15:36:56 +02:00
60b3577a09
avoid call to dyn2vec in stoch_simul when the minimal_workspace option is passed, closes #946
2015-05-28 11:53:50 +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
94776660ff
Merge branch 'master' into rewrite-nonlinear-filters
2015-05-28 10:03:26 +02:00
47f4d37e70
Fixed online filter with first order approximation of the model.
2015-05-27 18:06:48 +02:00
888cf1eeff
Updated particles.
2015-05-27 16:00:09 +02:00
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
df67efcb7c
add an exception for the use of gaussian filters and gradient-based estimation methods
2015-05-27 14:37:50 +02:00
96b484d89c
Updated particles.
2015-05-27 14:35:55 +02:00
127730d731
solve bugs when there are lags of exogenous variables on more than one
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period in deterministic models.
2015-05-27 12:22:32 +02:00
ccd4e40b49
Merge branch 'master' into rewrite-nonlinear-filters
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Conflicts:
.gitmodules
tests/particle/dsge_base2.mod
2015-05-27 12:18:33 +02:00
eefa7bb70a
fixing problem with endogenous_terminal_period
2015-05-27 10:23:14 +02:00
1b822a9105
fix calls to dynare_solve() when Jacobian of function must be computed
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numerically. Fix call to dynare_solve() in simulation_core()
2015-05-26 15:51:09 +02:00
90c4f834f2
fix typo introduced in f03839cf12
2015-05-26 12:11:24 +02:00
d81dda5044
fixing bug in last commit
2015-05-25 18:52:46 +02:00
3ef5bc2989
Merge branch 'master' into new_ep
2015-05-25 17:20:23 +02:00
92a33f9792
changed another call to dynare_solve() forgotten in last commit
2015-05-25 17:15:09 +02:00
f03839cf12
removed "global options_" in dynare_solve.m and made it an
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argument. Modified all calling functions.
2015-05-25 17:15:09 +02:00
a36fd53eff
fixing extended-path
2015-05-25 09:43:21 +02:00
b3047c9742
Merge branch 'master' into new_ep
2015-05-23 18:26:07 +02:00
d5cb78bbea
fix typo introduced in 89828e56cc
2015-05-20 10:12:24 +02:00
89828e56cc
preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925
2015-05-19 12:31:22 +02:00
8b6040717a
Added missing semicolon.
2015-05-18 18:00:09 +02:00
cb1fc3ec3c
Lift unnecessary restriction of not allowing simpsa with infinite bounds
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Introduction of options_.huge_number makes this redundant
2015-05-13 20:33:14 +02:00
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
902a5d2788
ensure that mex file exists before doing comparison
2015-05-12 10:55:24 +02:00
646658a0f2
Add missing deblank to disp_dr.m
2015-05-11 17:40:03 +02:00
3c3b255025
Clarify that output of mode_check.m is minus likelihood/posterior
2015-05-11 17:39:26 +02:00
9d8823dd73
Merge pull request #932 from JohannesPfeifer/t_dist
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Unit test and cosmetic changes for t-distribution
2015-05-10 23:29:17 +02:00
a5a5490a12
adding feature to recompile MEX files only if the model has
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changed (not activated yet)
detail of compilation code moved from preprocessor (ModFile.cc) to
./matlab/utilities/general/dyn_mex.m
2015-05-10 18:16:53 +02:00
b67e9626f7
Add more information to header of rand_multivariate_student.m
2015-05-10 10:06:42 +02:00
16a29d58a6
Merge pull request #930 from JohannesPfeifer/rename_hessian
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Make sure that no variable is named hessian
2015-05-10 09:09:43 +02:00
e76f81740f
Make sure that no variable is named hessian.
2015-05-10 08:17:40 +02:00
29f9cb4d53
Merge pull request #929 from JohannesPfeifer/delete_stale_files
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Delete stale files from previous MCMC runs
2015-05-09 22:47:25 +02:00
b8eb0ff72d
Added online help to prior command (cli).
