Normann Rion
9db1265892
Asssesing welfare in perfect-foresight frameworks
...
Ref. #1680
2021-02-25 15:12:28 +01:00
Sébastien Villemot
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
...
Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
Normann Rion
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
Normann Rion
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
Sébastien Villemot
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !1831
2021-02-16 16:58:59 +01:00
Johannes Pfeifer
788e05b2fd
smoother2histval: add test case for correctness
2021-02-16 11:25:46 +01:00
Sébastien Villemot
7cbb86bb64
Testsuite: rename estimation/univariate/ols/ols.mod
...
Under Octave, the +ols folder conflicts with the builtin ols() function.
2021-02-09 16:58:07 +01:00
Sébastien Villemot
e4af502360
Testsuite / pac: Octave compatibility fix
...
Use a different random seed under Octave for several tests.
Note that these tests seems fragile. Changing the seed under MATLAB often leads
to a failure.
2021-02-04 16:01:35 +01:00
Sébastien Villemot
f094dc71f9
Testsuite / pac/trend-component-19-growth-comb: fix accuracy check
...
The test was using the comparison operator (>) on a dseries. This would give a
bogus (false) result under MATLAB, and would crash under Octave.
2021-02-04 16:01:30 +01:00
Sébastien Villemot
9b555ec974
Testsuite / BGP tests: compatibility fix tests with MATLAB < R2016a
2021-02-02 15:02:50 +01:00
Sébastien Villemot
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +01:00
Johannes Pfeifer
7c8f486727
Allow setting initial state for Kalman filter
...
Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
Sébastien Villemot
6ac1af7035
Merge branch 'filtered_variables' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:53:30 +01:00
Sébastien Villemot
af67b4f7c9
Testsuite: Octave 6 compatibility fix
...
In Octave ≤ 5, it was impossible to take a function handle for a function in a
package (“+” folder). This bug has been fixed in Octave 6, so we can use the
same codepath as MATLAB in that case. See
https://savannah.gnu.org/bugs/index.php?46659
2021-01-28 16:36:43 +01:00
Sébastien Villemot
25d19fef96
Testsuite: increase numerical tolerance for minimal_state_space_system/sw_minimal.mod
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This is necessary for MATLAB R2014a on some runners.
2021-01-27 18:24:26 +01:00
Sébastien Villemot
6e6bc3f6c9
Testsuite: rename test files for Octave compatibility
...
Rename histval_initval_file/ramst_data.mod to ramst_data_generate.mod.
Otherwise, there is a conflict between the +ramst_data folder and the generated
ramst_data.m.
Similarily, rename shock_decomposition/shock_decomposition_backward.mod to
shock_decomposition/shock_decomp_backward.mod (otherwise it conflicts with
matlab/shock_decomposition_backward.m).
2021-01-27 18:24:22 +01:00
Johannes Pfeifer
c596b8890e
Trend_diagnostics_MCMC_common.inc: do not store smoother results on disk
2021-01-27 17:42:15 +01:00
Johannes Pfeifer
8ad8bf05b3
gsa/ls2003a.mod: reduce run-time
2021-01-26 10:39:38 +01:00
Johannes Pfeifer
e9ea837b28
Reduce run-time of tune_mh_jscale/fs2000.mod
2021-01-26 10:10:29 +01:00
Johannes Pfeifer
c507eefc23
testsuite: check values of analytic derivation likelihood to prevent regression
2021-01-24 17:41:50 +01:00
Johannes Pfeifer
ec69174173
Improvements to particle tests
2021-01-22 21:19:07 +01:00
Sébastien Villemot
c9a6637ca5
Testsuite: compatibility fix for MATLAB R2014a
...
Double quotes strings are not supported under older MATLAB versions.
2021-01-19 16:14:25 +01:00
Sébastien Villemot
783598bdeb
Testsuite / methods of moments: compatbility fix for MATLAB R2014a
...
MATLAB R2014a does not like some of the variable names that are passed to
table(). Disable that call, as under Octave.
2021-01-19 16:10:40 +01:00
Sébastien Villemot
68af1c80fe
Testsuite: cosmetic changes to TeX and debug options
...
– Whenever possible, pass the “tex” option to Dynare commands instead of
fiddling with options_.TeX;
— For the remaining explicit options_.TeX and also for options_.debug,
use a boolean value instead of an integer.
2021-01-19 15:50:14 +01:00
Sébastien Villemot
654da6ecb8
Merge branch 'octave_fixes' into 'master'
...
