Frédéric Karamé
888cf1eeff
Updated particles.
2015-05-27 16:00:09 +02:00
Frédéric Karamé
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
Frédéric Karamé
df67efcb7c
add an exception for the use of gaussian filters and gradient-based estimation methods
2015-05-27 14:37:50 +02:00
Stéphane Adjemian (Hermes)
96b484d89c
Updated particles.
2015-05-27 14:35:55 +02:00
Michel Juillard
127730d731
solve bugs when there are lags of exogenous variables on more than one
...
period in deterministic models.
2015-05-27 12:22:32 +02:00
Stéphane Adjemian (Hermes)
ccd4e40b49
Merge branch 'master' into rewrite-nonlinear-filters
...
Conflicts:
.gitmodules
tests/particle/dsge_base2.mod
2015-05-27 12:18:33 +02:00
Michel Juillard
eefa7bb70a
fixing problem with endogenous_terminal_period
2015-05-27 10:23:14 +02:00
Michel Juillard
1b822a9105
fix calls to dynare_solve() when Jacobian of function must be computed
...
numerically. Fix call to dynare_solve() in simulation_core()
2015-05-26 15:51:09 +02:00
Houtan Bastani
90c4f834f2
fix typo introduced in f03839cf12
2015-05-26 12:11:24 +02:00
Michel Juillard
d81dda5044
fixing bug in last commit
2015-05-25 18:52:46 +02:00
Michel Juillard
3ef5bc2989
Merge branch 'master' into new_ep
2015-05-25 17:20:23 +02:00
Michel Juillard
92a33f9792
changed another call to dynare_solve() forgotten in last commit
2015-05-25 17:15:09 +02:00
Michel Juillard
f03839cf12
removed "global options_" in dynare_solve.m and made it an
...
argument. Modified all calling functions.
2015-05-25 17:15:09 +02:00
Michel Juillard
a36fd53eff
fixing extended-path
2015-05-25 09:43:21 +02:00
Michel Juillard
b3047c9742
Merge branch 'master' into new_ep
2015-05-23 18:26:07 +02:00
Houtan Bastani
d5cb78bbea
fix typo introduced in 89828e56cc
2015-05-20 10:12:24 +02:00
Houtan Bastani
89828e56cc
preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925
2015-05-19 12:31:22 +02:00
Stéphane Adjemian (Hermes)
8b6040717a
Added missing semicolon.
2015-05-18 18:00:09 +02:00
Johannes Pfeifer
cb1fc3ec3c
Lift unnecessary restriction of not allowing simpsa with infinite bounds
...
Introduction of options_.huge_number makes this redundant
2015-05-13 20:33:14 +02:00
Houtan Bastani
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
Houtan Bastani
902a5d2788
ensure that mex file exists before doing comparison
2015-05-12 10:55:24 +02:00
Johannes Pfeifer
646658a0f2
Add missing deblank to disp_dr.m
2015-05-11 17:40:03 +02:00
Johannes Pfeifer
3c3b255025
Clarify that output of mode_check.m is minus likelihood/posterior
2015-05-11 17:39:26 +02:00
Stéphane Adjemian
9d8823dd73
Merge pull request #932 from JohannesPfeifer/t_dist
...
Unit test and cosmetic changes for t-distribution
2015-05-10 23:29:17 +02:00
Michel Juillard
a5a5490a12
adding feature to recompile MEX files only if the model has
...
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
Johannes Pfeifer
b67e9626f7
Add more information to header of rand_multivariate_student.m
2015-05-10 10:06:42 +02:00
Stéphane Adjemian
16a29d58a6
Merge pull request #930 from JohannesPfeifer/rename_hessian
...
Make sure that no variable is named hessian
2015-05-10 09:09:43 +02:00
Johannes Pfeifer
e76f81740f
Make sure that no variable is named hessian.
2015-05-10 08:17:40 +02:00
Stéphane Adjemian
29f9cb4d53
Merge pull request #929 from JohannesPfeifer/delete_stale_files
...
Delete stale files from previous MCMC runs
2015-05-09 22:47:25 +02:00
Stéphane Adjemian (Charybdis)
b8eb0ff72d
Added online help to prior command (cli).
2015-05-09 22:36:19 +02:00
Johannes Pfeifer
fa1f7794d5
Delete stale files from previous MCMC runs
...
Closes #566 . Also adds cosmetic changes to headers of affected routines
2015-05-09 15:13:59 +02:00
Stéphane Adjemian
450520e946
Merge pull request #926 from JohannesPfeifer/return_values
...
Make sure non_linear_dsge_likelihood.m and dsge_var_likelihood.m retu…
2015-05-09 14:27:03 +02:00
Johannes Pfeifer
8aec696b95
Fix various copy and paste errors in check_input_arguments.m
...
During moving to a separate function, not all variables had been renamed
2015-05-09 08:22:31 +02:00
Johannes Pfeifer
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
...
Closes #284
2015-05-09 08:03:55 +02:00
Stéphane Adjemian
3bcb89bd72
Merge pull request #893 from JohannesPfeifer/Fix_message
...
Fix crash in error message display of perfect_foresight_setup.m when mor...
2015-05-07 17:23:25 +02:00
Stéphane Adjemian (Hermes)
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
Stéphane Adjemian (Hermes)
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
Stéphane Adjemian
f26cec2430
Merge pull request #904 from JohannesPfeifer/mode_compute7_octave
...
Fix compatibility of mode_compute=7
2015-05-07 15:16:15 +02:00
Stéphane Adjemian
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
Stéphane Adjemian
efc5ec7002
Merge pull request #908 from JohannesPfeifer/optimizer_doc
...
Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
Stéphane Adjemian
ddc7464b9b
Merge pull request #911 from JohannesPfeifer/MH_cosmetics
...
Cosmetic Fixes to Metropolis-Hastings routines
2015-05-07 14:29:27 +02:00
Stéphane Adjemian
971142131e
Merge pull request #918 from JohannesPfeifer/Geweke_fix
...
Fix Geweke convergence when used with load_mh_file
2015-05-07 14:09:36 +02:00
Stéphane Adjemian
cd509427bf
Merge pull request #919 from JohannesPfeifer/Trace_Plot
...
Add possibility to plot posterior density to trace_plot.m
2015-05-07 14:09:11 +02:00
Stéphane Adjemian
0e0cb1a191
Merge pull request #920 from JohannesPfeifer/Bayesian_IRF_display
...
Fix plotting of Bayesian IRFs where IRFs turn from negative to positive.
2015-05-07 14:07:21 +02:00
Stéphane Adjemian
3a79f28941
Merge pull request #921 from JohannesPfeifer/dynasave
...
Add check for field existence to dynasave.m
2015-05-07 12:49:31 +02:00
Stéphane Adjemian
7e3778df7f
Merge pull request #922 from JohannesPfeifer/identification_JJ_unit_root
...
Add check for presence of NaN in JJ to identification_analysis.m
2015-05-07 12:48:49 +02:00
Marco Ratto
e2b59630c1
diffuse_kalman_tol not properly triggered
2015-05-07 10:18:55 +02:00
Johannes Pfeifer
0c7b4f542c
Add check for presence of NaN in JJ to identification_analysis.m
...
Usually happens when model has a unit root and unconditional second moments are NaN
2015-05-06 16:14:45 +02:00
Michel Juillard
f2617fcf74
deterministic simulations: more efficient manner to build the Jacobian matrix
...
of the stacked system. Gains is not as much as expected.
2015-05-06 11:16:53 +02:00
Johannes Pfeifer
7d263dcd2f
Add check for field existence to dynasave.m
...
Otherwise, if simulations do not exist, a cryptic crash happens
2015-05-05 16:09:05 +02:00
Johannes Pfeifer
b8c6c87908
Fix plotting of Bayesian IRFs where IRFs turn from negative to positive.