2015-05-09 22:36:19 +02:00
fa1f7794d5
Delete stale files from previous MCMC runs
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Closes #566 . Also adds cosmetic changes to headers of affected routines
2015-05-09 15:13:59 +02:00
450520e946
Merge pull request #926 from JohannesPfeifer/return_values
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Make sure non_linear_dsge_likelihood.m and dsge_var_likelihood.m retu…
2015-05-09 14:27:03 +02:00
8aec696b95
Fix various copy and paste errors in check_input_arguments.m
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During moving to a separate function, not all variables had been renamed
2015-05-09 08:22:31 +02:00
481c470ac9
Make sure non_linear_dsge_likelihood.m and dsge_var_likelihood.m return correct error codes if prior or likelihood are Inf or NaN
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Closes #284
2015-05-09 08:03:55 +02:00
3bcb89bd72
Merge pull request #893 from JohannesPfeifer/Fix_message
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Fix crash in error message display of perfect_foresight_setup.m when mor...
2015-05-07 17:23:25 +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
f26cec2430
Merge pull request #904 from JohannesPfeifer/mode_compute7_octave
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Fix compatibility of mode_compute=7
2015-05-07 15:16:15 +02:00
de526eae57
Merge pull request #906 from JohannesPfeifer/table_display
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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
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Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
ddc7464b9b
Merge pull request #911 from JohannesPfeifer/MH_cosmetics
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Cosmetic Fixes to Metropolis-Hastings routines
2015-05-07 14:29:27 +02:00
971142131e
Merge pull request #918 from JohannesPfeifer/Geweke_fix
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Fix Geweke convergence when used with load_mh_file
2015-05-07 14:09:36 +02:00
cd509427bf
Merge pull request #919 from JohannesPfeifer/Trace_Plot
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Add possibility to plot posterior density to trace_plot.m
2015-05-07 14:09:11 +02:00
0e0cb1a191
Merge pull request #920 from JohannesPfeifer/Bayesian_IRF_display
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Fix plotting of Bayesian IRFs where IRFs turn from negative to positive.
2015-05-07 14:07:21 +02:00
3a79f28941
Merge pull request #921 from JohannesPfeifer/dynasave
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Add check for field existence to dynasave.m
2015-05-07 12:49:31 +02:00
7e3778df7f
Merge pull request #922 from JohannesPfeifer/identification_JJ_unit_root
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Add check for presence of NaN in JJ to identification_analysis.m
2015-05-07 12:48:49 +02:00
e2b59630c1
diffuse_kalman_tol not properly triggered
2015-05-07 10:18:55 +02:00
0c7b4f542c
Add check for presence of NaN in JJ to identification_analysis.m
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Usually happens when model has a unit root and unconditional second moments are NaN
2015-05-06 16:14:45 +02:00
f2617fcf74
deterministic simulations: more efficient manner to build the Jacobian matrix
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of the stacked system. Gains is not as much as expected.
2015-05-06 11:16:53 +02:00
7d263dcd2f
Add check for field existence to dynasave.m
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Otherwise, if simulations do not exist, a cryptic crash happens
2015-05-05 16:09:05 +02:00
b8c6c87908
Fix plotting of Bayesian IRFs where IRFs turn from negative to positive.
2015-05-05 16:02:37 +02:00
6d7cbe33c5
Add possibility to plot posterior density to trace_plot.m
2015-05-04 10:49:24 +02:00
50f0dadec8
Fix Geweke convergence when used with load_mh_file
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By accessing mh_replic instead of NumberOfDraws, the diagnostics were not correctly computed on the full chain
2015-05-02 14:23:23 +02:00
e550aa806a
change convert_oo_ to be forward compatible
2015-04-30 15:25:54 +02:00
9cf352e471
bug fix in check_valid_ver
2015-04-30 15:24:12 +02:00
a93e0157e4
add utilities to convert oo_ between different versions of dynare, #546
2015-04-30 14:45:53 +02:00
67b3c5deef
Cosmetic changes to masterParallel.m
2015-04-30 09:04:09 +02:00
7570328c0d
reporting: submodule update. closes #869
2015-04-29 16:22:12 +02:00
6a17fe5de3
Fix provisions for matlab 8.5 win32 bits.
