dab5d38068
Fix initialization of state variances
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- incomplete computation of variances in case 1
- wrong ordering for case 2
2020-11-12 10:43:04 +01:00
c0c1b98326
discretionary_policy_1.m: take care of presence of auxiliary equations
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Happens e.g. with news shocks
2020-11-11 22:08:19 +01:00
fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models
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Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.
Incidentally, this closes #1731 . This commit therefore also removes the
workaround introduced in 0391dbbeb1
2020-11-09 16:34:12 +01:00
029ab65e68
Perfect foresight with initval_file: fix another bug when M_.orig_maximum_lag ≠ M_.maximum_lag
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Similar to 95dcb5f4b7
2020-11-05 16:08:57 +01:00
95dcb5f4b7
Perfect foresight with initval_file: fix bug when M_.orig_maximum_lag ≠ M_.maximum_lag
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By the way, remove inexact comment about a similar code in histvalf.m
2020-11-05 15:39:55 +01:00
5fab01c534
Perfect foresight: fix case where max lead/lag on exo is greater than max lead/lag on endo
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Bug introduced in commit e21cb1ad6b#1720
2020-10-21 19:12:22 +02:00
e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases
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Closes : #1720
2020-10-21 16:30:40 +02:00
4ba0f0a9c3
LMMCP: don’t report a wrong maxerror, rather put NaN
2020-10-20 18:27:19 +02:00
46da76c0ce
LMMCP: fix bug when periods=1
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The fix in commit 24cc67e585
2020-10-20 18:20:04 +02:00
87cc519321
LMMCP / linear perfect foresight: fix bug for models with a single equation
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The routines use the find() function applied to a subset of columns of the
Jacobian, which in this case is a row vector. When passed a row vector, find()
returns row vectors (while it returns column vectors when passed a column
vector or a matrix). This case was not correctly handled.
2020-10-20 18:20:02 +02:00
df58037feb
Reporting: rename @graph class to @report_graph, to avoid name clash with MATLAB’s @graph
2020-10-20 14:39:47 +02:00
e3207b1d8c
Extended path: remove ep.use_bytecode flag
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It’s actually useless and complicates the code. Simply rely on
options_.bytecode.
Ref. #1742
2020-10-15 11:06:59 +02:00
10333f99e2
Fix extended_path + bytecode under Octave
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Ref. #1742
2020-10-15 10:59:15 +02:00
71e3e0d49e
Fix extended_path with bytecode
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By the way, document and enforce the fact that stochastic extended_path (i.e.
order > 0) is not compatible with either bytecode or block.
Closes : #1742
2020-10-14 17:25:58 +02:00
e576dc8c81
Block decomposition: fix evaluation of recursive variables in solved blocks
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Ref. #1726
2020-10-06 18:31:13 +02:00
fa12e5abfc
Provisions for MATLAB R2020b
2020-09-24 15:43:06 +02:00
Stéphane Adjemian (Charybdis)
202bf913c0
Cosmetic changes.
2020-09-23 13:56:08 +02:00
c366a8c3da
fix bugs
2020-09-20 16:52:31 +02:00
c2e43c0093
fix histval_initval_file unit tests
2020-09-20 11:11:26 +02:00
57c94a1c76
revise options checks
2020-09-19 19:17:42 +02:00
b6582c2d5f
fix handling firstsimulationperiod
2020-09-19 12:18:24 +02:00
91b4cfd3a8
fixes handling of periods in histval_file/initval_file
2020-09-19 12:14:43 +02:00
b9812a0ff0
Fix another issue with extended_path + bytecode
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As reported in https://forum.dynare.org/t/extended-path-bytecode/16577
2020-09-08 13:13:00 +02:00
0391dbbeb1
fix bug with lag on exogenous variables on more than one period
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(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
2020-09-04 14:02:04 +00:00
26597bf093
Remove more utilities related to conversion of oo_ between Dynare versions
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Ref. #915
2020-09-03 16:45:21 +02:00
d7b7ce8940
AnalyseComputationalEnvironment.m: define missing command string used in error message
2020-09-02 12:41:31 +02:00
b891695680
Merge branch 'JohannesPfeifer/dynare-MoM'
2020-09-01 15:14:43 +02:00
96be513ecf
Remove matched_moments_ as input argument as it is now a field of M_
2020-08-05 15:58:58 +02:00
f6c2471eef
New MEX for solving discrete Lyapunov equations with doubling algorithm
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This is a Fortran 2008 rewrite of disclyap_fast.m.
