f60bb42588
v4 parser: corrected bug for normcdf in DynareBison.yy
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begin implementation of homotopy (not finished)
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1461 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-26 16:31:48 +00:00
d884d8a397
New features:
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- Implementation of the simulation of the block decomposed model using sparse matrix using MATLAB code:
New option in model : sparse
Example:
Model(SPARSE);
….
End;
- Implementation of the simulation of the block decomposed model using sparse matrix for static model.
- Krylov methods are implemented to solve the linear model J.y=b, with J the Jacobian matrix at each step of the Newton Method. Two Krylov's solvers are considered :
+ Generalized Minimum Residual Method (GMRES)
+ BiConjugate Gradients Stabilized (BICGSTAB)
To call them the SIMULATE command has to be completed with a new option : METHOD which could have three different values :
+ LU : (default value) Sparse LU resolution
+ GMRES
+ BICGSTAB
Example:
simul(periods=100, method=lu);
or simul(method=Gmres);
- Correction of various bugs in “simulate.dll”.
- Correction of simk.m
- Correction allowing a list of VALUES or PERIODS not necessarily separated by a comma.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1447 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-20 23:24:01 +00:00
7f2ea748b3
v4: updated dynare_m.exe
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1446 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-19 10:43:11 +00:00
1795e5d6f6
Moved AkronBC.cc
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1445 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-16 12:59:55 +00:00
d9db719b7b
Added mex file to compute A*kron(B,B) or A*kron(B,C).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1443 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-15 14:58:56 +00:00
8204b9abd6
v4 global_initialization.m: added default for options_.dsample = 0
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1442 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-15 13:00:35 +00:00
c14493361b
Added estimation of bvar-dsge models with constant.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1441 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-14 17:42:18 +00:00
a82c653ab2
v4 matlab: removed empty () for compatibility with older version of Matlab
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1439 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-09 10:22:08 +00:00
3ca2614711
Bug correction and headers.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1438 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-08 17:23:53 +00:00
2f904524dc
v4: added gensylv75 for compatibility with Matlab 2007b
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1436 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-31 14:53:38 +00:00
7152bfb6e5
call gensylv75() for Matlab release 2007b
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1435 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-31 14:52:11 +00:00
2e41644573
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1434 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-19 20:28:48 +00:00
14e1a06d06
Bug correction (Second order solution for big models).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1432 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-17 14:55:17 +00:00
f5f4ecea26
Bug correction (Second order solution for big models)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1431 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-17 13:58:59 +00:00
020035a81b
Add posterior variance decomposition.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1426 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-12 17:02:04 +00:00
130a947a7e
Bug correction.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1423 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-10 16:11:55 +00:00
3d4ae90e22
Code factorization.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1422 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-10 13:20:09 +00:00
aa9b217788
Set options_.replic equal to one if the model is linear or if a first order approximation is used. The default value was (for second order *and* first order approximations) 50, and this bug was dramatically slowing down the stochastic simulations (when we simulate time series with thousands of periods).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1416 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-04 15:36:00 +00:00
396a3306cc
update of dynare_m.exe
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1415 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-04 12:49:43 +00:00
221e230e21
update of dynare_m.exe
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1414 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-04 12:47:12 +00:00
0480677d66
Bug correction.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1408 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-03 15:44:06 +00:00
d9f56bfde9
Add the possibility to estimate a BVAR-DSGE with a dsge prior weight equal to infinity (the user just have to calibrate dsge_prior_weight to Inf).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1407 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-03 14:40:43 +00:00
e62027a296
v4 initial_estimation_checks: added a check for *_steadystate.m accuracy
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1403 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-01 11:53:28 +00:00
7a87a7b200
v4: corrected bug in handling of trend_coeff
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1402 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-10-01 09:39:32 +00:00
23277f1f87
v4 steady_: corrected bug when checking values returned by *_steadystate.m
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Triggers an error when *_steadystate.m returns wrong values
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1401 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-29 08:20:06 +00:00
b619eef664
v4 rand_matrix_normal.m: inverted order of last two arguments for more consistency with matrix-normal notation
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1400 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-28 13:43:21 +00:00
f3375020fc
v4: bug in handling of options_.trend_coeffs
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1399 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-27 15:35:40 +00:00
4a0aeb12de
Factorization of rand_inverse_wishart(...) and rand_matrix_normal(...) + Some small changes to (marginally) speed up the thing (loop --> matrix calculus in rand_inverse_wishart(...), ... ).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1398 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-25 16:25:25 +00:00
0c3d36eb11
Bug correction
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1397 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-25 13:10:50 +00:00
3bc0201f59
v4 bvar_toolbox.m: fixed bug and documentation
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1395 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-25 11:48:20 +00:00
07965db080
Estimation of the posterior theoretical 2nd order moments. Results are saved in oo_. This function can be called directly from the *.mod file by the user (no input argument needed).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1393 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 22:54:23 +00:00
7b7339cad4
Other cosmetic changes...
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1392 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 16:50:36 +00:00
a53e4db7ab
Correction of a bug in the estimation of smoothed variables (occasionaly systematic error in the level).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1391 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 16:22:16 +00:00
6ea51663a6
Enable estimation of bvar models without constant, prefiltering and log transformation of the dataset.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1390 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 16:15:49 +00:00
01f5e9aa1f
Just some cosmetic changes!
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1389 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 12:34:30 +00:00
1224cec429
Explosive VARs (the companion matrix has eigenvalues outside the unit circle) are discarded from the posterior distribution (by default).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1388 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 12:17:56 +00:00
c96ce67a80
test of commit
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added blank line at line 3
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1382 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-08-30 13:33:54 +00:00
a1c0424585
Correction of a bug related to the penalty on dsge_prior_weight.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1378 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-26 08:50:38 +00:00
9549b0dd42
Correction of a bug related to info.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1377 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-26 08:21:54 +00:00
ac15bfa388
Added a penalty in DsgeVarLikelihood if SIGMAu (the covariance matrix of the BVAR) is not positive definite. New function to test if a matrix is pd.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1376 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-25 13:25:38 +00:00
185ebc09bd
v4 bvar_toolbox.m: fixed bug in Sims' code related to omega (prior option)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1373 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-17 14:00:22 +00:00
b241abc87e
v4 bvar_*: minor changes in comments
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1372 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-17 13:43:44 +00:00
daef6d60b6
Correction of a bug related to BVAR-DSGE. After the estimation of the DSGE posterior mode, dynare was computing the hessian matrix associated to the BVAR-DSGE...
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1369 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-13 14:55:21 +00:00
01e7407d76
Correction of a bug with mh_recover.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1344 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-06 14:50:09 +00:00
6d6174d6ae
Added a penalty when the bvar-dsge prior is not proper (too small values of dsge_prior_weight).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1343 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-06 14:43:00 +00:00
269329cac2
Corrections for bvar-dsge estimation and irfs.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1341 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-06 08:43:25 +00:00
2074327cd9
v4 bvar_forecast.m: no more use 'lower' option of chol(), to ensure compatibility with older Matlab versions
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1340 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:49:26 +00:00
52ee61764a
v4 bvar_forecast.m: fixed bug in RMSE computation
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1339 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:37:57 +00:00
254a2df272
Correction of a bug in bvar-dsge estimation.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1338 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:32:28 +00:00
d75d2a459b
v4 stoch_simul.m: added storage of IRFs in oo_.irfs
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1337 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 04:34:24 +00:00
michel
ferhat
adjemian
sebastien
gary