Don't do bgp/solow-1 in Octave
See merge request Dynare/dynare!1780
2021-01-18 11:28:36 +00:00
Stéphane Adjemian (Charybdis)
78a4bca383
Use nonlinear filter.
2021-01-16 17:43:30 +01:00
Stéphane Adjemian (Charybdis)
0f3dd003b7
Run mod files in tests/particle.
2021-01-16 17:42:17 +01:00
Johannes Pfeifer
ad17b8ec33
Particle filtering: provide more informative error messages in typical problematic cases
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Also adds test cases
2021-01-15 22:11:20 +01:00
Sébastien Villemot
91b0ba64c6
Testsuite: rename all test files that have the name “example.mod”
...
That filename conflicts with Octave’s builtin example() function.
2021-01-15 17:19:41 +01:00
Sébastien Villemot
23cb1879e9
Testsuite: fix PAC test filename
2021-01-15 17:19:41 +01:00
Willi Mutschler
0a880825a1
MoM: Testsuite fixes for Octave
2021-01-14 10:04:10 +01:00
Willi Mutschler
a697002a4e
MoM: Gradient-based optimizers can use analytical Jacobian for GMM
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New option analytic_jacobian for mode_compute 1, 3, and 13
2021-01-14 10:03:39 +01:00
Stéphane Adjemian (Odysseus)
b87690a9f1
Revert "Add tests for matrix notation"
...
This reverts commit 8d4a80956c
.
2021-01-12 16:47:56 +01:00
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +01:00
Willi Mutschler
dabe0ada33
MoM: Add test for optimizers
...
Note that mode_compute=11 and 12 need some fixing
2021-01-07 14:14:13 +01:00
Willi Mutschler
2b554e0511
MoM: cosmetical changes to description of options in testsuite
2021-01-07 13:39:45 +01:00
Willi Mutschler
ba8d5d364d
MoM: Update copyright years
2021-01-07 10:32:35 +01:00
Willi Mutschler
562a9c737f
MoM: Improve testsuite
...
- add Andreasen, Fernandez-Villaverde, Rubio-Ramirez (2017) test models
- move models to dedicated folders
- add `make m/method_of_moments` and `make o/method_of_moments` commands to run testsuite only for method of moments
2021-01-06 14:19:17 +01:00
Johannes Pfeifer
9c52aec23d
Adjust output of loglinear option to make clear when a logged variable is used
...
- use of function for getting labels will allow to accommodate https://git.dynare.org/Dynare/dynare/-/issues/349
- incidentally fixes a bug in the display of the simulated variance decomposition for observables with measurement error
2020-12-23 13:53:44 +01:00
Sébastien Villemot
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
Sébastien Villemot
3d912401d5
Testsuite: Octave compatibility fixes in histval_initval_file_unit_tests.m
2020-12-22 12:27:19 +01:00
Johannes Pfeifer
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
Willi Mutschler
eae5e2f029
MoM: Add analytical standard errors for GMM
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Reset analytic_derivation_mode for steadystate file parameter changes
MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
2020-12-18 16:16:10 +01:00
Johannes Pfeifer
4cf9f7d1a7
stoch_simul.m: reports second moments based on pruned state space at order=2 when pruning is specified
...
Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
2020-12-17 09:45:28 +01:00
Stéphane Adjemian (Charybdis)
e066556d7a
Added integration test for d8ddd9ef6
.
2020-12-07 22:25:54 +01:00
Sébastien Villemot
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
Sébastien Villemot
fdf5bfbb58
Testsuite: cosmetic fix
2020-12-07 15:10:06 +01:00
Sébastien Villemot
4cc946842b
Add further Octave 6 test for intersect(…, 'stable')
...
Forgotten in c160d2407
.
[skip ci]
2020-12-04 18:41:53 +01:00
Sébastien Villemot
8ba1a15262
Remove outdated Occbin files
2020-12-03 10:50:58 +01:00
Sébastien Villemot
c160d24074
Octave 6 implements intersect(…, 'stable')
...
[skip ci]
2020-11-30 18:26:50 +01:00
Willi Mutschler
fcef3ca09f
✅ Don't do bgp/solow in Octave
...
[skip ci]
The levenberg-marquardt algorithm is not available in octave's implementation of fsolve, so we check the verbatim block only in matlab
2020-11-26 17:12:57 +01:00
Sébastien Villemot
f27852d1ec
Add test for mshocks block
2020-11-26 15:48:57 +01:00
Willi Mutschler
3c1087a369
Fix for sylvester3a for purely forward-looking models
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In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
2020-11-21 09:46:10 +01:00
Johannes Pfeifer
904296738d
bgp-tests: Octave compatibility fixes
2020-11-19 13:42:35 +01:00
Sébastien Villemot
fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models
...