Closes : #1737
2020-07-30 16:34:35 +02:00
daea99d1b0
Merge branch 'parameter_setting' into 'master'
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Move setting of parameters out of check_bounds_and_definiteness_estimation.m
See merge request Dynare/dynare!1754
2020-07-21 08:30:57 +00:00
3b85fea02e
Move setting of parameters out of check_bounds_and_definiteness_estimation.m
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Increases transparency
2020-07-17 15:02:12 +02:00
4d22c4c0c0
Drop 32-bit binaries from Windows package
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Closes : #1713
2020-07-17 12:52:58 +02:00
1dbbef9f2e
Merge branch 'moment_estimation' into 'master'
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First implementation of moment estimation
See merge request Dynare/dynare!1750
2020-07-16 15:41:15 +00:00
b273a2792b
Fix iterated method of moments
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Also improve fprintf descriptions and comments and other cosmetical changes
2020-07-16 14:47:20 +02:00
cda3253d2c
Merge branch 'ME_traceplots' into 'master'
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Fix trace plots with measurement errors and their correlations
See merge request Dynare/dynare!1752
2020-07-16 09:39:47 +00:00
499451d50a
Merge branch 'pruned_state_space' into 'master'
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Speed up pruned_state_space_system.m by e.g. using persistent variables
See merge request Dynare/dynare!1749
2020-07-16 09:39:01 +00:00
9c99eac55c
Move more options to substructure options_mom_.mom
2020-07-16 11:38:41 +02:00
552b995215
Remove stuff and checks that are already done in the preprocessor
2020-07-16 11:38:41 +02:00
540f0454d2
Code Review of GMM routines
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- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
a40807caa9
plot_priors.m: Allow for optional title
2020-07-16 11:38:39 +02:00
e14e9641e8
Factorize checking of positive definiteness
2020-07-16 11:38:38 +02:00
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
f717712ed6
Fix trace plots with measurement errors and their correlations
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Problem was introduced when transitioning to cell arrays
2020-07-15 14:34:04 +02:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
e525798a64
External functions: decrease step used for numerical derivation
2020-07-09 18:40:36 +02:00
9e92dfd7c4
Speed up pruned_state_space_system.m by e.g. using persistent variables
2020-07-08 19:50:31 +02:00
d10242fbab
dynare_minimize_objective.m: change parameter names to expected cell array
2020-07-08 11:44:47 +02:00
6b592cbb00
newrat: Further replacement of varargins by explicit options
2020-07-08 11:44:34 +02:00
dc6e3406e5
Merge branch 'tolerance' into 'master'
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Correctly distinguish tolerance between steady and perfect foresight
See merge request Dynare/dynare!1746
2020-07-07 09:46:28 +00:00
6a6271225c
Merge branch 'minimize_objective' into 'master'
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Minimize objective
See merge request Dynare/dynare!1737
2020-07-07 09:35:39 +00:00
607a273bb0
Correctly distinguish tolerance between steady and perfect foresight
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steady uses options_.solve_tolf as a termination criterion, so subsequent checks should do the same. Similarly, solve_tolx was never used.
