875497bc71
Unit test lpdfgweibull.m: adjust upper integration bound under Octave
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Does not correctly integrate otherwise as more than 99% of support is 0
2017-01-18 11:01:13 +01:00
ce4ab7f7d8
Unit test wblinv.m under Octave: adjust tolerance
2017-01-18 10:59:53 +01:00
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
ba9af24a67
Merge pull request #1370 from JohannesPfeifer/updated_variables
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Output UpdatedVariables in oo_ without filtered_variables
2017-01-05 11:50:06 +01:00
4dfec0d7fb
Merge pull request #1369 from JohannesPfeifer/disp_dr_aux_var
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disp_dr: Add case for aux_vars.type==0
2017-01-05 10:44:44 +01:00
77a93d6ff9
Merge pull request #1362 from JohannesPfeifer/MCMC_jumping_covariance
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Moving loading of MCMC_jumping_covariance to after display of standar…
2017-01-05 09:02:59 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
90982d5fa0
Merge pull request #1357 from rattoma/parallel
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Provisions for new node option NumberOfThreadsPerJob. Document option
2017-01-04 23:29:24 +01:00
c893c0620c
Merge branch 'pr#1354'
2017-01-04 15:12:32 +01:00
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
b946d3c082
Merge pull request #1353 from JohannesPfeifer/Plot_posterior
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PlotPosteriorDistributions.m: remove eval commands and fix typo in "m…
2017-01-04 11:20:06 +01:00
e815c2b4db
Output UpdatedVariables in oo_ without filtered_variables
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Makes it consistent with manual and closes #1366
2017-01-04 10:57:00 +01:00
515e080f49
Do not compute static residuals if steady state routine failed.
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Avoids cryptic model dependent error message.
2017-01-04 10:26:22 +01:00
65c402469c
disp_dr: Add case for aux_vars.type==0
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Closes #1367
2017-01-04 09:14:01 +01:00
3c892170ef
Fixed bug with getting CPU number on mac [see #1272 #838 ]
2017-01-03 19:24:18 +01:00
ee7611c8ad
added note to commented text, as an alternate option, should bugs/problems be reported with line 60
2017-01-03 19:15:53 +01:00
7b4fc9ec4a
Moving loading of MCMC_jumping_covariance to after display of standard errors and computation of Laplace approximation
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Closes #1255
2016-12-27 12:07:22 +01:00
d8b0495c77
Make PosteriorIRF.m and pm3.m honor nograph and posterior_nograph option
2016-12-26 13:11:01 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
4ecf1d9f5d
Workaround to avoid popup figures with nodisplay option saved as fig in MATLAB.
2016-12-20 09:14:48 +01:00
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
61ee4e123c
Reset selected_variables_only in shock_decomposition.m
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closes #1350
2016-12-18 09:57:51 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
33d0f44c40
model_diagnostics.m: provide warning that check of dynamic model is not supported for block option instead of crashing
2016-12-17 21:28:04 +01:00
1a8382adfb
OSR: add error indicator and suppress output if noprint options is specified
2016-12-17 19:30:57 +01:00
7254767ccf
Fix bug in osr_obj.m that did not correctly filter out all problems
2016-12-17 19:30:57 +01:00
481bb43fd7
PlotPosteriorDistributions.m: remove eval commands and fix typo in "mearsurement_errors"
2016-12-17 18:20:58 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
c03fa143f7
Fix printout of comment in McMCDiagnostics.m
2016-12-17 17:22:05 +01:00
d6d517c4c9
Move MCMC diagnostics files to separated folder
2016-12-17 17:22:04 +01:00
6fd715a3b8
adding simul_backward and simul_backward_linear
2016-12-05 16:17:14 +01:00
c2d72d2292
fix check of path for octave
2016-12-05 12:28:02 +01:00
f5fb81a758
Correct typos in error message and header
2016-12-01 17:49:06 +01:00
95076d5c72
Fixed initial condition of stochastic simulation of backward looking models.
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Do not initialize with the steady state. Use histval if available,
default initialization is 0 (which may be problematic).