2015-04-29 11:33:14 +02:00
07c74f7f7d
reporting: submodule update (to be reverted when Debian tex distro is finally updated)
2015-04-28 17:39:04 +02:00
fa5eb67d91
reporting: submodule update (to deal with Debian's outdated LaTeX distro. Revert when servers are updated), #867
2015-04-28 16:39:02 +02:00
c9b404fc1b
reporting: submodule update, #867
2015-04-27 18:28:11 +02:00
18e9521450
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
17e03a82e3
fix comment
2015-04-27 11:07:52 +02:00
b4941c02d3
Cosmetic Fixes to Metropolis-Hastings routines
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- Adds comments and headers and fixes typos in previous ones
- Make naming in random_walk_metropolis_hastings_core.m more intuitive
2015-04-25 19:28:16 +02:00
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
4ffebeee2e
dseries: submodule update
2015-04-23 14:15:47 +02:00
db272f114b
Compatibility fixes for MATLAB <= 7.7.
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The tilde syntax was introduced in MATLAB 7.8.
2015-04-22 16:45:15 +02:00
8285121f9b
Allow selection of tolerance for display of decision rules
2015-04-22 15:37:35 +02:00
20a4f551ed
Improve display of decision rules by accounting for variable lengths
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Also cleans up file by factoring code
2015-04-22 15:29:04 +02:00
0dac179944
Improve display of tables
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Closes #892 by allowing for optional inputs for cell lengths. Replaces centering of headers by right-flush to improve readability.
2015-04-22 15:26:03 +02:00
f86b91d3d6
Perfect foresight solver: inform the user when we switch to a homotopy method.
2015-04-22 14:44:39 +02:00
ac15eda6de
Revert "Add check for valid filename"
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This reverts commit 39c7b793f29f7d3524e9
2015-04-22 13:55:35 +02:00
57f89d6843
Merge pull request #905 from JohannesPfeifer/filename_check
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Add check for valid filename
2015-04-22 13:47:15 +02:00
9f7d3524e9
Add check for valid filename
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Uses the same restrictions as variable names.
2015-04-22 13:30:09 +02:00
8ab1239d79
Fix handling of warnings in perfect foresight solver with homotopy.
2015-04-22 12:23:20 +02:00
df697febcb
dseries: submodule update
2015-04-22 11:38:36 +02:00
8eaa645800
Fix compatibility of mode_compute=7
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Uses wrapper as for mode_compute=3 to restore to conform to Octave syntax
2015-04-22 11:08:32 +02:00
39c7b793f2
Add check for valid filename
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Uses the same restrictions as variable names.
2015-04-22 10:57:10 +02:00
c6c5cd8ce8
Allow Inf bounds in simpsa by replacing them with big finite number
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Closes #585
2015-04-21 16:26:46 +02:00
3dee87c243
Fix crash in unit test fs2000_smoother_only
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For calibrated models, the param_vals field does not exist
2015-04-20 16:45:51 +02:00
31cd80e9a9
Fix crash in error message display of perfect_foresight_setup.m when more than one variable is not present in current period
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Concatenation otherwise crashes due to non-conformable matrices
2015-04-19 10:52:22 +02:00
8ab8d46281
small fix in matlab annotation
2015-04-17 09:16:54 +02:00
0a27b71f7e
Merge pull request #886 from rattoma/gsa
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Enhance and harmonize reduced form mapping routine
2015-04-17 08:41:32 +02:00
bc6cf0345f
Clean up csminwel1.m
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Adds documentation and puts calling of numerical gradient to nested function as previously suggested in comment at the bottom of file
2015-04-17 07:05:01 +02:00
b629d3ca19
Cosmetic changes to csminwel routines
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Mostly adds documentation
2015-04-17 07:05:00 +02:00
84f0060cbd
Fix bug where inverse Hessian from csminwel1.m was taken as Hessian
2015-04-17 07:05:00 +02:00
1970951d1f
Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues'
2015-04-16 22:31:07 +02:00
b0f4f2af78
Harmonize use of front-end mcf_analysis.m in GSA and identification routines.