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
Johannes Pfeifer
d38a4428cc
Move macro_processor/example1_macro.mod to subfolder
2020-11-02 16:00:03 +01:00
Johannes Pfeifer
b4f3eb4a1c
Add unit test for ifndef
...
See https://git.dynare.org/Dynare/dynare/-/issues/1747
2020-11-02 16:00:03 +01:00
Sébastien Villemot
cf68570813
Testsuite: workaround for glibc bug #19329
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This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
(cherry picked from commit f46dfba961
)
2020-10-23 15:32:07 +02:00
Sébastien Villemot
299769c51b
Testsuite/MATLAB: output stderr to log file
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(cherry picked from commit 2a472a0a6b
)
2020-10-23 15:32:06 +02:00
Sébastien Villemot
f46dfba961
Testsuite: workaround for glibc bug #19329
...
This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
2020-10-23 12:35:35 +02:00
Sébastien Villemot
2a472a0a6b
Testsuite/MATLAB: output stderr to log file
2020-10-22 18:25:42 +02:00
Sébastien Villemot
6f415dff61
Testsuite: add missing line continuation symbol in the list of .mod files
...
This was causing some tests to be skipped.
The bug had been introduced e7162a2a69
.
2020-10-21 16:36:18 +02:00
Sébastien Villemot
e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases
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Closes : #1720
2020-10-21 16:30:40 +02:00
Sébastien Villemot
33d8bc55f3
Redisable tests/pac/trend-component-31/example.mod, it is not yet ready (some fixes are needed in the M code)
2020-10-16 18:11:01 +02:00
Sébastien Villemot
8e3127d69e
Preprocessor rebase
...
– PAC model: fixes to M_.pac.MODEL.ar (information about autoregressive part)
+ Fix order of items in this structure. Previously, items were ordered
according to the declaration order of parameters. Now, items are order
according to lag order (first lag appears first)
+ Gracefully handle the case where there is no autoregressive part
(Ref. Dynare/preprocessor#52 )
– Block decomposition:
+ bugfix for solve one boundary blocks with mfs>0
+ fix evaluation of recursive variables in solved blocks
(Ref. Dynare/dynare#1726 )
— Fix various potential bugs with model local variable
— Ensure that negative constants are never marked as temporary terms
By the way, activate tests/pac/trend-component-31/example.mod, since it should
now work.
2020-10-16 16:53:26 +02:00
Sébastien Villemot
7270f722e4
Activate test for two PAC equations in the same file
2020-10-16 16:30:38 +02:00
Sébastien Villemot
71e3e0d49e
Fix extended_path with bytecode
...
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
Sébastien Villemot
43311a230f
Testsuite: histval_initval_file_unit_tests.m is not a TLS file
2020-10-14 17:16:35 +02:00
Sébastien Villemot
8acdb9f7cc
Testsuite: MATLAB R2014a compatibility fixes
2020-10-08 17:26:17 +02:00
Sébastien Villemot
e7162a2a69
Block decomposition: new tests for mfs>0
...
Ref. #1726
2020-10-07 19:01:09 +02:00
Stéphane Adjemian (Charybdis)
80bfbc0736
Merge non linear shock decomposition for backward models.
...
Closes #2 .
2020-09-29 18:17:25 +02:00
Sébastien Villemot
8d4a80956c
Add tests for matrix notation
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Closes : Enterprise/dynare#1
2020-09-29 16:52:20 +02:00
Sébastien Villemot
66361eb28d
Add test for shock decomposition of backward models
...
Ref: Enterprise/dynare#2
2020-09-28 18:26:29 +02:00
Stéphane Adjemian (Charybdis)
e690c5de5a
Merge Enterprise/block_trust_region into enterprise.
2020-09-24 16:05:55 +02:00
Stéphane Adjemian (Charybdis)
17e6421ea3
Merged master into enterprise.
...