2016-12-01 13:32:54 +01:00
ca1c6ecc0e
Increase test tolerance under Octave for lpdfgweibull.m
2016-11-24 11:50:21 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
73e0f9d591
made evaluate_steady_state file consistent with evaluation of auxiliary
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variables in <fname>_static.m file
2016-11-20 15:40:08 +01:00
e14a215556
put Z back
2016-11-20 11:46:21 +01:00
897af97bff
diffuse filter: fixed bug when nonstationary variables aren't observed
2016-11-20 11:08:07 +01:00
1a978e42df
Fix bug in missing_DiffuseKalmanSmootherH3_Z.m
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Closes #1339 by properly factorizing computations
2016-11-19 10:07:16 +01:00
2f9dc09285
diffuse filter: removed special treatment of static variables
2016-11-18 14:36:24 +01:00
383d891e81
updating extended path notes
2016-11-14 16:42:49 +01:00
46b44cd481
missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
2016-11-14 11:54:39 +01:00
89e0a84327
fix typo from 98cf1bfc1d
2016-11-14 11:08:02 +01:00
80157985c0
Merge pull request #1333 from JohannesPfeifer/octave_unit_test
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Two fixes related to Octave unit test
2016-11-13 19:14:50 +01:00
6e93b1ecbf
Merge pull request #1330 from JohannesPfeifer/resol_fix
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resol.m: make sure oo.dr is correctly updated even if function is abo…
2016-11-13 19:14:23 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
fccd164926
Provide lower tolerance to Octave's quadv function as integration otherwise stops prematurely
2016-11-10 17:33:18 +01:00
454ac69191
allow spaces in the name of working directories for parallel execution.
2016-11-07 17:19:38 +01:00
0a40cdf064
Bud fix for cases where record does not contain proposal covariance.
2016-11-07 17:18:41 +01:00
7b03b8aef4
resol.m: make sure oo.dr is correctly updated even if function is aborted prematurely
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ramsey_policy relies on oo_.dr.ys being set in any case
2016-11-07 11:36:06 +01:00
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
7733903661
Merge pull request #1329 from JohannesPfeifer/singularity_warning
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Add more information to singularity warning
2016-11-04 15:12:07 +01:00
fa8028f79a
Merge pull request #1325 from JohannesPfeifer/dyn_forecast
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Fix bug in dyn_forecast.m that led to crashes when periods-option was…
2016-11-04 15:11:44 +01:00
2e79d5ccac
Add more information to singularity warning
2016-11-04 12:28:01 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
a11e355587
Merge pull request #1327 from JohannesPfeifer/line_break
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Add missing line break in stoch_simul.m
2016-11-03 18:04:10 +01:00
9543f3b3ae
Add missing line break in stoch_simul.m
2016-11-03 18:02:03 +01:00
c9571b794c
Merge pull request #1320 from JohannesPfeifer/var_decomp
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Initialize variance decomposition array to NaN instead of 0
2016-11-03 17:36:22 +01:00
c0e5cc6abf
Merge pull request #1313 from JohannesPfeifer/evaluate_steady_state
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evaluate_steady_state.m: make sure ys contains auxiliary variables in…
2016-11-03 15:30:02 +01:00
0c3065b39b
Posterior IRFs: only plot HPDIs when sufficient draws were generated
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Otherwise a crash during plotting will happen
2016-10-30 18:31:11 +01:00
9bdc0286d6
Fix bug in dyn_forecast.m that led to crashes when periods-option was not specified
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Condition for setting ex did not account for equality of horizon and periods
2016-10-30 10:41:14 +01:00
08617bb740
fix typo
2016-10-28 16:30:43 +02:00
0a2f3f0f10
Merge pull request #1322 from JohannesPfeifer/cosmetic
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Fix typo in comment of dsge_likelihood.m
2016-10-27 17:20:51 +02:00
4502369617
Fix typo in comment of dsge_likelihood.m
2016-10-27 17:15:24 +02:00
f38f9b0268
submodule update: dseries
2016-10-26 12:09:26 +02:00
982fc38504
Updated dseries submodule (fixes for method interfaces).
2016-10-25 11:57:15 +02:00
46cdaf8e0a
fiminsearch only has two output args under Octave
2016-10-21 17:40:27 +02:00
28af4678b2
Updated dseries submodule.
