Johannes Pfeifer
2fa6c437f7
solve_model_for_online_filter.m: remove redundant call to Lyapunov solver
2023-09-08 08:05:48 +02:00
Johannes Pfeifer
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
Johannes Pfeifer
4e58e22bdd
Variance decomposition with pruning: add unit test
2023-09-08 07:02:43 +02:00
Johannes Pfeifer
c063d53646
th_autocovariances.m: fix matrix dimension
2023-09-07 18:09:28 +02:00
Johannes Pfeifer
f2f1c48baf
compute_moments_varendo.m: cosmetic fixes
2023-09-07 17:52:31 +02:00
Johannes Pfeifer
3dd1ffb8fe
pruned_state_space_system.m: gracefully exit in case of unit roots
2023-09-07 17:52:18 +02:00
Johannes Pfeifer
41ac891f80
Factorize variance decomposition code
2023-09-07 17:13:09 +02:00
Willi Mutschler
a0b443b9f8
Cosmetical changes to headers and message strings
2023-09-07 09:36:27 +02:00
Willi Mutschler
777ec76536
method_of_moments: cosmetical changes to cleanup
2023-09-07 09:36:27 +02:00
Willi Mutschler
55dc4a00d5
method_of_moments: refactor displaying of moments
2023-09-07 09:36:27 +02:00
Willi Mutschler
e025d56a59
method_of_moments: refactor J-Test
2023-09-07 09:36:27 +02:00
Willi Mutschler
07b62fe554
method_of_moments: refactor iterated GMM/SMM estimation
2023-09-07 09:36:27 +02:00
Willi Mutschler
9dc4878f9f
method_of_moments: refactor printing of info to a utility function
2023-09-07 09:36:27 +02:00
Willi Mutschler
e52c007d8b
method_of_moments: cosmetical changes to checks for objective function at initial parameters
2023-09-07 09:36:27 +02:00
Willi Mutschler
fb326638f9
method_of_moments: remove redundant noconstant option check
2023-09-07 09:36:27 +02:00
Willi Mutschler
e170b64713
method_of_moments: refactor steady-state check utility functions
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Reuse same functions from full-information estimation command
2023-09-07 09:36:27 +02:00
Willi Mutschler
b737d46d61
method_of_moments: cosmetical changes to smm shock series
2023-09-07 09:36:27 +02:00
Willi Mutschler
9914d764c2
method_of_moments: refactor data moments computation
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Also rename function to not confuse this with the variable stored in oo_.mom.datamoments.
2023-09-07 09:36:27 +02:00
Willi Mutschler
c0cae0ebaa
method_of_moments: cosmetical changes to mom.objective function
2023-09-07 09:36:27 +02:00
Willi Mutschler
0cd65df72a
method_of_moments: add warnings for problematic prior stderr/corr and value
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Also moved oo_.prior to oo_.mom.prior
2023-09-07 09:36:27 +02:00
Willi Mutschler
017b4f05f6
method_of_moments: cosmetical changes on estimated params initializations
2023-09-07 09:36:27 +02:00
Willi Mutschler
1ef026dc9d
method_of_moments: factorize correct bounds for stderr and corr
2023-09-07 09:36:27 +02:00
Willi Mutschler
180b92cb1e
method_of_moments: refactor penalized estimation with laplace prior
2023-09-07 09:36:27 +02:00
Willi Mutschler
c3327e000c
method_of_moments: refactor matched moments block transformations
2023-09-07 09:36:27 +02:00
Willi Mutschler
0487dd4a77
method_of_moments: refactor and function for default options & initializations
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Also changed:
- options_mom_.vector_output to options_mom_.mom.vector_output
- optimizer_vec to options_mom_.optimizer_vec
- oo_.dr.obs_var to oo_.mom.obs_var
2023-09-07 09:36:27 +02:00
Willi Mutschler
f25188cf2f
method_of_moments: improved header
2023-09-07 09:36:27 +02:00
Willi Mutschler
3c0f3c1c24
Factorize estimation: check steady-state (static, changes parameters)
2023-09-07 09:36:27 +02:00
Willi Mutschler
23f6019cdf
Factorize estimation: check prior stderr and corr parameters
2023-09-07 09:36:27 +02:00