2015-04-16 18:25:35 +02:00
57e9b9fa8b
Revived reduced form mapping routine:
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1) use new mcf_analysis.m;
2) use generic filtering when threshold does not work;
3) make log-tranformed mapping meaningful and comparable to baseline;
3) harmonize names of files saved and reduced number of directories created;
2015-04-16 16:13:16 +02:00
0faf6e1981
Allow inverse transform and set minimum threshold for lam
2015-04-16 16:13:00 +02:00
ae6302c348
Added output argument to mcf_analysis.m
2015-04-16 16:09:39 +02:00
4e1e7732fd
fix graphic issues with eps
2015-04-16 12:30:27 +02:00
8d679bff6f
missing bits in fixes to graphical issues #881 .
2015-04-16 08:52:42 +02:00
41cebf7e4e
- fix nograph option in GSA graphical output
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- fix graphical output issues on unix
2015-04-15 22:54:36 +02:00
f0770186ca
Exhanged mode_compute=2 and mode_compute=102.
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These options are for the simulated annealing algorithm, the Mathworks' global optimization
toolbox is mandatory for mode_compute=102. The first option relies on a
free implementation (works also with Octave).
2015-04-15 12:42:08 +02:00
da2c529ee7
Merge branch 'marco_gsa_fixes'
2015-04-14 15:54:59 +02:00
1a6afc0fdb
Restore compatibility of recursive estimation with new data interface
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Use dataset_ structure instead of reconstructing data to plot. Eliminates crashes
2015-04-14 15:12:25 +02:00
0bd8fef202
- Various bug fixes on moment calibration
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- Bug fixes on plots showing restrictions
- Improved and increased graphical info
2015-04-14 12:24:49 +02:00
ffc4b7480c
- improved plots with MATLAB annotations [trapped in octave] and different colors
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- use uimenu to get the name of the observable associated to each CDF from MATLAB plots
[trapped in octave]
- also checks multiple significant parameters by individual observable
2015-04-14 12:16:50 +02:00
a44b3fbfe7
Bug fixed for incomplete stock matrices of log-posterior kernel and steady state
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[used in gsa/filt_mc_.m]
2015-04-14 12:10:46 +02:00
e32cbf626f
Fixed bug when neighborhood_width is used : MC option must be forced.
2015-04-14 12:06:25 +02:00
ca8f0ea006
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
2015-04-08 15:49:12 +02:00
fe48de4406
Re-set default of new option diffuse_kalman_tol to 1e-6:
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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
49d4643481
Fix copy and paste typo in gmhmaxlik.m
2015-04-06 12:04:11 +02:00
d1a80acb44
Replace non-available simulated annealing by Matlab's routine
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Closes #814
2015-04-06 11:28:32 +02:00
39ed3eb3f0
Fix bugs related to allowing mode_compute to be a string
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Crashes otherwise
2015-04-06 11:24:42 +02:00
a81c9da9a2
Add simulated_annealing.m to optimizers
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Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
405b1f7368
Add solvopt.m to Dynare optimizers
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Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
23b322d6c6
Merge pull request #866 from JohannesPfeifer/mode_check
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Remove hard-coded coloring of legend in mode_check.m
2015-04-03 18:07:14 +02:00
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +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
e97e5c3407
Exclude zero columns of T from Kitagawa transformation, since ordschur is extremely noisy for multiple zero eigenvalues.
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This can make a lot of difference for large models that have hundreds of definitions.