2016-10-21 16:13:48 +02:00
d7fc50796c
submodule update: dseries, m-unit-tests
2016-10-21 15:16:14 +02:00
847feb17fa
fix mex compilation commands for Matlab R2016b on macOS. Closes #1288
2016-10-20 14:03:35 +02:00
9b8a542661
Initialize variance decomposition array to NaN instead of 0
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Because only stationary variables are updated, prevents non-stationary variables from showing up with 0 instead of NaN
2016-10-18 10:52:57 +02:00
084df40535
fix mex compilation commands for Matlab R2016b on Linux. #1288
2016-10-17 18:40:48 +02:00
fa9bbc231e
submodule update: dseries
2016-10-17 12:58:41 +02:00
09669d2a14
submodule update: dseries
2016-10-17 12:37:28 +02:00
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
e80c1e5a24
evaluate_steady_state.m: make sure ys contains auxiliary variables in case of problem with dynare_solve
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Otherwise, evaluate_static_model will crash
2016-10-13 10:50:50 +02:00
05a906fa8b
Merge pull request #1301 from JohannesPfeifer/recursive_plot
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Use raw_data in forecast plots instead of prefiltered data
2016-10-10 09:44:46 +02:00
c41c310cc5
Merge pull request #1310 from JohannesPfeifer/debug_mode
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Make solve_algo=0 less and mode_check potentially more verbose
2016-10-10 09:40:37 +02:00
6b82788180
Display reason for mode_check-problems when debugging is enabled
2016-10-09 22:16:26 +02:00
29d1e80eda
Decrease verbosity of solve_algo=0
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Shuts off display unless debugging is requested. Otherwise, estimation will clutter the screen
2016-10-09 22:15:48 +02:00
83bc67f0c0
Display informative message when the model cannot be solved at the prior mode.
2016-10-07 12:30:47 +02:00
b70bc9433f
pm3: restore Matlab compatibility by loading file into a variable
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In R2016b the variables loaded in the function need to be known in advance
2016-10-06 14:21:25 +02:00
17dec97c4f
Use raw_data in forecast plots instead of prefiltered data
2016-10-05 19:04:13 +02:00
f074c67d59
Merge pull request #1297 from JohannesPfeifer/estimation_fixes
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Bugfixes and cosmetic changes related to estimation
2016-10-04 11:10:12 +02:00
d5233336b5
Make naming in GetPosteriorMeanVariance.m more expressive
2016-10-04 11:00:00 +02:00
b2984f43c9
GetPosteriorMeanVariance.m: fix bug when number of dropped draws coincided with number of draws in file
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In this case, the reported results were NaN
2016-10-04 10:59:01 +02:00
b4e2f38b6c
posterior_sampler_core: condition setting of seed on presence of Octave
2016-10-04 10:58:38 +02:00
7ff6c5b2b7
Cosmetic change to posterior_sampler_initialization.m
2016-10-03 22:10:00 +02:00
bfbd4aa101
Fix header of dyn_autocorr
2016-10-03 21:30:02 +02:00
5f97efe15a
octave: don't check with user when deleting directory
2016-10-03 14:49:21 +02:00
2fe73fafdc
Implement and document keep_kalman_algo_if_singularity_is_detected option
2016-10-02 12:56:28 +02:00
3f907efbcd
initial_estimation_checks.m: Add proper check for stochastic singularity
2016-10-02 12:55:41 +02:00
c68038dfc8
imcforecast.m: make sure qz_criterium is properly set
2016-10-02 10:51:47 +02:00
f553f893c6
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
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- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
1f0c2e3b1c
Make sure that options_.qz_criterium is not affected by calls to dynare_estimation.m
2016-10-02 10:51:47 +02:00
940ff7fb7d
Make sure diffuse_filter triggers qz_criterium>1
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Closes #1215
2016-10-02 10:51:47 +02:00
68bc9cb9bb
Merge pull request #1281 from rattoma/master
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Fixed bug with new harmonized setting of Smoothed Variables, which co…
2016-09-30 16:29:23 +02:00
dc0c67bff5
Merge pull request #1289 from rattoma/shock_decomp
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Bug fix for provisions in shock_decomposition.m to adapt for the new …
2016-09-30 16:24:43 +02:00
acf1cd8600
Revert "bug fix following change in fe7b7819b0. #1280"
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This reverts commit 9b1dc544cb
2016-09-30 16:23:35 +02:00
9b1dc544cb
bug fix following change in fe7b7819b0. #1280
2016-09-30 15:47:26 +02:00
