a6150bae82
get_companion_matrix: simplify check (no need for allocation)
2018-09-12 18:29:14 +02:00
a32e2f165a
get_companion_matrix: remove unnecessary conditional
2018-09-12 18:29:07 +02:00
e9d7f6ca24
Merge branch 'master' into ecb-master
2018-09-12 18:28:47 +02:00
3d2bc65df6
preprocessor: submodule update
2018-09-12 18:27:37 +02:00
9367981b58
preprocessor: submodule update
2018-09-12 18:02:25 +02:00
6815624a6a
Fixed bug.
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Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
62db2e59f5
preprocessor: submodule update
2018-09-12 12:07:51 +02:00
52b6618bae
Fixed paths.
2018-09-12 07:48:49 +02:00
2ba50d3b3b
preprocessor: submodule update
2018-09-11 12:08:18 +02:00
7b834bef29
Update URLs for the move to GitLab
2018-09-10 11:55:04 +02:00
61c2d600ac
Changed remote of preprocessor submodule.
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(cherry picked from commit 1f82fd8c72
2018-09-10 11:14:35 +02:00
1f82fd8c72
Changed remote of preprocessor submodule.
2018-09-10 11:13:04 +02:00
803acb3027
Changed remote for reporting submodule.
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(cherry picked from commit bcdca088d3
2018-09-10 10:41:28 +02:00
bcdca088d3
Changed remote for reporting submodule.
2018-09-10 10:23:21 +02:00
7438498acd
Changed remote for dseries submodule.
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Also changed branch to master.
2018-09-10 10:07:28 +02:00
740f5d3481
Changed remote for dates submodule.
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Also changed branch to master.
2018-09-10 09:49:14 +02:00
d3c618e8a1
Upgrade to Octave 4.4.1 for Windows installer
2018-09-07 18:44:40 +02:00
51416bf2ae
Always use "isoctave" for testing Octave context
2018-09-07 17:22:08 +02:00
f7ee76904d
Changed remote for m-unit-tests submodule.
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(cherry picked from commit 2a60e57dfc
2018-09-07 15:49:07 +02:00
2a60e57dfc
Changed remote for m-unit-tests submodule.
2018-09-07 15:45:15 +02:00
09945cae8f
Added integration tests for PAC model.
2018-09-06 23:42:30 +02:00
8d84d0b38b
Add 'tests/pac/' from commit '72dda0e3ebdb46b741e484f2e2f2155d02c59815'
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git-subtree-dir: tests/pac
git-subtree-mainline: 0f3678ec4a72dda0e3eb
2018-09-06 23:35:53 +02:00
72dda0e3eb
Added README file.
2018-09-06 23:13:14 +02:00
df0c15d418
Add LICENSE
2018-09-06 21:02:16 +00:00
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
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PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00
ea768b9ff9
Added new tests.
2018-09-06 18:03:19 +02:00
1a071915fa
Updated tests/examples with new ordering of error correction term.
2018-09-06 18:02:45 +02:00
74ef4d2131
Cosmetic change.
2018-09-06 13:40:43 +02:00
5d8a1feda4
Fixed regular expression.
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Data matrices were not correcty lagged for lags>1. This commit fixes the
inconsistencies (in terms of residuals) between Iterative OLS and NLS routines.
2018-09-06 13:40:27 +02:00
940c970ff3
Use same range in NLS and Iterative OLS.
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The range option is the range of data considered for the right hand side variable.
2018-09-04 09:40:47 +02:00
6e1d06bddc
Display SSR in Iterative OLS.
2018-09-03 18:01:59 +02:00
8b1b1273c3
Fixed correction for growth neutrality.
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Also added the possibility to use an endogenous variable for growth.
2018-09-03 17:57:10 +02:00
fde103d5f4
Removed debugging display.
2018-09-03 17:55:55 +02:00
a207550680
Fixed error correction term.
2018-09-03 17:53:01 +02:00
044f0f8de6
Added missing output required by some integration tests.
2018-09-03 17:38:09 +02:00
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
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... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
9414731bba
Activate twelveth test with trend_component auxiliary model.
2018-09-03 17:33:24 +02:00
0080055469
Activate integratiion test on VAR_MODEL and TREND_COMPONENT_MODEL.
2018-08-30 12:07:58 +02:00
8276acb55f
Added integration tests for TREND_COMPONENT model.
2018-08-30 12:02:48 +02:00
2a991516bf
Added new example with time varying growth in PAC.
2018-08-29 18:04:10 +02:00
7bcc5b9f42
Added integration tests for VAR_MODEL.
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Check the AR matrices.
2018-08-29 17:43:35 +02:00
e1b2b80d64
Small efficiency change.
2018-08-29 17:42:49 +02:00
d23d1a470b
Added the possibility to estimate PAC_EQUATION with iterative ols and non constant growth.
2018-08-29 17:42:04 +02:00
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
48c1370071
Added new test.
2018-08-29 10:06:11 +02:00
a5e8b6383b
Updated preprocessor.
2018-08-28 19:28:28 +02:00
00498d19c8
Fixed ec matrix (rules out lag>1).
2018-08-28 19:25:05 +02:00
36388ce28a
Fixed bug in PAC_EXPECTATION.
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The selection of the target variable in the error correction term was still
wrong if the target variable was not an auxiliary variable.
2018-08-28 19:23:35 +02:00
27f2f198e4
Fixed error correction term in PAC.
2018-08-28 19:20:34 +02:00
eff4fee483
Added new test.
2018-08-28 17:26:24 +02:00
Houtan Bastani
Stéphane Adjemian(Charybdis)
Sébastien Villemot
Stéphane Adjemian