2015-04-03 18:02:03 +02:00
5297836577
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
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Since initial Pinf is well scaled to unity, crit1= 1.e-6 is used for smoother and should also apply to likelihood evaluations.
2015-04-03 18:02:03 +02:00
7c838b133f
Use local variables for restrict var list, to avoid overwriting the global and messing likelihood evaluations later on.
2015-04-03 18:02:03 +02:00
8cc9fbd69a
Remove hard-coded coloring of legend in mode_check.m
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Now displays correct colors with new Matlab plot interface (>2014a)
2015-04-02 20:52:49 +02:00
f9154273d0
Merge pull request #854 from JohannesPfeifer/smoother_var_initialization_fix
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Fix size of filtered variables matrix
2015-04-01 17:59:12 +02:00
f3d1a6c68e
Merge branch 'master' into marco_analytic_derivation
2015-04-01 16:41:38 +02:00
27403fb2dd
Add check whether initial prior is Inf
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Requires adding fourth output argument of priordens.m that stores position of problematic parameter.
2015-04-01 16:30:46 +02:00
9c3c0d727f
Add check for point priors and force user to fix this parameter.
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Traps Inf-prior
2015-04-01 16:29:18 +02:00
b4a8ad8aa4
Fix mex path for win64 bit
2015-04-01 14:43:52 +02:00
214dc74723
- Fixed bugs around analytic derivation.
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- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
28f2e2abd0
Merge pull request #856 from rattoma/optimizer_number_5
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Fixed issues related to newratflag.
2015-03-30 15:22:05 +02:00
ad0e0b6c1d
Merge pull request #861 from JohannesPfeifer/steady_fix
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Prevent crash if steady state cannot be computed
2015-03-30 15:17:46 +02:00
0e1dd779b9
Check that Dynare's routines are not overridden by other routines.
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By default Dynare will temporarly change Matlab/Octave's path. Added an
option to force Dynare to keep the current path. Also check that the user
did not put dynare/matlab directory with all the subfolders in the path.
With this patch, we do not need to prefix Dynare routines with dyn_ or
dynare_ anymore.
2015-03-30 15:04:59 +02:00
34c871b53c
getenv provides one output on windows
2015-03-27 18:58:35 +01:00
90e00b3871
fixes for windows
2015-03-27 17:29:10 +01:00
d7c253ae59
support 64-bit preprocessor, #862
2015-03-26 19:08:30 +01:00
781e280610
Prevent crash if steady state cannot be computed
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If e.g. the log of the steady state cannot be computed, the field oo_.dr.ys does not exist
2015-03-25 09:42:59 +01:00
80f512b90b
ilu function has been implemented in Octave 4.0.
2015-03-18 16:03:41 +01:00
aa1acec308
Remove obsolete warning code for Octave < 3.6.
2015-03-17 18:01:36 +01:00
ec65f80617
Octave warning "matlab-incompatible" renamed to "language-extension" in 4.0.
2015-03-17 17:59:52 +01:00
1a3d8d0b26
Provisions for MATLAB 8.5 (R2015a)
2015-03-16 14:44:06 +01:00
6d7b72cb0d
Merged with master
2015-03-13 15:53:18 +01:00
c881cfff17
Fixed issues related to newratflag.
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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
d4c0726026
Fix size of filtered variables matrix
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Fixes crash occurring due to non-conformable matrices
2015-03-12 10:49:33 +01:00
87cb00bd7d
fixing bug in calling sequence of *_dynamic function when using block option
2015-03-11 09:24:47 +01:00
6e0d919751
Fix issue with purely forward deterministic models with lags on exogenous.
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Ref #617
2015-03-09 18:22:01 +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
86f9e53ec6
dr_block: fixing bug in solve_foward_complete
2015-03-07 10:59:53 +01:00
265970c1c9
adding global test for identification for sbvar
2015-03-07 10:59:53 +01:00
a53385ea28
dynare_solve: fix initial check for models with complementarity conditions
2015-03-07 10:10:35 +01:00
de5c541ce6
Manually merged PR #807 .