2015-05-05 16:02:37 +02:00
Johannes Pfeifer
6d7cbe33c5
Add possibility to plot posterior density to trace_plot.m
2015-05-04 10:49:24 +02:00
Johannes Pfeifer
50f0dadec8
Fix Geweke convergence when used with load_mh_file
...
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
Houtan Bastani
e550aa806a
change convert_oo_ to be forward compatible
2015-04-30 15:25:54 +02:00
Houtan Bastani
9cf352e471
bug fix in check_valid_ver
2015-04-30 15:24:12 +02:00
Houtan Bastani
a93e0157e4
add utilities to convert oo_ between different versions of dynare, #546
2015-04-30 14:45:53 +02:00
Johannes Pfeifer
67b3c5deef
Cosmetic changes to masterParallel.m
2015-04-30 09:04:09 +02:00
Houtan Bastani
7570328c0d
reporting: submodule update. closes #869
2015-04-29 16:22:12 +02:00
Marco Ratto
6a17fe5de3
Fix provisions for matlab 8.5 win32 bits.
2015-04-29 11:33:14 +02:00
Houtan Bastani
07c74f7f7d
reporting: submodule update (to be reverted when Debian tex distro is finally updated)
2015-04-28 17:39:04 +02:00
Houtan Bastani
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
Houtan Bastani
c9b404fc1b
reporting: submodule update, #867
2015-04-27 18:28:11 +02:00
Houtan Bastani
18e9521450
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
Houtan Bastani
17e03a82e3
fix comment
2015-04-27 11:07:52 +02:00
Johannes Pfeifer
b4941c02d3
Cosmetic Fixes to Metropolis-Hastings routines
...
- 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
Johannes Pfeifer
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
Houtan Bastani
4ffebeee2e
dseries: submodule update
2015-04-23 14:15:47 +02:00
Sébastien Villemot
db272f114b
Compatibility fixes for MATLAB <= 7.7.
...
The tilde syntax was introduced in MATLAB 7.8.
2015-04-22 16:45:15 +02:00
Johannes Pfeifer
8285121f9b
Allow selection of tolerance for display of decision rules
2015-04-22 15:37:35 +02:00
Johannes Pfeifer
20a4f551ed
Improve display of decision rules by accounting for variable lengths
...
Also cleans up file by factoring code
2015-04-22 15:29:04 +02:00
Johannes Pfeifer
0dac179944
Improve display of tables
...
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
Sébastien Villemot
f86b91d3d6
Perfect foresight solver: inform the user when we switch to a homotopy method.
2015-04-22 14:44:39 +02:00
Houtan Bastani
ac15eda6de
Revert "Add check for valid filename"
...
This reverts commit 39c7b793f2
.
(would not be necessary if 9f7d3524e9
had
been rebased)
2015-04-22 13:55:35 +02:00
Houtan Bastani
57f89d6843
Merge pull request #905 from JohannesPfeifer/filename_check
...
Add check for valid filename
2015-04-22 13:47:15 +02:00
Johannes Pfeifer
9f7d3524e9
Add check for valid filename
...
Uses the same restrictions as variable names.
2015-04-22 13:30:09 +02:00
Sébastien Villemot
8ab1239d79
Fix handling of warnings in perfect foresight solver with homotopy.
2015-04-22 12:23:20 +02:00
Houtan Bastani
df697febcb
dseries: submodule update
2015-04-22 11:38:36 +02:00
Johannes Pfeifer
8eaa645800
Fix compatibility of mode_compute=7
...
Uses wrapper as for mode_compute=3 to restore to conform to Octave syntax
2015-04-22 11:08:32 +02:00
Johannes Pfeifer
39c7b793f2
Add check for valid filename
...
Uses the same restrictions as variable names.
2015-04-22 10:57:10 +02:00
Johannes Pfeifer
c6c5cd8ce8
Allow Inf bounds in simpsa by replacing them with big finite number
...
Closes #585
2015-04-21 16:26:46 +02:00
Johannes Pfeifer
3dee87c243
Fix crash in unit test fs2000_smoother_only
...
For calibrated models, the param_vals field does not exist
2015-04-20 16:45:51 +02:00
Johannes Pfeifer
31cd80e9a9
Fix crash in error message display of perfect_foresight_setup.m when more than one variable is not present in current period
...
Concatenation otherwise crashes due to non-conformable matrices
2015-04-19 10:52:22 +02:00
Marco Ratto
8ab8d46281
small fix in matlab annotation
2015-04-17 09:16:54 +02:00
Stéphane Adjemian
0a27b71f7e
Merge pull request #886 from rattoma/gsa
...
Enhance and harmonize reduced form mapping routine
2015-04-17 08:41:32 +02:00
Johannes Pfeifer
bc6cf0345f
Clean up csminwel1.m
...
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
Johannes Pfeifer
b629d3ca19
Cosmetic changes to csminwel routines
...
Mostly adds documentation
2015-04-17 07:05:00 +02:00
Johannes Pfeifer
84f0060cbd
Fix bug where inverse Hessian from csminwel1.m was taken as Hessian
2015-04-17 07:05:00 +02:00
Stéphane Adjemian (Charybdis)
1970951d1f
Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues'
2015-04-16 22:31:07 +02:00
Marco Ratto
b0f4f2af78
Harmonize use of front-end mcf_analysis.m in GSA and identification routines.
2015-04-16 18:25:35 +02:00
Marco Ratto
57e9b9fa8b
Revived reduced form mapping routine:
...
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
Marco Ratto
0faf6e1981
Allow inverse transform and set minimum threshold for lam
2015-04-16 16:13:00 +02:00
Marco Ratto
ae6302c348
Added output argument to mcf_analysis.m
2015-04-16 16:09:39 +02:00
Marco Ratto
4e1e7732fd
fix graphic issues with eps
2015-04-16 12:30:27 +02:00
Marco Ratto
8d679bff6f
missing bits in fixes to graphical issues #881 .
2015-04-16 08:52:42 +02:00
Marco Ratto
41cebf7e4e
- fix nograph option in GSA graphical output
...
- fix graphical output issues on unix
2015-04-15 22:54:36 +02:00
Stéphane Adjemian (Charybdis)
f0770186ca
Exhanged mode_compute=2 and mode_compute=102.
...
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
Stéphane Adjemian (Charybdis)
da2c529ee7
Merge branch 'marco_gsa_fixes'
2015-04-14 15:54:59 +02:00
Johannes Pfeifer
1a6afc0fdb
Restore compatibility of recursive estimation with new data interface
...
Use dataset_ structure instead of reconstructing data to plot. Eliminates crashes
2015-04-14 15:12:25 +02:00
Marco Ratto
0bd8fef202
- Various bug fixes on moment calibration
...
- Bug fixes on plots showing restrictions
- Improved and increased graphical info
2015-04-14 12:24:49 +02:00
Marco Ratto
ffc4b7480c
- improved plots with MATLAB annotations [trapped in octave] and different colors
...
- 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
Marco Ratto
a44b3fbfe7
Bug fixed for incomplete stock matrices of log-posterior kernel and steady state
...
[used in gsa/filt_mc_.m]
2015-04-14 12:10:46 +02:00
Marco Ratto
e32cbf626f
Fixed bug when neighborhood_width is used : MC option must be forced.
2015-04-14 12:06:25 +02:00
Marco Ratto
ca8f0ea006
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
2015-04-08 15:49:12 +02:00
Marco Ratto
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
Johannes Pfeifer
49d4643481
Fix copy and paste typo in gmhmaxlik.m
2015-04-06 12:04:11 +02:00
Johannes Pfeifer
d1a80acb44
Replace non-available simulated annealing by Matlab's routine
...
Closes #814
2015-04-06 11:28:32 +02:00
Johannes Pfeifer
39ed3eb3f0
Fix bugs related to allowing mode_compute to be a string
...
Crashes otherwise
2015-04-06 11:24:42 +02:00
Johannes Pfeifer
a81c9da9a2
Add simulated_annealing.m to optimizers
...
Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
Johannes Pfeifer
405b1f7368
Add solvopt.m to Dynare optimizers
...
Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
Houtan Bastani
23b322d6c6
Merge pull request #866 from JohannesPfeifer/mode_check
...
Remove hard-coded coloring of legend in mode_check.m
2015-04-03 18:07:14 +02:00
Stéphane Adjemian (Charybdis)
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +02:00
Stéphane Adjemian (Charybdis)
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
Marco Ratto
e97e5c3407
Exclude zero columns of T from Kitagawa transformation, since ordschur is extremely noisy for multiple zero eigenvalues.
...
This can make a lot of difference for large models that have hundreds of definitions.
2015-04-03 18:02:03 +02:00
Marco Ratto
5297836577
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
...
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
Marco Ratto
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
Johannes Pfeifer
8cc9fbd69a
Remove hard-coded coloring of legend in mode_check.m
...
Now displays correct colors with new Matlab plot interface (>2014a)
2015-04-02 20:52:49 +02:00
Stéphane Adjemian
f9154273d0
Merge pull request #854 from JohannesPfeifer/smoother_var_initialization_fix
...
Fix size of filtered variables matrix
2015-04-01 17:59:12 +02:00
Stéphane Adjemian (Charybdis)
f3d1a6c68e
Merge branch 'master' into marco_analytic_derivation
2015-04-01 16:41:38 +02:00
Johannes Pfeifer
27403fb2dd
Add check whether initial prior is Inf
...
Requires adding fourth output argument of priordens.m that stores position of problematic parameter.
2015-04-01 16:30:46 +02:00
Johannes Pfeifer
9c3c0d727f
Add check for point priors and force user to fix this parameter.
...
Traps Inf-prior
2015-04-01 16:29:18 +02:00
Marco Ratto
b4a8ad8aa4
Fix mex path for win64 bit
2015-04-01 14:43:52 +02:00
Marco Ratto
214dc74723
- Fixed bugs around analytic derivation.
...
- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
Stéphane Adjemian
28f2e2abd0
Merge pull request #856 from rattoma/optimizer_number_5
...
Fixed issues related to newratflag.
2015-03-30 15:22:05 +02:00
Stéphane Adjemian
ad0e0b6c1d
Merge pull request #861 from JohannesPfeifer/steady_fix
...
Prevent crash if steady state cannot be computed
2015-03-30 15:17:46 +02:00
Stéphane Adjemian (Charybdis)
0e1dd779b9
Check that Dynare's routines are not overridden by other routines.
...
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
Houtan Bastani
34c871b53c
getenv provides one output on windows
2015-03-27 18:58:35 +01:00
Houtan Bastani
90e00b3871
fixes for windows
2015-03-27 17:29:10 +01:00
Houtan Bastani
d7c253ae59
support 64-bit preprocessor, #862
2015-03-26 19:08:30 +01:00
Johannes Pfeifer
781e280610
Prevent crash if steady state cannot be computed
...
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
Sébastien Villemot
80f512b90b
ilu function has been implemented in Octave 4.0.
2015-03-18 16:03:41 +01:00
Sébastien Villemot
aa1acec308
Remove obsolete warning code for Octave < 3.6.
2015-03-17 18:01:36 +01:00
Sébastien Villemot
ec65f80617
Octave warning "matlab-incompatible" renamed to "language-extension" in 4.0.
2015-03-17 17:59:52 +01:00
Houtan Bastani
1a3d8d0b26
Provisions for MATLAB 8.5 (R2015a)
2015-03-16 14:44:06 +01:00
Stéphane Adjemian (Scylla)
6d7b72cb0d
Merged with master
2015-03-13 15:53:18 +01:00
Marco Ratto
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
Johannes Pfeifer
d4c0726026
Fix size of filtered variables matrix
...
Fixes crash occurring due to non-conformable matrices
2015-03-12 10:49:33 +01:00
Michel Juillard
87cb00bd7d
fixing bug in calling sequence of *_dynamic function when using block option
2015-03-11 09:24:47 +01:00
Sébastien Villemot
6e0d919751
Fix issue with purely forward deterministic models with lags on exogenous.
...
Ref #617
2015-03-09 18:22:01 +01:00
Houtan Bastani
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
Houtan Bastani
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
Michel Juillard
86f9e53ec6
dr_block: fixing bug in solve_foward_complete
2015-03-07 10:59:53 +01:00
Michel Juillard
265970c1c9
adding global test for identification for sbvar
2015-03-07 10:59:53 +01:00
Michel Juillard
a53385ea28
dynare_solve: fix initial check for models with complementarity conditions
2015-03-07 10:10:35 +01:00
Stéphane Adjemian (Charybdis)
de5c541ce6
Manually merged PR #807 .
...
Fixed conflict related to the move of the perfect foresight related routines
in a subfolder.
2015-03-05 14:31:36 +01:00
Michel Juillard
0c1197c13f
extended_path: fixing bug when initializing with linear approximation,
...
adding simple homotopy scheme (unfinished)
2015-03-04 09:43:14 +01:00
Michel Juillard
a5c652f81a
removing nefarious _
2015-03-04 09:41:29 +01:00
Houtan Bastani
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
Stéphane Adjemian
219b4fe547
Merge pull request #813 from JohannesPfeifer/model_diag
...
Add missing abs to unit root check in model_diagnostics.m
2015-03-01 16:35:31 +01:00
Stéphane Adjemian
511d621818
Merge pull request #851 from JohannesPfeifer/Estimation_Bugfixes
...
Estimation bugfixes
2015-03-01 16:33:51 +01:00
Stéphane Adjemian
ba2c4db88c
Merge pull request #816 from JohannesPfeifer/loglinear_steady_error
...
Integrate error from negative steady state with loglinear model into pri...
2015-03-01 16:30:29 +01:00
Johannes Pfeifer
a7f380d8c0
Condition check for changed parameters on whether parameters are estimated in the first place
...
Fixes crash in master unit test
2015-03-01 13:36:21 +01:00
Johannes Pfeifer
fe938c902a
Fixed another bug related to options_.optim_opt being now initialized as an empty array
...
Finalizes 392486273e
2015-03-01 13:34:39 +01:00
Johannes Pfeifer
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
Stéphane Adjemian (Charybdis)
198a6ed7cf
Removed three unused routines.
2015-02-27 18:54:12 +01:00
Stéphane Adjemian (Charybdis)
73cdaa3091
Replaced get_prior_info routine by prior routine.
...
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
Stéphane Adjemian (Charybdis)
daaed37782
Added new routines.
2015-02-27 17:05:11 +01:00
Stéphane Adjemian (Charybdis)
eec1e77140
Removed last character if string is renurned in a variable.
2015-02-26 16:18:33 +01:00
Stéphane Adjemian (Charybdis)
4979f33f8b
Added the possibility to return the generated line in a variable.
2015-02-26 16:10:44 +01:00
Stéphane Adjemian (Charybdis)
04ae10434c
Beta prior. Do not return the prior mean of the prior density has two
...
modes (return the first mode).
2015-02-26 12:07:40 +01:00
Stéphane Adjemian (Charybdis)
392486273e
Fixed bug (options_.optim_opt is now initialized as an empty array).
2015-02-26 08:43:30 +01:00
Stéphane Adjemian (Charybdis)
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis)
83981125c9
Added missing routine and fixed licence header.
2015-02-24 20:42:19 +01:00
Stéphane Adjemian (Charybdis)
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
Houtan Bastani
e19f03b420
replace reporting code with submodule. closes #811
2015-02-24 16:38:36 +01:00
Stéphane Adjemian (Charybdis)
fac1d206ab
Use new wrapper for optimization algorithms when maximizing the prior density.
2015-02-23 18:26:34 +01:00
Stéphane Adjemian (Charybdis)
bd39ff34f6
Fixed bug in get_prior_info routine.
...
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
Michel Juillard
2ca7be4e5e
Merging changes in master
2015-02-23 18:02:20 +01:00
Stéphane Adjemian (Charybdis)
0ffb9dd6e2
Changed order of the input arguments in dynare_mimimize_objective.