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
9cdd2cc965
add missing semicolon
2016-09-29 12:31:59 +02:00
f5a14cc537
octave: add .mat extension to save command
2016-09-28 16:33:46 +02:00
de13e98791
octave expects the first argument of strmatch to be a string
2016-09-27 16:49:16 +02:00
744b52d362
fix bug introduced in 1c892bb3e9
2016-09-27 15:28:43 +02:00
1c892bb3e9
octave: try to load the needed package before ending with an error
2016-09-27 15:26:59 +02:00
1669b274a2
fixed bug whith recursive estimation and mode_compute=0
2016-09-27 15:11:42 +02:00
2a6b3caa34
when saving, use .mat file extension because Octave doesn’t support it by default
2016-09-26 11:00:41 +02:00
e84e81dd01
fix typo
2016-09-23 18:37:49 +02:00
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
e09b4571d7
osr: fix call to strmatch for octave. Closes #1291
2016-09-23 16:13:30 +02:00
fe7b7819b0
Bug fix for provisions in shock_decomposition.m to adapt for the new syntax on grouping shocks introduced in commit 804d31e8af to close #1280
2016-09-22 18:41:33 +02:00
b50602962d
Account for Matlab 2016b in installer and mex-folder
2016-09-18 16:33:49 +02:00
e536621b95
Changed help message returned by prior CLI command
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Describes option introduced in 5e398559f4
2016-09-14 18:04:01 +02:00
5e398559f4
Added option to CLI prior command.
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>> prior moments(distribution)
Returns the implied prior mean and standard deviation of the asymptotic
expectation and variance of all the endogenous variables.
The draws of the empirical implied prior distribution for these
asymptotic moments are saved under:
M_.dname/prior/draws/M_.fname_endogenous_variables_prior_draws.mat
and can be used to compute other moments or plot implied prior
densities.
2016-09-14 17:41:01 +02:00
919647477e
replace isstring with ischar as isstring is not supported in Octave. Bug introduced in 80049a6d09
2016-09-13 17:34:23 +02:00
dd69e0c751
Fixed bug with new harmonized setting of Smoothed Variables, which contain already steady-state also at the mode without metropolis
2016-09-12 11:48:52 +02:00
7c5a1d8523
Merge pull request #1279 from rattoma/hessian
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make computations around invhess more robust numerically.
2016-09-08 23:22:25 +02:00
bf599ea790
Merge pull request #1274 from JohannesPfeifer/steady_message
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Add missing check for display of results in evaluate_steady_state.m
2016-09-07 15:23:17 +02:00
96bc8133e7
Merge remote-tracking branch 'remotes/origin/master'
2016-09-07 09:34:28 +02:00
5c4f81a26f
Bug fixes for conditional forecast.
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1) apply chol only for non-diagonal covariances
2) fix wrong index for trend.
3) convert internally constrained_vars is in decision rule order.
2016-09-07 09:27:48 +02:00
eae0828a40
make computations around invhess more robust numerically.
2016-09-05 12:16:07 +02:00
a59697352a
Add xlim to rplot.m
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Prevents excessive white space
2016-09-01 13:57:24 +02:00
12d5147093
Replace hline in dyn_latex_table.m by proper booktabs style
2016-08-31 18:26:56 +02:00
c2b9bd1cff
Add missing check for display of results in evaluate_steady_state.m
2016-08-26 18:31:52 +02:00
e61aa1b407
Merge pull request #1273 from JohannesPfeifer/var_exo_det
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Provide informative error message when var_exo_det is used with purel…
2016-08-24 17:08:52 +02:00
5996211356
Provide informative error message when var_exo_det is used with purely forward and backward models (thanks to Stefan Boeters for pointing this out)
2016-08-24 15:05:28 +02:00
c6dc36536d
Add specification check of Ramsey policy to initial_estimation_checks.m
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Related to #1173
2016-08-24 13:32:11 +02:00
582bcb7a8e
Add missing Ramsey error code to dsge_likelihood.m
2016-08-24 13:32:11 +02:00
41a714ee2b
Move check for correct number of instruments to ramsey_policy.m
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No reason to trigger the check in every iteration
2016-08-24 13:32:11 +02:00
1f26aed03d
Condition output of diagnostics in evaluate_steady_state.m on options.debug
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Prevents display during iterations like estimation
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
Houtan Bastani
Stéphane Adjemian
Marco Ratto
Michel Juillard
Michel Juillard