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Fixed conflict related to the move of the perfect foresight related routines
in a subfolder.
2015-03-05 14:31:36 +01:00
0c1197c13f
extended_path: fixing bug when initializing with linear approximation,
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adding simple homotopy scheme (unfinished)
2015-03-04 09:43:14 +01:00
a5c652f81a
removing nefarious _
2015-03-04 09:41:29 +01:00
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
219b4fe547
Merge pull request #813 from JohannesPfeifer/model_diag
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Add missing abs to unit root check in model_diagnostics.m
2015-03-01 16:35:31 +01:00
511d621818
Merge pull request #851 from JohannesPfeifer/Estimation_Bugfixes
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Estimation bugfixes
2015-03-01 16:33:51 +01:00
ba2c4db88c
Merge pull request #816 from JohannesPfeifer/loglinear_steady_error
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Integrate error from negative steady state with loglinear model into pri...
2015-03-01 16:30:29 +01:00
a7f380d8c0
Condition check for changed parameters on whether parameters are estimated in the first place
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Fixes crash in master unit test
2015-03-01 13:36:21 +01:00
fe938c902a
Fixed another bug related to options_.optim_opt being now initialized as an empty array
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Finalizes 392486273e
2015-03-01 13:34:39 +01:00
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
198a6ed7cf
Removed three unused routines.
2015-02-27 18:54:12 +01:00
73cdaa3091
Replaced get_prior_info routine by prior routine.
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This new routine gives the possibility to obtain a description of the
prior from the command line.
>> prior table
will display a table with the prior mean, prior mode, prior std, prior
bounds and prior HPD interval.
>> prior plot
will plot the prior densities.
>> prior optimize
will trigger the maximization of the prior density and display the
results (often, because of BK conditions or other issues, Dynare is even
not able to get the prior mode).
>> prior moments
will display the moments of the endogenous variables at the prior mode.
>> prior simulate
will run a Monte-Carlo, by sampling from the prior and discarding vector
of parameters such that the steady state does not exist or the BK
conditions are not met, and return an estimate of the effective prior
mass.
2015-02-27 17:12:04 +01:00
daaed37782
Added new routines.
2015-02-27 17:05:11 +01:00
eec1e77140
Removed last character if string is renurned in a variable.
2015-02-26 16:18:33 +01:00
4979f33f8b
Added the possibility to return the generated line in a variable.
2015-02-26 16:10:44 +01:00
04ae10434c
Beta prior. Do not return the prior mean of the prior density has two
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modes (return the first mode).
2015-02-26 12:07:40 +01:00
392486273e
Fixed bug (options_.optim_opt is now initialized as an empty array).
2015-02-26 08:43:30 +01:00
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
83981125c9
Added missing routine and fixed licence header.
2015-02-24 20:42:19 +01:00
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
e19f03b420
replace reporting code with submodule. closes #811
2015-02-24 16:38:36 +01:00
fac1d206ab
Use new wrapper for optimization algorithms when maximizing the prior density.
2015-02-23 18:26:34 +01:00
bd39ff34f6
Fixed bug in get_prior_info routine.
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lb and ub (lower and upper bounds for the priors) are no more fields of
bayestopt_ structure.
2015-02-23 18:24:57 +01:00
2ca7be4e5e
Merging changes in master
2015-02-23 18:02:20 +01:00
0ffb9dd6e2
Changed order of the input arguments in dynare_mimimize_objective.
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It is more standard to have the name of the routine (defining the
objective to be minimized) as a first argument.
2015-02-23 14:35:41 +01:00
beb7826376
Moved optimization related routines in a common subfolder.