...
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
Stéphane Adjemian (Charybdis)
beb7826376
Moved optimization related routines in a common subfolder.
2015-02-23 14:26:07 +01:00
Michel Juillard
5fc48440d6
adding global test for identification for sbvar
2015-02-22 22:03:04 +01:00
Michel Juillard
70173d4431
fixing bugs in extended_path
2015-02-22 21:56:42 +01:00
Michel Juillard
c4c31fade9
adding global test for identification for sbvar
2015-02-22 21:54:39 +01:00
Stéphane Adjemian (Charybdis)
5865d46a74
Fixed bug. Wrong number of returned arguments when calling
...
dynare_minimize_objective (missing options_).
2015-02-21 18:14:15 +01:00
Stéphane Adjemian
32c29fece5
Merge pull request #842 from JohannesPfeifer/cosmetics
...
Cosmetical changes and additional documentation
2015-02-21 15:42:51 +01:00
Stéphane Adjemian (Charybdis)
7df3856cbf
Fixed homotopy with bytecode for perfect foresight models.
2015-02-21 13:59:53 +01:00
Stéphane Adjemian (Charybdis)
43f2ec1d9d
Fixed display of the homotopy steps when the residuals are complex.
2015-02-21 13:58:52 +01:00
Stéphane Adjemian (Charybdis)
ff7c1f5cda
Cosmetic change.
2015-02-21 13:57:48 +01:00
Stéphane Adjemian (Charybdis)
9bdf75a52c
Fixed bug in the initialization of the homotopy for perfect foresight models.
2015-02-21 13:56:11 +01:00
Stéphane Adjemian (Charybdis)
402a826300
Updated dates submodule.
2015-02-20 15:16:20 +01:00
Stéphane Adjemian (Charybdis)
38b548c4d0
Fixed licence header.
2015-02-20 14:48:25 +01:00
Stéphane Adjemian (Charybdis)
d19592f761
Fixed homotopy for perfect foresight models with block option, cosmetic changes.
2015-02-20 14:48:25 +01:00
Sébastien Villemot
1faf755d56
Oops, fixing dseries branch.
2015-02-19 18:26:49 +01:00
Sébastien Villemot
e2d7b8ad25
Update dseries.
2015-02-19 18:23:39 +01:00
Michel Juillard
55ea2100c6
Merge branch 'master' into new_ep
2015-02-19 10:27:15 +01:00
Stéphane Adjemian (Charybdis)
5768acf17e
Fixed the verbosity of perfect foresight models solvers.
...
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
Stéphane Adjemian (Charybdis)
fd0a172637
Remove small imaginary parts in the solution path for perfect foresight
...
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
Stéphane Adjemian (Charybdis)
0851d277c4
Use correct tolerance parameter when solving perfect foresight model
...
with stack_solve_algo=7.
2015-02-18 23:52:17 +01:00
Stéphane Adjemian (Charybdis)
01b83d767a
Added a matlab routine that prints a line by replicating a symbol.
2015-02-18 18:31:39 +01:00
Stéphane Adjemian (Charybdis)
51a277424d
Cosmetic changes.
2015-02-18 18:21:45 +01:00
Houtan Bastani
6f0584fe38
fix copyright dates
2015-02-18 03:06:33 +01:00
Stéphane Adjemian (Charybdis)
1c8e1ab913
Merge branch 'remove-globals-from-blocks'
2015-02-17 13:01:17 +01:00
Stéphane Adjemian (Charybdis)
cc94ed63b0
Revert "Temporary fix for perfect foresight model simulation with block option."
...
This reverts commit 8875dbdaa5
.
2015-02-17 13:01:01 +01:00
Stéphane Adjemian (Charybdis)
a894357655
Removed options_ and oo_ globals from *all* generated dynamic model
...
routines (with block option) and adapted some routines to reflect this change.
2015-02-17 12:57:30 +01:00
Michel Juillard
83c68c0477
Allowing for models without exogenous variable
2015-02-16 21:30:34 +01:00
Stéphane Adjemian (Charybdis)
8875dbdaa5
Temporary fix for perfect foresight model simulation with block option.
2015-02-16 17:05:37 +01:00
Stéphane Adjemian (Charybdis)
d3275db830
Removed options_ and oo_ globals from generated dynamic model
...
routines (with block option).
2015-02-16 16:56:17 +01:00
Houtan Bastani
333f87ced2
fix headers
2015-02-16 09:08:26 +01:00
Houtan Bastani
ca83397d95
update copyright dates for files changed in 2015
2015-02-16 09:08:02 +01:00
Michel Juillard
dfc89df6a8
added make_ex_ to fix bug in dyn_forecast and fixed length of output
2015-02-15 17:49:01 +01:00
Michel Juillard
f8af7724bb
small fixes to perfect foresight
2015-02-15 16:49:33 +01:00
Michel Juillard
6d25d05be4
adapt extended_path to changes in perfect_foresight
2015-02-14 18:29:11 +01:00
Michel Juillard
3c7b1cf2d7
changed calling sequence for sim1; use local variable names without _;
...
sim1 honors options_.nodisplay
2015-02-14 12:02:18 +01:00
Michel Juillard
21f009a531
Merge branch 'master' into new_ep
2015-02-14 11:54:57 +01:00
Stéphane Adjemian (Charybdis)
b3ed7901cf
Fixed bug in homotopy for perfect foresight models.
...
Homotopy was not working if nans or complex numbers were present in oo_.endo_simul.
2015-02-13 16:04:25 +01:00
Stéphane Adjemian (Charybdis)
3b41aa0e60
Fixed bug related to the type of initial_period.
2015-02-13 15:59:49 +01:00
Stéphane Adjemian (Charybdis)
ec896d8ca7
Cosmetic changes.
...
oo_.determinist_simulation.status is a boolean.
2015-02-13 15:58:12 +01:00
Stéphane Adjemian (Charybdis)
59d1c18960
Added routines missing in previous commit.
2015-02-13 10:10:41 +01:00
Stéphane Adjemian (Charybdis)
67be25d1a8
Rewrote homotopy for perfect foresight models.
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
f40fcb9724
Do not print anything if homotopy (perfect forsight models solver).
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
bcc68ff15c
Updated dseries submodule and dynare_config().
...
Routines used for loading data are now located in the dseries submodule.
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
a44e240153
Removed routines for loading data (dynare/matlab folder).
2015-02-12 15:30:27 +01:00
Houtan Bastani
a2bd920d6f
Workaround for #755
...
(cherry picked from commit 9a3cca2a55d57c3148fbcfd892a67a1d9731e9b1)
Conflicts:
matlab/load_csv_file_data.m
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
93966f2087
Set verbosity to 0 if homotopy is used to solve the perfect foresight model.
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
751e518811
Removed global variables in perfect foresight routines.
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
892e6818ed
Put argument checks in another routine.
2015-02-12 15:30:27 +01:00
Stéphane Adjemian (Charybdis)
6f7fed2046
Moved sim1* routines in subfolder.
2015-02-12 15:30:26 +01:00
Stéphane Adjemian (Charybdis)
1b55975231
Moved det_cond_forecast routine in subfolder.
2015-02-12 15:30:26 +01:00
Stéphane Adjemian (Charybdis)
e4f4a03798
Removed useless routine.
2015-02-12 15:30:26 +01:00
Stéphane Adjemian (Charybdis)
df4ee4b983
Moved files related to perfect foresight models in a subfolder.
2015-02-12 15:30:26 +01:00
Michel Juillard
9f7c1a9bc6
fixes to extended path
2015-02-11 22:23:21 +01:00
Johannes Pfeifer
8320a39e61
Add check whether steady state file during estimation overwrittes parameters to be estimated.
...
This might lead to wrong results and should be checked for.