2020-07-06 13:11:23 +02:00
3736272331
Merge branch 'lyap' into 'master'
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disclyap_fast.m: bugfixes and improvements
See merge request Dynare/dynare!1745
2020-07-01 08:14:46 +00:00
287ec91982
disclyap_fast.m: bugfixes and improvements
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- loop termination criterion did not match subsequent check
- dimensions of NaN were incorrect
- exitflag was mostly meaningless due to erroring out
- Make max_iter an optional input
- Move file from partial information folder to Matlab
2020-06-30 16:43:00 +02:00
4913cfb3f0
Merge branch 'third_order_moments' into 'master'
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Add display of theoretical moments at order=3 with pruning
See merge request Dynare/dynare!1744
2020-06-30 14:38:22 +00:00
9d2ec5f040
disp_th_moments.m: cosmetic changes
2020-06-30 15:31:55 +02:00
dfc7357636
Add display of theoretical moments at order=3 with pruning
2020-06-30 13:46:54 +02:00
e5cf2a3739
Merge branch 'ME_moments' into 'master'
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Bugfixes around moment computation with measurement errors
See merge request Dynare/dynare!1743
2020-06-29 14:05:42 +00:00
f3329c2db6
compute_moments_varendo.m: delete stale results field
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Otherwise, results from old runs will not be updated
2020-06-29 13:21:25 +02:00
6e06acc7f4
Fix moment computation with Measurement errors
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- check logic for M_.H was faulty
- M_.H was not updated in posterior sampling
2020-06-29 13:20:02 +02:00
69fc7acb9c
Add function for updating measurement error covariance matrix
2020-06-26 18:28:07 +02:00
695ec4b6c1
set_parameters_locally.m: fix comment
2020-06-26 18:28:07 +02:00
faa4416b99
Merge branch 'pnames' into 'master'
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Move definition of prior distribution names to separate function to make it...
See merge request Dynare/dynare!1742
2020-06-26 11:55:28 +00:00
e92054e16b
Move definition of prior distribution names to separate function to make it useable in other contexts.
2020-06-26 12:07:16 +02:00
fdd9676071
Merge branch 'dyn_latex_table' into 'master'
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dyn_latex_table.m: move latex output to latex subfolder
See merge request Dynare/dynare!1741
2020-06-26 10:04:28 +00:00
1c759bb232
dyn_latex_table.m: move latex output to latex subfolder
2020-06-25 17:09:49 +02:00
71c20d76df
dseries: daily frequency; DBnomics support
2020-06-25 11:45:04 +02:00
530f2fa5a6
Merge remote-tracking branch 'jpfeifer/rplot'
2020-06-25 10:50:56 +02:00
f0f02c3159
disp_moments.m: filter out 0 variance variables
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Otherwise, division by 0 will result in incorrect moment displays
Closes #1736
2020-06-25 09:42:17 +02:00
61fd9d7c7d
rplot.m: fix TeX-ylabel
2020-06-25 09:28:03 +02:00
5c56295c82
imcforecast.m: fix typo in description
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[skip CI]
2020-06-24 21:36:41 +02:00
49b35be90a
Preprocessor: various improvements to the use_dll mode
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In particular, higher order derivatives are now returned as sparse matrices by
the static/dynamic files, instead of 3-column matrices (which was inconsistent
with the M-file mode).
2020-06-23 19:38:49 +02:00
bcc213644f
Merge branch 'factorize_checks' into 'master'
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Factorize prior bound and definiteness checks
See merge request Dynare/dynare!1736
2020-06-23 16:17:55 +00:00
75211742b8
MATLAB+Windows: workaround to allow the preprocessor to delete the +modfile folder
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For an instance of this bug, see
https://forum.dynare.org/t/issue-with-dynare-preprocessor-4-6-1/15448/1
2020-06-23 18:14:12 +02:00
81f3e81f3e
Remove obsolete workaround for Octave
2020-06-23 17:59:33 +02:00
4a9f9263df
Make newrat and gmhmaxlik independent of varargin inputs
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Makes the optimizers useable in other contexts where varargin is different
2020-06-23 15:04:11 +02:00
3e725e3292
mr_hessian.m
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Do not save files by default; prevents horse-race write access crashes for fast mod-files under Windows
2020-06-23 15:00:08 +02:00
cfe1069367
Factorize prior bound and definiteness checks
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also removes useless isestimation check
2020-06-22 20:37:31 +02:00
b0fddeeef3
➖ Remove duplicate output of identification ranks tol
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We already print it in the Settings
2020-06-20 22:38:47 +02:00
97134cc362
🐛 Fix issue with endogenous params in steady state
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Identification should switch to analytic_derivation_mode=-2 if steady state block/file changes parameter values. Dynare/dynare!1732 already adresses this when there is a prior specified. This fix also addresses this when there are no priors.