Fixed conflict in
- doc/manual/source/running-dynare.rst
2020-09-23 15:28:19 +02:00
Stéphane Adjemian (Charybdis)
a40f30cada
Closes #1761 (Fixes for histval_initval_file)
2020-09-23 12:19:18 +02:00
Sébastien Villemot
d61f4166ad
Testsuite: add a test for a purely forward variable in block+bytecode mode
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Closes : #1727
2020-09-22 16:46:58 +02:00
Michel Juillard
c2e43c0093
fix histval_initval_file unit tests
2020-09-20 11:11:26 +02:00
Michel Juillard
9e94252d1a
fix target values for periods
2020-09-19 12:18:24 +02:00
Michel Juillard
91b4cfd3a8
fixes handling of periods in histval_file/initval_file
2020-09-19 12:14:43 +02:00
Sébastien Villemot
865ab47fa9
Provide block_trust_region MEX under solve_algo 13 and 14
...
- block trust region solver now available under solve_algo=13
It is essentially the same as solve_algo=4, except that Jacobian by finite
difference is not handled. A test file is added for that case
- block trust region solver with shortcut for equations that can be evaluated
is now available under solve_algo=14 (in replacement of the pure-MATLAB solver)
Closes : Enterprise/dynare#3
2020-09-18 18:01:56 +02:00
Sébastien Villemot
fcc3a3cec2
Testsuite: fix repeated typo in equation name
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[skip ci]
2020-09-18 17:40:44 +02:00
Stéphane Adjemian (Odysseus)
248ad18846
Merge remote-tracking branch 'Dynare/master' into enterprise
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Fixed conflicts in:
- .gitlab-ci.yml
- matlab/dynare_config.m
- matlab/dynare_solve.m
- matlab/initvalf.m
- matlab/perfect-foresight-models/make_ex_.m
- matlab/perfect-foresight-models/perfect_foresight_setup.m
- mex/build/matlab/Makefile.am
- mex/build/matlab/configure.ac
- mex/build/octave/Makefile.am
- mex/build/octave/configure.ac
- mex/sources/Makefile.am
- preprocessor
- tests/Makefile.am
2020-09-17 14:53:32 +02:00
Johannes Pfeifer
96be513ecf
Remove matched_moments_ as input argument as it is now a field of M_
2020-08-05 15:58:58 +02:00
Stéphane Adjemian (Odysseus)
579fb9e685
Fixed bug introduced in edede274f2
.
2020-07-24 22:30:51 +02:00
Stéphane Adjemian (Charybdis)
edede274f2
Make the detection of the target in PAC equation more robust.
...
In a PAC equation, the error correction term must be written as:
β×(yₜ₋₁-xₜ₋₁)
where x is the endogenous variable determined by the equation and y
the target for x. The ordering matters, if not respected the
preprocessor wll not identify the error correction term (hence the
target) and will throw an error. The target must be an endogenous
variable or the log of an endogenous variable. For a more general
target, ie an expression, one can create an auxiliary variable.
We impose the ordering, target comes first in the error correction
term, so that the stability condition is always β>0 (this constraint
can be enforced when estimating the PAC equation).
2020-07-24 17:36:31 +02:00
Stéphane Adjemian (Charybdis)
7f50b02910
Added test where the PAC equation doesn't have lags on the endogenous variable.
...
This example is currently failing.
2020-07-22 12:25:05 +02:00
Stéphane Adjemian (Charybdis)
897e2fc63b
Added test with two PAC equations in the same mod file.
2020-07-22 12:21:23 +02:00
Johannes Pfeifer
9fa24aa7be
RBC_MoM: filter out additional pathological cases with try-catch
2020-07-17 20:35:53 +02:00
Johannes Pfeifer
791e5e9d97
RBC_MoM-test: filter out pathological cases
...
[skip CI]
2020-07-17 15:16:05 +02:00
Sébastien Villemot
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
Willi Mutschler
19b7d202d2
testsuite: Add test cases
2020-07-16 14:54:04 +02:00
Sébastien Villemot
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
Sébastien Villemot
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
Johannes Pfeifer
540f0454d2
Code Review of GMM routines
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- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
Willi Mutschler
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
Johannes Pfeifer
8a00ee3dff
AnSchorfheide_pruned_state_space.mod: remove test part that only showcases that in Andreasen's code there is an error
2020-07-15 15:37:49 +02:00
Johannes Pfeifer
f717712ed6
Fix trace plots with measurement errors and their correlations
...
Problem was introduced when transitioning to cell arrays
2020-07-15 14:34:04 +02:00
Sébastien Villemot
51278b2f90
Testsuite / External functions: also test coefficients of 2nd order policy function
2020-07-10 18:25:23 +02:00
Sébastien Villemot
acdca03e43
Testsuite / External functions: add file missing in previous commit
2020-07-09 18:42:17 +02:00