2015-02-11 12:58:36 +01:00
Houtan Bastani
bdb6a2602e
preprocessor: ensure that options_.k_order_solver = 1 when order >= 3, closes #844
2015-02-10 03:39:18 +01:00
Houtan Bastani
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Michel Juillard
9c6e219990
new implementation for extended path
2015-02-06 12:36:09 +01:00
Michel Juillard
085ab360cc
perfect foresight: making simulation_core into a separate file, perfect_foresight_solver_core.m
2015-02-06 12:35:00 +01:00
Houtan Bastani
8673bcf558
reporting: add titleTruncate option
2015-01-27 09:54:37 +01:00
Johannes Pfeifer
1eabb1f6da
Change headers to reflect availability of third order approximation
2015-01-27 08:05:57 +01:00
ferhat
5d9b25d2be
In dr_block, debugging information printed out should not be handled with options_.verbosity. Adding an additional optional argument to handle the debugging information
2015-01-21 13:48:25 +01:00
Michel Juillard
73e292df2a
merged recent changes to submodule dseries
2015-01-17 12:05:12 +01:00
Michel Juillard
8a52ef599b
added a local variable for maximum_lag
2015-01-15 13:55:48 +01:00
Michel Juillard
470fbbe0b2
Fixed bug in deterministic simulations with exogenous variables lagged
...
by more than one period. Added corresponding test cases.
2015-01-15 11:27:00 +01:00
Stéphane Adjemian (Charybdis)
84cef49584
Fixed bug (oo_ must be replaced by DynareResults).
2015-01-14 11:38:36 +01:00
Michel Juillard
5ff129e52d
simplified extended_path.m.
...
homotopy and variable sample length should be handled in the solvers.
2015-01-11 21:12:32 +01:00
Michel Juillard
da8f702429
removed parfor used for building the Jacobian
2015-01-11 21:12:32 +01:00
Michel Juillard
1b38dc6422
fixing crash in computation of Ramsey steady state
2015-01-11 21:12:32 +01:00
Michel Juillard
4179e25e11
fixing bug when lags are greater than one period
2015-01-11 21:12:32 +01:00
Houtan Bastani
060288a777
reporting: run compilation in batchmode to speed it up slightly
2015-01-08 18:37:44 +01:00
Houtan Bastani
14cedf576a
reporting: add option to stop LaTeX compilation when an error is encountered (instead of prompting the user for input)
2015-01-08 18:35:10 +01:00
Stéphane Adjemian (Charybdis)
647d7b9761
Do not detrend the data (nonlinear filters).
2015-01-07 16:27:41 +01:00
Houtan Bastani
beb3fd1534
reporting: add legendAt option. closes #810
2014-12-29 22:18:08 +01:00
Houtan Bastani
544e10fc29
reporting: fix legend entry for bar graphs
2014-12-29 20:37:44 +01:00
Houtan Bastani
0fbf99232d
reporting: add support for bar graphs, closes #809
2014-12-23 17:52:40 +01:00
Houtan Bastani
1b8a58fe5b
reporting: fix error message
2014-12-23 17:52:17 +01:00
ferhat
823477519c
Corrects the extended path when bytecode option is used
2014-12-19 14:53:23 +01:00
Stéphane Adjemian
077654fda2
Merge pull request #818 from JohannesPfeifer/smoother_only
...
Various fixes when running only smoother on a model
2014-12-17 11:29:05 +01:00
Houtan Bastani
deba05ccc2
Merge pull request #826 from JohannesPfeifer/oo_recursive_
...
Make dynare_estimation.m return oo_recursive_
2014-12-17 11:02:54 +01:00
ferhat
24b2993f50
Solves issues in deterministic simulation:
...
- replaces maximum_endo_(lead|lag) by maximum_(lead|lag) to determine the maximum number of lead and lag in deterministic simulation
- allows to use bytecode in solve_perfect_foresight_model.m
- Adds model information in bytecode
2014-12-17 09:37:43 +01:00
Johannes Pfeifer
ff8eaf57ad
Make dynare_estimation.m return oo_recursive_
2014-12-15 22:50:38 +01:00
Stéphane Adjemian (Charybdis)
f195fade13
Updated particles submodule.
2014-12-15 15:53:40 +01:00
Stéphane Adjemian (Charybdis)
1927f6181f
Updated particles module.
...
This commit breaks the codes except for sequential importance particle filter.
2014-12-12 17:57:58 +01:00
Stéphane Adjemian (Charybdis)
092455419b
Merge branch 'master' into rewrite-nonlinear-filters
...
Conflicts:
.gitmodules
matlab/particle/online_auxiliary_filter.m
matlab/particle/solve_model_for_online_filter.m
2014-12-12 16:22:06 +01:00
Johannes Pfeifer
ed8b47bbf4
Add info to header about additional output argument
2014-12-11 20:59:31 +01:00
Johannes Pfeifer
c7153ba2ea
Add initialization of bounds if estim_params is empty
2014-12-08 11:29:15 +01:00
Johannes Pfeifer
dc7cfd3f0d
Adjust smoother to data now being a column vector
2014-12-08 11:28:46 +01:00
Johannes Pfeifer
bda19832cd
Integrate error from negative steady state with loglinear model into print_info.m
...
Prevents crashes during estimation. Instead of directly crashing, error handling is done via print_info.m so that penalizing the error during estimation is possible
2014-12-04 20:04:36 +01:00
Johannes Pfeifer
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
...
- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
Stéphane Adjemian (Charybdis)
811877aa6c
Switched back on old-oop-style branch and updated submodules dseries and dates.
...
Note that master branch will not work with Octave (3.8 or 4.0)
because we use the new syntax for classes in the master branch.
2014-12-04 15:53:21 +01:00
Sébastien Villemot
22d1c45dad
Update dseries submodule.
2014-12-04 14:46:39 +01:00
Sébastien Villemot
fa4e50499d
Update dates and dseries submodules.
2014-12-04 14:19:50 +01:00
Johannes Pfeifer
e4745cbc65
Add missing abs to unit root check in model_diagnostics.m
2014-12-03 13:35:06 +01:00
Stéphane Adjemian (Charybdis)
7764d07343
Updated date submodule.
2014-12-01 17:35:09 +01:00
Stéphane Adjemian (Charybdis)
e2dd9b2526
Updated unit tests submodule.
2014-12-01 17:20:44 +01:00
Stéphane Adjemian (Charybdis)
a3c139cb38
Updated dynare_config routine.
2014-11-28 18:35:19 +01:00
Stéphane Adjemian (Charybdis)
d1966dbc76
Added dseries class as a submodule.
2014-11-28 18:34:01 +01:00
Stéphane Adjemian (Charybdis)
686289cd01
Updated dynare_config routine.
2014-11-28 18:26:42 +01:00
Stéphane Adjemian (Charybdis)
4d669a4312
Removed matlab/@dseries and utilities/dseries subfolders.
2014-11-28 18:24:05 +01:00
Stéphane Adjemian (Charybdis)
bc90d1d6da
Merge branch 'remove-@dates'
2014-11-28 18:13:46 +01:00
Stéphane Adjemian (Charybdis)
fc3e1b2108
Merge remote-tracking branch 'fred@github/master'
...
Conflicts:
matlab/initial_estimation_checks.m
matlab/utilities/tests
2014-11-28 16:53:44 +01:00
Stéphane Adjemian (Charybdis)
593adcd5e9
Updated dynare_config routine (new path for the dates class and related routines).
2014-11-27 23:19:53 +01:00
Stéphane Adjemian (Charybdis)
6d30ac71d8
Added dates class as a submodule.
...
The submodule dates is in matlab/modules/ subfolder.
2014-11-27 23:15:18 +01:00
Stéphane Adjemian (Charybdis)
a00f026f54
Removed matlab/@dates (class for dates) and matlab/utilities/dates folders.
2014-11-27 22:52:10 +01:00
Marco Ratto
800fd59cf0
Prune no longer used titles and file names
2014-11-27 11:32:03 +01:00
Marco Ratto
1b615b4f70
Bug fix for different behaviour of linspace in older MATLAB varsions (crashed in MATLAB R2011).