2015-02-23 14:26:07 +01:00
5fc48440d6
adding global test for identification for sbvar
2015-02-22 22:03:04 +01:00
70173d4431
fixing bugs in extended_path
2015-02-22 21:56:42 +01:00
c4c31fade9
adding global test for identification for sbvar
2015-02-22 21:54:39 +01:00
5865d46a74
Fixed bug. Wrong number of returned arguments when calling
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dynare_minimize_objective (missing options_).
2015-02-21 18:14:15 +01:00
32c29fece5
Merge pull request #842 from JohannesPfeifer/cosmetics
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Cosmetical changes and additional documentation
2015-02-21 15:42:51 +01:00
7df3856cbf
Fixed homotopy with bytecode for perfect foresight models.
2015-02-21 13:59:53 +01:00
43f2ec1d9d
Fixed display of the homotopy steps when the residuals are complex.
2015-02-21 13:58:52 +01:00
ff7c1f5cda
Cosmetic change.
2015-02-21 13:57:48 +01:00
9bdf75a52c
Fixed bug in the initialization of the homotopy for perfect foresight models.
2015-02-21 13:56:11 +01:00
402a826300
Updated dates submodule.
2015-02-20 15:16:20 +01:00
38b548c4d0
Fixed licence header.
2015-02-20 14:48:25 +01:00
d19592f761
Fixed homotopy for perfect foresight models with block option, cosmetic changes.
2015-02-20 14:48:25 +01:00
1faf755d56
Oops, fixing dseries branch.
2015-02-19 18:26:49 +01:00
e2d7b8ad25
Update dseries.
2015-02-19 18:23:39 +01:00
55ea2100c6
Merge branch 'master' into new_ep
2015-02-19 10:27:15 +01:00
5768acf17e
Fixed the verbosity of perfect foresight models solvers.
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With stack_solve_algo={0, 6} the verbosity is controlled with
options_.verbosity instead of options_.no_homotopy.
Also harmonized the printed informations across these two algorithms.
2015-02-18 23:58:37 +01:00
fd0a172637
Remove small imaginary parts in the solution path for perfect foresight
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models obtained with stack_solve_algo=7.
Also return oo_.deterministic_simulation.status equal to false if the
solution path is not real.
2015-02-18 23:53:55 +01:00
0851d277c4
Use correct tolerance parameter when solving perfect foresight model
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with stack_solve_algo=7.
2015-02-18 23:52:17 +01:00
01b83d767a
Added a matlab routine that prints a line by replicating a symbol.
2015-02-18 18:31:39 +01:00
51a277424d
Cosmetic changes.
2015-02-18 18:21:45 +01:00
6f0584fe38
fix copyright dates
2015-02-18 03:06:33 +01:00
1c8e1ab913
Merge branch 'remove-globals-from-blocks'
2015-02-17 13:01:17 +01:00
cc94ed63b0
Revert "Temporary fix for perfect foresight model simulation with block option."
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This reverts commit 8875dbdaa5
2015-02-17 13:01:01 +01:00
a894357655
Removed options_ and oo_ globals from *all* generated dynamic model
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routines (with block option) and adapted some routines to reflect this change.
2015-02-17 12:57:30 +01:00
83c68c0477
Allowing for models without exogenous variable
2015-02-16 21:30:34 +01:00
8875dbdaa5
Temporary fix for perfect foresight model simulation with block option.
2015-02-16 17:05:37 +01:00
d3275db830
Removed options_ and oo_ globals from generated dynamic model
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routines (with block option).
2015-02-16 16:56:17 +01:00
333f87ced2
fix headers
2015-02-16 09:08:26 +01:00
ca83397d95
update copyright dates for files changed in 2015
2015-02-16 09:08:02 +01:00
dfc89df6a8
added make_ex_ to fix bug in dyn_forecast and fixed length of output
2015-02-15 17:49:01 +01:00
f8af7724bb
small fixes to perfect foresight
2015-02-15 16:49:33 +01:00
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer
Michel Juillard
Marco Ratto
Johannes Pfeifer
Frédéric Karamé
Sébastien Villemot