Willi Mutschler
6941bd5516
Factorize estimation: wrapper for tune_mh_jscale
2023-09-07 09:36:27 +02:00
Willi Mutschler
c356db4531
Factorize estimation: set_mcmc_jumping_covariance
2023-09-07 09:36:27 +02:00
Willi Mutschler
aa99eff81d
Factorize estimation: set_mcmc_prior_bounds
2023-09-07 09:36:27 +02:00
Willi Mutschler
7f22414843
Factorize estimation: checks for VAROBS
2023-09-07 09:36:27 +02:00
Willi Mutschler
688d847489
Factorize estimation: check_mode_file
2023-09-07 09:36:27 +02:00
Willi Mutschler
c21f75887d
Factorize estimation: check_hessian_at_the_mode
2023-09-07 09:36:27 +02:00
Willi Mutschler
dd2c816df0
compute_mh_covariance_matrix: remove globals
2023-09-07 09:36:27 +02:00
Willi Mutschler
d8105a3237
Cosmetical changes
2023-09-07 09:36:27 +02:00
Willi Mutschler
960c075420
Replace "Estimation::mcmc::" by a variable
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This enables re-using estimation functions for other Bayesian estimation routines such as Bayesian method_of_moments and printing it nicer to the console.
2023-09-07 09:36:27 +02:00
Sébastien Villemot
6551b88fc8
Merge branch 'truncated_normal' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2161
2023-09-07 08:56:13 +02:00
Sébastien Villemot
9e2b387d0a
Merge branch 'prior_sampling' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2162
2023-09-07 08:55:18 +02:00
Johannes Pfeifer
8f79e848f0
Remove remnants of GPU code
2023-09-07 08:00:05 +02:00
Johannes Pfeifer
9afd75ca9b
th_autocovariances.m: rework routing to clarify approach
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Changes reflect model representation with 1 lag only
2023-09-06 22:14:19 +02:00
Johannes Pfeifer
7283838a0f
dynare_config.m: sort added paths
2023-09-06 22:11:35 +02:00
Johannes Pfeifer
02b4242c75
Remove MATLAB:dividebyzero identifier
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Was removed from Matlab
2023-09-06 15:09:39 +02:00
Johannes Pfeifer
5f68504919
prior sampling: suppress loop output
2023-09-06 14:14:31 +02:00
Johannes Pfeifer
d60a19ce49
Finish implementation of truncated normal distribution
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1593
2023-09-06 12:46:41 +02:00
Sébastien Villemot
16f921ed62
Add Meson build system
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Mostly working. The testsuite remains to be done.
In particular, windows/deps/mkoctfile64 is modified to print its version number
on stdout instead of stderr. This is what the standard mkoctfile does, and it
allows easier capture of the output from Meson.
2023-09-04 18:04:00 +02:00
Sébastien Villemot
b0503ce994
macOS package: fix x13as clean rule
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[skip ci]
2023-09-01 16:28:29 +02:00
Sébastien Villemot
6747f2130e
Perfect foresight: fix illegal memory read with bytecode + endval_steady
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The exogenous steady state vector was passed as a row-vector to
evaluate_steady_state, thus leading to an incorrectly-sized matrix passed to
bytecode when checking the steady state on the dynamic model (when different
from the static model).
2023-09-01 14:52:57 +02:00
Sébastien Villemot
bd9943a695
Bytecode: fix memory leak in Evaluate class
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The newly-created FBEGINBLOCK_ and FCALL_ instances were freed using a
base-class pointer. But the latter does not have a virtual destructor.
Those class instances are now stored by value in containers, so that the
destructor of the derived class is used.
2023-09-01 14:52:57 +02:00
Sébastien Villemot
9e5bd75611
Manual: update Sumudu’s affiliation
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[skip ci]
2023-09-01 14:52:57 +02:00