2014-11-27 11:30:10 +01:00
Johannes Pfeifer
da691bb21c
Fix reading in of initval files from Excel
...
series_-indicator was not set
2014-11-27 10:44:21 +01:00
Johannes Pfeifer
566835bba6
Check size of initval-file provided values and issue more explicit error message
2014-11-27 09:09:30 +01:00
Johannes Pfeifer
6d7c8ef963
Allow reading in of row vectors in initval file
2014-11-27 09:08:57 +01:00
Stéphane Adjemian
6aa7c038ef
Merge pull request #799 from JohannesPfeifer/simplex
...
Further fixes to simplex algorithm related to unset options
2014-11-25 11:45:59 +01:00
Houtan Bastani
97e93941c5
gsa: corrcoef: add missing function from octave forge nan package, #796
2014-11-25 11:25:45 +01:00
Johannes Pfeifer
3d6316bc5e
Fix handling of some options in simplex_optimization_routine.m
...
One was unset, leading to crashes, and the other one was ignored due to naming conflicts
2014-11-25 09:56:14 +01:00
Johannes Pfeifer
268e8627f0
Add missing simple option to global_initialization.m
2014-11-25 09:54:41 +01:00
Houtan Bastani
103788bb5b
gsa: add corrcoef from octave forge nan package. closes #796
2014-11-24 17:28:38 +01:00
MichelJuillard
6d12f2141f
Merge pull request #765 from JohannesPfeifer/analytic_derivation_message
...
Fix message in dynare_estimation_init.m
2014-11-21 22:10:30 +01:00
MichelJuillard
dc319a973c
Merge pull request #768 from JohannesPfeifer/model_diagnostics
...
Improvements to model diagnostics
2014-11-21 22:09:08 +01:00
MichelJuillard
afb60b2528
Merge pull request #767 from JohannesPfeifer/osr_scaling
...
Fix computation of objective function in OSR when covariances are specified
2014-11-21 22:03:00 +01:00
MichelJuillard
22d4a86c6d
Merge pull request #772 from JohannesPfeifer/varexo_det_forecasting
...
Fix forecasting with exogenous deterministic variables
2014-11-21 21:48:19 +01:00
Houtan Bastani
f3f2da54ff
load_csv_file: try loading io package before error and expand error message
2014-11-21 16:15:12 +01:00
MichelJuillard
8e9cd95a89
Merge pull request #760 from JohannesPfeifer/fix_smoother
...
Fix bug when calling non-Bayesian smoother after Bayesian estimation
2014-11-20 10:27:15 +01:00
Houtan Bastani
974ea63b36
Merge pull request #787 from rattoma/gsa
...
New compact plots for GSA and IRF/moment calibration
2014-11-20 10:20:23 +01:00
Marco Ratto
876635c371
1) Provisions for using mcf_analysis in map_calibration.m
...
2) Changed synthetic plotting of all restrictions
2014-11-19 19:37:51 +01:00
Marco Ratto
a48e053e3a
Do not number saved figure when only is saved.
2014-11-19 19:36:27 +01:00
Marco Ratto
3a32d61d32
provisions for using new mcf_analysis.m
2014-11-19 19:35:44 +01:00
Marco Ratto
f3c9b39dce
Added new Monte Carlo filtering utility, factorizing all Smirnov and correlation tests and plots.
2014-11-19 19:32:07 +01:00
Marco Ratto
6f68ad69a8
Merge remote-tracking branch 'remotes/personal/gsa' into gsa
2014-11-18 15:44:44 +01:00
Marco Ratto
79f68a5f32
1) proper use of new nodecomposition option;
...
2) bug fix on variable list;
2014-11-18 15:23:26 +01:00
Marco Ratto
3d14c1078e
Proper use of nodecomposition option in posterior estimation and identification.
2014-11-18 12:12:22 +01:00
Marco Ratto
e3ac15458a
Properly deal with dseries in identification. This fixes #781
2014-11-18 11:34:49 +01:00
Houtan Bastani
8d96310436
Merge pull request #702 from rattoma/master
...
Use the nodecomposition option which is available in th_autocovarianc...
2014-11-17 12:16:43 +01:00
Houtan Bastani
c3fdb7517c
Merge pull request #782 from JohannesPfeifer/perfect_foresight_message
...
Cosmetic change to perfect foresight + unit tests
2014-11-17 11:32:07 +01:00
Johannes Pfeifer
c5c5caace5
Add utility to convert Dynare 4.5 results structure to 4.4
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
cb4fb6aaf1
Replace eval-command in dynare_estimation.m by direct call to fields
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
86cac40362
Harmonize field length for FilteredVariables for calibrated smoother
...
Analogous to 4f5e0321228c0e4aca19fcd114f26dbaa1bbbfaf
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
4b1e815728
Always display value of posterior/likelihood at the mode
...
Also clarifies that minus the posterior/likelihood is displayed
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
68b27252d7
Fix selected_variables_only option with classical forecasts
...
dyn_forecast requires that the smoother has been run on all endogenous variables, leading to crashes. Now, if this option is encountered with classical forecasts, it is overridden. Also documents this in the manual.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
45ef721d03
Fix computation of SmoothedMeasurementErrors in Bayesian smoother
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
1cbb17f929
Make sure classical filtered variables have the same length as the Bayesian ones, i.e. nobs.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
49abff9e4d
pm3.m: If no TeX names are provided, default to variable names provided
...
Old default assumes that only moments for endogenous variables considered. This leads to wrong results if e.g. shocks are considered.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
61253bcb81
Add header with info to pm3.m
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
9f20aaa8e4
Cosmetic fix to wording of error message in resol.m
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
b76bc6d79e
Make sure all computed moments in Bayesian estimation return column vectors
...
The HPD were the only exemption, being row vectors.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
5062f2ec7b
Fix length of stored and plotted forecasts for Bayesian estimation
...
It stored the initial condition(s) in addition to the forecasts for the specified horizon. In plots, the first point was actually not the forecast, but the initial condition. This contrasted with the behavior or ML and recursive Bayesian forecasts. Now the stored and plotted forecasts always have the first forecast horizon as the first entry/data point
2014-11-16 21:08:17 +01:00
Johannes Pfeifer
704f8650af
Properly initialize var_yf in forcst.m
2014-11-16 21:08:17 +01:00
Johannes Pfeifer
af9e30c658
Change display of failed solution to a warning
...
Problem can be missed too easily otherwise
2014-11-16 14:35:58 +01:00
Marco Ratto
a871441896
1) Forced nodisplay to avoid proliferation of plots;
...
2) added waitbar;
2014-11-14 18:00:41 +01:00
Marco Ratto
21bf34e609
1) Added new improved plotting utility for Monte Carlo filtering tests: scatter_mcf.m;
...
2) fixed graphical and printed output for prior stab_map_.m;
3) use corrcoef for pvalue and change default pvalue_corr, alpha2_redform, alpha2_rmse to 1.e-5
2014-11-14 17:59:08 +01:00
Marco Ratto
6a4f79684c
Merge remote-tracking branch 'remotes/personal/gsa' into gsa
2014-11-14 17:47:58 +01:00
Marco Ratto
06572f26a4
Use the nodecomposition option which is available in th_autocovariances.m: for large models with the HP filter option, this may spare a lot of time, if only the unconditional moments are needed on output;
2014-11-14 17:28:17 +01:00
Frédéric Karamé
95c3e05f0f
Updated particles submodule.
2014-11-14 17:16:55 +01:00
Stéphane Adjemian (Telemachus)
aae7c23fe2
Added unitary test for hessian routine.
2014-11-14 16:33:34 +01:00
Johannes Pfeifer
ff3c8e94e1
Clean up hessian.m
...
Fix description of algorithm and document the function better. Also removes manual increasing of loop variable and moves computation of temporary variable not depending on loop variables outside of the loop as it needs to be computed only once.
2014-11-14 16:33:34 +01:00
Jukka Heikkonen
83931dca66
Added legends for the figures.
