9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
3df1a1275f
Merge pull request #1185 from JohannesPfeifer/bytecode_fixes
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Bytecode fixes
2016-05-22 10:32:56 +02:00
13d42e05a5
Add missing else-clause in simulated_moment_uncertainty.m
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Fixes crash in unit tests
2016-05-22 10:03:56 +02:00
0521aa4e09
Merge pull request #1188 from JohannesPfeifer/slice_marco
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Add slice and factorization of posterior samplers
2016-05-22 01:45:14 +02:00
161f674dd9
Fix two TeX loaders where apostrophe was missing
2016-05-20 12:43:52 +02:00
7c97d7c662
Allow displaying 0 rows in disp_dr.m
2016-05-20 12:42:43 +02:00
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
89fd14f026
Filter out unit root cases that lead to crashes
2016-05-19 18:57:47 +02:00
1f71331e58
Fix dynareParallelGetFiles.m call to random_walk_metropolis_hastings
2016-05-19 17:43:48 +02:00
12ee5b7276
Fix copyrights and references to random_walk_metropolis_hastings headers
2016-05-19 17:15:31 +02:00
781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
413a264b21
Make read_key_value_string.m compatible with sublists
2016-05-19 14:37:05 +02:00
091f94221f
Delete unused TaRB_metropolis_hastings_core.m
2016-05-19 14:37:05 +02:00
c7e8489481
Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function
2016-05-19 14:37:05 +02:00
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
e5ab7ed992
fixed unknown options warning messages
2016-05-19 14:37:05 +02:00
088db78118
Document computation of Inefficiency factors
2016-05-19 14:37:05 +02:00
ebe34bc40f
Make display of inefficiency factors use existing table util [thanks to Johannes]
2016-05-19 14:37:05 +02:00
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
35a1c7ac17
Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields
2016-05-19 14:34:09 +02:00
9c62021d3c
Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot]
2016-05-19 14:34:09 +02:00
0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
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It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
0e2e1376c9
Fix bug in simulated moments
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Closes #1105
2016-05-18 22:51:20 +02:00
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
Johannes Pfeifer
MichelJuillard
Stéphane Adjemian
Marco Ratto
Houtan Bastani