9bea42f411
order=2 in estimation command now triggers particle filter
2012-06-06 17:08:53 +02:00
4480f5b494
Fixes around latex output: use of longtable for parameter estimates and various fixes for posterior analysis, also for parallel execution.
2012-05-30 11:22:59 +02:00
c0ffcf7fd8
Fix problem with smoother where original data series was not plotted
2012-05-11 19:58:16 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
...
This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
e692185c6b
storing oo_.prior.mean oo_.prior.variance
...
oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
9cc4661942
Fixed bug in initial_estimation_checks + Cosmetic changes.
2012-03-30 11:12:59 +02:00
5d4d318bc7
fixing bug in estimation by maximum likelihood
2012-03-15 15:33:02 +01:00
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
cf9e8a6714
Bug fix. When the estimation command is used, do not issue an error message if options_.order>1. In this
...
case reset the options_.order equal to one (except if options_.particle.status==1).
2012-03-05 14:56:02 +01:00
59d3d30c90
Fixed typo. Do not use the non linear filter automatically when order==2, otherwise the non linear filters are used if the estimation command is used after a stoch_simul command with order==2. The non linear filter is used only if options_.particle.status is explicitely set to 1 (before the estimation command). A new estimation option is needed...
2012-03-05 14:21:52 +01:00
e1a5e0de53
Objective function needs to be passed as a string to CMAES optimization routine.
2012-03-04 22:13:00 +01:00
6a8095303e
Added particle filter flag.
2012-03-04 22:12:59 +01:00
2f3c8f910f
Fixed bug related to the dynare implementation of the simplex algorithm.
2012-03-04 22:12:58 +01:00
8aea0bf14c
Updated copyright year.
2012-03-04 22:12:58 +01:00
ce40f0ebfc
Add CMAES (Ticket #245 ) for mode optimization
2012-03-04 22:07:26 +01:00
c848b3337a
added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
...
nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
de8962b239
Revert "added calls to re-initialize persistent variable 'penalty' in dsge_likelihood() and dsge_likelihood_hh() before calling the optimizer"
...
This reverts commit 108444b703
2012-01-09 20:47:11 +01:00
108444b703
added calls to re-initialize persistent variable 'penalty' is
...
dsge_likelihood() and dsge_likelihood_hh() before calling the
optimizer
2012-01-08 17:59:33 +01:00
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
7408714ea1
added dname as argument to CheckPath function and changed all calls to
...
this function. Suppressed use of globals in CheckPath.
2011-12-15 17:35:27 +01:00
8f1326e2f8
changed name of function forecast.m -> dyn_forecast.m because of
...
name conflict with cszt
2011-12-11 11:15:38 +01:00
ef1cf5f062
Merge remote-tracking branch 'marco/master'
2011-11-17 12:33:28 +01:00
12003fbdab
Do not show plots of the smoothed variables, shocks and errors if nograph option is used. Note that with this option the plot are done behind the scene and saved in fig, eps and pdf format (see trac#216).
2011-11-14 18:30:45 +01:00
5bb2b2faad
Fixed call to mode_check
2011-11-07 09:12:54 +01:00
b5ae8356a9
fixing bug for plots of measurement errors
2011-11-02 15:49:02 +01:00
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
9ac3e7a582
fixing bug when estimating models with a steady state different from
...
zero. Introduced in commit bd00dc11d8
2011-11-01 18:23:12 +01:00
7593afff22
fixed issue with dataset_
2011-10-22 15:29:55 +02:00
bd00dc11d8
removing 8th output argument of dynare_estimation_init and
...
corresponding seemingly useless code
2011-10-21 22:09:45 +02:00
88be4fa3d4
fixing bug in prior_posterior_statistics.m and in recursive estimation
2011-10-21 22:06:09 +02:00
e7a983797c
fixed call to prior_posterior_statistics
2011-10-14 15:48:39 +02:00
ee7078e56c
factoring out steady-state computations; steady_state_model now
...
generates <fname>_steadystate2.m returning parameters as well in case
they have been modified by the user. Added several test cases.
2011-10-12 21:51:14 +02:00
e0fa737cee
Fixed bug in dynare_resolve (wrong calling sequence introduced in commit #013c599ec92f7d6e5fc3f351a58d9aa5ba401410).
...
Removed globals from DsgeVarLikelihood and changed the calling sequence. As in DsgeLikelihood, the penalty is now a
persistent variable.
Added a global structure for the data: dataset_.
Removed globals from dsgevar_posterior_density and mode_check.
Simplification of the clode, definition of the variable objective_function at the top of dynare_estimation_1 (equal
to 'DsgeLikelihood' or 'DsgeVarLikelihood').
2011-09-22 11:17:31 +02:00
c4cfd0c857
Extract input arguments of DsgeSmoother from dataset_ structure.
2011-09-20 16:03:33 +02:00
2512b527bd
Fixed bugs related to the new calling sequence for DsgeLikelihood.
2011-09-20 15:56:37 +02:00
568cc83633
Changed dynare_estimation_1 conformably with changes in DsgeLikelihood.
2011-09-19 18:10:29 +02:00
9c22fc1bde
Removed globals from DsgeLikelihood. Still broken.
...
Added texinfo header in DsgeLikelihood.
2011-09-19 16:41:53 +02:00
a6a5306ada
estimation: fixed bug in dsge_var branch of the code
2011-09-18 12:08:33 +02:00
3079b7b1f8
reinstated call to describe_missing_data: data_tree is needed for
...
univariate Kalman filter
2011-09-18 10:44:05 +02:00
e9764d0538
Use a structure for the dataset. Bug fixes.
2011-09-17 15:38:49 +02:00
322adb92a5
Removed global from prior_bounds. Added texinfo header.
2011-09-14 23:41:37 +02:00
cd1d6ae253
adding mode_compute=prior, initializing variance of proposal at variance of priors
2011-07-24 23:03:31 +02:00
bf6853339d
dr.order_var is equivalent to M_.block_structure.variable_reordered
2011-06-21 13:20:51 +02:00
3459b08c53
- Corrects the first order approximation of block-decomposed models
...
- The block-decomposed models can now be estimated
2011-06-18 17:43:45 +02:00
250c32bfb5
estimation: fixing logic for calling mode_check (thanks to J. Pfeifer)
2011-06-03 14:20:27 +02:00
ea103ecb84
Do not compute marginal density (Laplace approximation) if options_.cova_compute==1.
2011-05-13 14:56:03 +02:00
26a4a011d0
Bug fix related to cova_compute==0 (The reported posterior mode was the prior mode in this case).
2011-05-13 14:35:51 +02:00
6302abd7bd
Allow empty hessian in mode_check routine (options_.cova_compute==0)
2011-05-13 12:46:55 +02:00
bd012c458f
Fixed bug with option cova_compute.
2011-05-13 12:34:27 +02:00
Sébastien Villemot
Marco Ratto
Johannes Pfeifer
Michel Juillard
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Ferhat Mihoubi