kim2.mod is now not only an integration test but also a unit test for this.
2020-06-20 22:38:47 +02:00
347be1f89a
🐛 Fix wrong computations when identification(useautocorr)
2020-06-20 22:38:47 +02:00
926a54388e
🐛 wrong setting of small values to zeros in identification
2020-06-20 22:38:47 +02:00
db01f54357
🐛 Add warning and turn off identification strength if not enough mom
2020-06-20 22:38:47 +02:00
41fe087106
Block decomposition: static and dynamic files are now pure wrappers around the per-block files
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Systematically call top-level static/dynamic files, instead of per-block ones.
2020-06-19 18:46:56 +02:00
ebc0b7ecb2
Block decomposition: move logic for Jacobians in stochastic mode outside the dynamic file
2020-06-19 18:46:56 +02:00
39c5867cd4
Merge branch 'Tex_figures' into 'master'
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Use LaTeX labels in figures
See merge request Dynare/dynare!1734
2020-06-18 14:23:50 +00:00
312d053ae1
Use LaTeX labels in figures
2020-06-17 21:48:25 +02:00
0305b427a6
Block decomposition: use same orientation convention as oo_.endo_simul for matrix of simulated paths
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Improves consistency, but also efficiency (less transpose needed).
2020-06-17 18:19:35 +02:00
20431ed312
Block decomposition: in the dynamic file, y and T are now vectors as in non-block mode
2020-06-17 18:19:21 +02:00
adbb9c9117
Block decomposition, stack_solve_algo=4: fix set of variables over which line search is done
2020-06-16 18:46:40 +02:00
6931614809
Block decomposition: for “solve two-boundaries” blocks, move the iteration loop outside the dynamic file
2020-06-16 18:46:40 +02:00
c25ff09307
Block decomposition: for “solve two boundaries” block, no longer compute “b” (-residuals+g1*y) in the dynamic function
2020-06-16 18:46:40 +02:00
e72bce1a67
Block decomposition: remove useless “y” output for static/dynamic files of solved blocks
2020-06-16 18:46:40 +02:00
616d2b0faf
Bug fix in initializing analytic_derivation option. This is then checked in dynare_estimation_init for parameter endogenized in steady state.
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Ref. #1733
2020-06-16 16:07:48 +00:00
7bec234f7f
Block decomposition: for evaluate blocks, move the iteration loop outside the dynamic file
2020-06-15 18:29:42 +02:00
bfbff6a2fb
Block decomposition: remove duplicate “periods” arg. to dynamic file of complete two-boundaries blocks
2020-06-15 18:29:42 +02:00
87718ce8b7
Merge branch 'disp_moments' into 'master'
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disp_moments.m: make error message informative
See merge request Dynare/dynare!1730
2020-06-15 09:47:22 +00:00
c47682caae
disp_moments.m: make error message informative
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[skip CI]
2020-06-15 11:45:45 +02:00
d54b45cbac
PosteriorIRF_core1.m: Add missing else statement that triggered crashes in rare cases
2020-06-12 17:53:46 +02:00
1d172528d7
Block decomposition: fixed bug introduced in 2ec5e4075a
2020-06-04 19:43:57 +02:00
fae433fb18
Block decomposition: fix bug introduced in 0d11f8182a
2020-06-04 18:15:54 +02:00
Johannes Pfeifer
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Michel Juillard
Willi Mutschler
Marco Ratto