2014-11-14 14:53:37 +01:00
Jukka Heikkonen
90487c03e0
The naming of the resulting SA restrictions files (Smirnov statistics plots) changed so that the file names shows the endogenous variable and shock name of interest. E.g. If the model file name is ls2003a.mod the file name of the plot may be
...
ls2003a_prior_irf_calib_y_VS_e_ys_SA_1 showing the endogenous variable name y and shock e_ys.
2014-11-14 14:51:54 +01:00
Houtan Bastani
f999f960f8
bug fix: add missing comment
2014-11-14 12:27:20 +01:00
Houtan Bastani
b14c10c1a2
Merge pull request #775 from JohannesPfeifer/sim1_imaginary
...
Take care of imaginary numbers in perfect foresight simulations
2014-11-14 12:24:27 +01:00
Stéphane Adjemian (Telemachus)
2300464cae
Merge branch 'simplex'
2014-11-14 11:07:58 +01:00
Michel Juillard
9fa92b0d02
fixing error message
2014-11-14 07:15:24 +01:00
Stéphane Adjemian (Telemachus)
a8e7c30e6a
Added @dseries/exist method.
2014-11-13 16:53:06 +01:00
Stéphane Adjemian (Telemachus)
a473a36526
Updated particles submodule.
2014-11-13 15:56:10 +01:00
Stéphane Adjemian (Telemachus)
5699a4899c
Removed local_state_space_iterations_2 routine from particles module.
2014-11-13 15:53:26 +01:00
Stéphane Adjemian (Telemachus)
e143f8ef2e
Replaced particle folder by a Git submodule (particles). Adapted path in dynare_config.
2014-11-12 17:55:18 +01:00
Johannes Pfeifer
cc96d46911
Transfer hard-coded verbosity of simplex algorithm into an option
2014-11-10 19:54:44 +01:00
Johannes Pfeifer
7c59edead2
Make simplex_optimization_routine.m usable outside of estimation
...
Removes hard-coded parameter names extracted from bayestopt_ by handing them over explicitly
2014-11-10 19:53:55 +01:00
Johannes Pfeifer
c3467ddca2
Simplex: return only scalar best value instead of full vector
2014-11-10 19:41:50 +01:00
Stéphane Adjemian (Sedna)
bbf6ea50b0
Added workaround for bug in some Matlab versions (wrong type).
2014-11-10 11:21:05 +01:00
Stéphane Adjemian (Telemachus)
0691b08303
Adapated internals routine (name of dynTest routine has changed).
2014-11-09 22:20:43 +01:00
Stéphane Adjemian (Telemachus)
6557849b30
Updated m-unit-tests module.
2014-11-09 22:20:18 +01:00
Stéphane Adjemian (Telemachus)
a12e9d684a
Force type consistency when comparing actual results and expected
...
results in unit tests (use logical type).
2014-11-09 22:17:46 +01:00
Stéphane Adjemian (Telemachus)
8fedac4d5e
Replaced calls to dyn_assert by calls to dassert.
...
This routine is used to compare objects i -n unit tests.
2014-11-08 09:28:53 +01:00
Stéphane Adjemian (Telemachus)
479189ef47
Updated path in dynare_config.
...
For m-unit-tests module.
2014-11-07 22:41:25 +01:00
Stéphane Adjemian (Telemachus)
f2aabb1f0d
Added m-unit-tests as a submodule.
2014-11-07 22:40:31 +01:00
Stéphane Adjemian
1c62420909
Removed matlab/utilities/tests subfolder.
2014-11-07 22:31:23 +01:00
Houtan Bastani
e6789a3707
Merge pull request #761 from JohannesPfeifer/message_test_calibration
...
Clarify message in test_for_deep_parameters_calibration.m
2014-11-07 17:27:15 +01:00
Houtan Bastani
1f25e7d479
Merge pull request #757 from JohannesPfeifer/fix_display
...
Add missing run index to looped variable in resol.m
2014-11-07 17:25:50 +01:00
Houtan Bastani
a1a0cc098b
skipline: simplify code
2014-11-07 16:44:05 +01:00
Houtan Bastani
f98a41007e
skipline: fix function header
2014-11-07 16:44:05 +01:00
Houtan Bastani
ae52f7615c
bug fix: skipline
2014-11-07 16:44:05 +01:00
Stéphane Adjemian
6edef09aba
Added fake input argument in @dates/isequal.
2014-11-07 16:12:47 +01:00
Stéphane Adjemian
d77dec9726
Added optional tolerance parameter in @dseries/isequal method.
2014-11-06 15:43:23 +01:00
Houtan Bastani
884cbc3fbe
dseries: bug fix: add delimiter for importdata for .csv files
2014-11-06 14:46:27 +01:00
Houtan Bastani
3f4f348a0a
dseries: variable in error messages isn't set
2014-11-06 14:34:05 +01:00
Houtan Bastani
9a966151fa
fix typo
2014-11-06 13:48:53 +01:00
Johannes Pfeifer
2a67e2a306
Take care of imaginary numbers in perfect foresight simulations
...
Finishing with imaginary parts now does not count as a solution and triggers a new homotopy step.
2014-11-06 09:08:50 +01:00
Johannes Pfeifer
cb5d3df6a0
Computation of the loss function in the presence of unit root variables was incorrect
...
Some elements were simply left out. This commit now mimics the computations as in th_autocovariances.m and makes sure the loss function coincides with the one that is obtained by reading out the covariance from oo_.var
2014-11-03 18:05:15 +01:00
Johannes Pfeifer
669016167e
Fix bug in osr where moments were not based on optimal parameter draw
...
M_.params is global and was set by csminwel1 to the last value tested; this does not necessarily coincide with the optimal parameter vector, which may have occurred earlier. This commit explicitly sets the optimal parameter vector.
2014-11-03 18:01:04 +01:00
Johannes Pfeifer
7b1663281b
Transform objective function in osr to full matrix
...
If the objective function only has one element, the scalar product of a sparse matrix and a full matrix is sparse (in contrast to two or more elements). This crashes the osr code subsequently.
2014-11-03 15:29:21 +01:00
Johannes Pfeifer
6bc9b88401
Add reordering of second order derivatives to stochastic_solvers.m
...
It was erroneously completely moved to dyn_second_order_solver.m in the 4.3 branch when cleaning up dr1.m. Without this reordering, decision rules for exogenous deterministic variables at second order are wrong
2014-11-02 19:34:55 +01:00
MichelJuillard
283912be53
Merge pull request #770 from JohannesPfeifer/Ramsey_aux_vars
...
Ramsey aux vars
2014-11-02 15:16:44 +01:00
Johannes Pfeifer
ecbe428bd7
Fix computation of objective function in OSR if covariances are specified
...
Due to the preprocessor adding entries for all variable combination into i_var, variables contained in covariances obtained a wrong weighting. By only selecting the unique entries, this cannot happen anymore. Moreover, the computation intensity of the objective does not increase quadratically in the objective anymore.
2014-11-02 12:49:11 +01:00
Michel Juillard
491301c67b
th_autocovariances.m creates Gamma_y{nar+2} (variance decomposition)
...
even if there is a single shock. In that case variance decomposition
is one. It is better if Gamma_y has always the expected
size. disp_th_moments.m only displays variance decomposition if there
is more than one shock.
2014-11-02 11:17:27 +01:00
Michel Juillard
fbbe98815b
fixing bug introduced in commit 6eb3a3d
when displaying theoretical
...
moments for a model with a single exogenous variable
2014-11-01 09:15:48 +01:00
Johannes Pfeifer
c2da796153
Fix distinction between initial values provided to dyn_ramsey_static.m and stale unchanged initial values in oo_.steady_state
...
In case of no steady state file, they are identical, but with a steady state file, they are not. Moreover, this fixes a problem with the dimension of the input to the steady state file. ys was not initialized and had wrong dimensions
Also adds comments to file.
2014-10-30 13:31:57 +01:00
Johannes Pfeifer
3a9c273535
Allow for check of Hessian at order>2 in model_diagnostics.m
2014-10-29 19:37:03 +01:00
Johannes Pfeifer
c1999443ce
Condition singularity warning on unit root check
...
When singularity is detected, try to compute eigenvalues to see if unit root is present and issue warning according to this check
2014-10-29 19:33:33 +01:00
Johannes Pfeifer
8443eb58cd
Do not create classical filtered variables at posterior mean if Bayesian filtered variables were requested
...
The check for running the smoother on the model at the posterior mean is only based on whether the smoother option was set. But filtered_vars is a separate option. If not also checking whether Bayesian filtered variables have already been requested, oo_.FilteredVariables will contain both "ML" and Bayesian fields, which is confusing. The change only saves the filtered variables from the classical smoother if the user did not use Bayesian estimation.
2014-10-29 19:07:49 +01:00
Johannes Pfeifer
a159442935
Fix message in dynare_estimation_init.m
...
If some parameters are NaN after computing the steady state, the message erroneously said that parameters had been changed. In a check for equality, NaN is not equal to NaN. Thus, NaNs are now taken care of separately.
2014-10-29 09:02:29 +01:00
Stéphane Adjemian (Charybdis)
9300a061aa
Fixed bug (appearing only with Matlab and legacy data interface) if the m data file is in the current directory.
...
If the m data file is in the current directory, the first output of
fileparts(options_.datafile) is an empty string. In Matlab the command
cd('') fails, but Octave does not fail in this case (and does nothing).
Added a test on the first output of fileparts, if this output is empty
we do not try to change the current directory.
2014-10-23 11:08:26 +02:00
Stéphane Adjemian (Karaba)
5ab08ed8d3
Added missing semi colon.
2014-10-21 16:37:57 +02:00
Stéphane Adjemian (Karaba)
ca28a2b778
Fixed load_m_file_data_legacy.m.
...
An m file data was not loading if outside the current directory.
2014-10-21 16:05:34 +02:00
Stéphane Adjemian (Karaba)
63d3157267
Do not force the user to provide a clean m data file when using the legacy data interface.
...
Note that all the variables listed in varobs need to have the same
number of observations.
2014-10-20 17:28:35 +02:00
Stéphane Adjemian (Karaba)
f48566aeae
Fixed prior bounds (according to the doc in master branch).
...
* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
Stéphane Adjemian (Karaba)
fb14d24036
Do not truncate the plotted prior densities with the truncation
...
parameters used for optimization (second and third positional
arguments after the name of the estimated parameter in the
estimated_params block).
2014-10-16 15:27:40 +02:00
Stéphane Adjemian (Karaba)
2d61c39276
Cosmetic changes.
2014-10-16 15:25:51 +02:00
Johannes Pfeifer
db2ba6d887
Clarify message in test_for_deep_parameters_calibration.m
2014-10-15 13:42:47 +02:00
Johannes Pfeifer
2c01113e8c
Fix bug when calling non-Bayesian smoother after Bayesian estimation
...
Because xparam1 is used by the smoother, but xparam was set to the posterior mean, the non-Bayesian smoother results were based on the parameters at the mode, which are stored in xparam1.
2014-10-15 09:49:07 +02:00
Stéphane Adjemian (Karaba)
d423ae63a8
Set default value for last input argument of lyapunov_symm routine (debug flag).
2014-10-15 09:02:42 +02:00
Johannes Pfeifer
590c0985f8
Add missing run index to looped variable in resol.m
2014-10-13 20:10:57 +02:00
Stéphane Adjemian (Karaba)
935f74883d
Added unit tests for lyapunov_symm routine.
2014-10-13 17:42:53 +02:00
Stéphane Adjemian (Karaba)
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
Stéphane Adjemian (Karaba)
55808060cf
Removed useless input (complete commit 438a671c3873e5c4e1bb02a54080e930fbc11886).
2014-10-13 17:42:52 +02:00
Johannes Pfeifer
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
...
- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
Stéphane Adjemian
573d276f1a
Merge pull request #739 from JohannesPfeifer/Cosmetic_changes
...
Cosmetic changes, documentation, and small bugfix
2014-10-13 13:39:19 +02:00
Johannes Pfeifer
96df3b0043
Cosmetic changes to error messages
...
(cherry picked from commit ffa424d9d88dcd534272b154a3d9848df861914b)
2014-10-13 13:05:46 +02:00
Stéphane Adjemian
78621c03ee
Merge pull request #742 from JohannesPfeifer/second_order_hessian_problems
...
Deal with NaN and Inf in Hessian of dynamic model
2014-10-13 12:49:38 +02:00
Johannes Pfeifer
de5875a75b
Fix bug still present in CutSample.m
...
#733 was faulty because it did not account for changes in the first line when more than 1 MH file was present. Now, FirstDraw really denotes the first draw (as opposed to the last draw as before). The subsequent computation of FirstMhFile is then also correct.
2014-10-12 11:33:55 +02:00
Stéphane Adjemian
6c112a2701
Merge pull request #743 from JohannesPfeifer/debug_info_estimation
...
Add check for NaN parameters to initial_estimation_checks.m
2014-10-10 22:30:12 +02:00
Stéphane Adjemian
06fbf2b2c5
Merge pull request #746 from JohannesPfeifer/rplot
...
Filter out empty oo_.endo_simul in rplot.m
2014-10-10 22:25:07 +02:00
Stéphane Adjemian (Charybdis)
df1e734106
Merge branch 'steady_debug'
2014-10-10 21:47:24 +02:00
Stéphane Adjemian (Charybdis)
f4922a8a27
Cosmetic changes.
2014-10-10 21:46:50 +02:00
Stéphane Adjemian
9e3edd6673
Merge pull request #748 from JohannesPfeifer/maxit
...
Change maxit default value and correct manual
2014-10-10 19:03:56 +02:00
Stéphane Adjemian
37d4cf7e35
Merge pull request #753 from JohannesPfeifer/MCMC_diag
...
Improve tractability of McMCDiagnostics_core.m by adding header and comm...
2014-10-10 18:46:30 +02:00
Houtan Bastani
f4f7a02fd7
Provisions for MATLAB 8.4 (R2014b)
2014-10-10 10:41:04 +02:00
Johannes Pfeifer
1d68ed8da6
Improve tractability of McMCDiagnostics_core.m by adding header and comments. Also uses more intuitive variable names
2014-10-09 10:57:28 +02:00
Johannes Pfeifer
3187c70b97
Add debugging info on initial values for steady state computation
2014-09-30 15:05:12 +02:00
Johannes Pfeifer
a9bb341b0a
Increase default maxit for steady and deterministic simulations
...
Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
Michel Juillard
6bbfa2fa6d
removed 1e6 in expression forcing a non-singular Jacobian
2014-09-30 08:13:31 +02:00
Johannes Pfeifer
6a8c968411
Filter out empty oo_.endo_simul in rplot.m
2014-09-29 15:00:45 +02:00
Michel Juillard
fa3e77d163
fixing bug in handling options for lmmcp
2014-09-28 10:07:08 +02:00
Johannes Pfeifer
127b7b0221
Add check for NaN parameters to initial_estimation_checks.m
...
Provides important info to debug cryptic crashes in later routines. Mostly applies to cases where people run estimation without stoch_simul
2014-09-25 09:02:36 +02:00
Johannes Pfeifer
b43d52278d
Deal with NaN and Inf in Hessian of dynamic model
...
Checks for these cases in stochastic_solvers.m to prevent cryptic crashes in dll-files later on
2014-09-25 08:49:19 +02:00
Johannes Pfeifer
2d39fc62e2
Make sure the output arguments of dsge_likelihood.m are actually set
...
Before, trend_coeff and ys were sometimes returned as empty
2014-09-21 11:54:43 +02:00
Johannes Pfeifer
3e427020d6
Cosmetic changes in headers
2014-09-21 11:51:46 +02:00