Stéphane Adjemian (Charybdis)
6328a44f33
Streamlined extended paths routines.
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* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
Michel Juillard
d86daa0169
fixing bug in recent commit 919c2f8fb4
2012-01-23 16:24:47 +01:00
Stéphane Adjemian (Charybdis)
119a8eee3b
Added plot (Lagrange multiplier).
2012-01-23 14:47:01 +01:00
Stéphane Adjemian (Charybdis)
0f1dd850ed
Added one variable (LM) and one equation to ensure that the Lagrange multiplier is positive.
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It appeared that the Lagrange multiplier simulated by EP is positive,
but the series simulated by SEP are most of the time negative.
2012-01-23 14:46:25 +01:00
Stéphane Adjemian (Charybdis)
5e87dfcd0f
Prevent homotopy routine to enter in the second loop (doi not (re)start the homotopy from weight=0).
2012-01-23 13:59:25 +01:00
Stéphane Adjemian (Charybdis)
9abb2e9ff8
Adapted homotopy routine to SEP.
2012-01-23 13:57:30 +01:00
Stéphane Adjemian (Charybdis)
02d6987685
Fixed bug in EP algorithm.
2012-01-23 13:56:46 +01:00
Michel Juillard
919c2f8fb4
correcting bug with presample and diffuse filter + simplified logic
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for computation of likelihood with presample
2012-01-22 22:40:46 +01:00
Michel Juillard
636cd1bae6
calling always multivariate Kalman filter first, even if univariate
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diffuse Kalman filter was used before
2012-01-22 18:59:19 +01:00
Michel Juillard
cfb5114d41
corecting logic for selecting univariate diffuse filter and dealing
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with correlated measurement errors
2012-01-22 18:37:29 +01:00
Michel Juillard
f0d1f033b0
correcting bug in univariate diffuse filter with presample
2012-01-22 18:36:31 +01:00
Michel Juillard
1f055cd539
adding two tests to the list of daily tests
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(./optimal_policy/nk_ramsey.mod ./ep/linear.mod)
2012-01-22 16:13:14 +01:00
Michel Juillard
1433bb6485
the overall time of execution is now saved in the log file
2012-01-22 16:09:42 +01:00
Michel Juillard
380fd37092
fixing bug in ramsey policy when using initval instead of steady_state_model
2012-01-22 00:25:30 +01:00
Michel Juillard
62b1ed7923
correcting bug in extended path and added a test
2012-01-21 17:50:11 +01:00
Stéphane Adjemian (Charybdis)
692708859e
Fixed bug.
2012-01-21 14:40:27 +01:00
Stéphane Adjemian (Charybdis)
f63ce01859
Put debug and memory modes in options_.ep.
2012-01-21 14:13:31 +01:00
Stéphane Adjemian (Charybdis)
651c5e7fba
Fixed bug (wrong index variable).
2012-01-21 14:12:05 +01:00
Stéphane Adjemian (Charybdis)
0d8371c299
Added an option to track the expectation in the (S)EP approach.
2012-01-20 18:43:34 +01:00
Sébastien Villemot
b5c71ed1c8
Add kalman_algo option to identification and dynare_sensitivity
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Only in preprocessor and ref. manual for the moment
2012-01-20 12:11:14 -05:00
Sébastien Villemot
bcc091a58d
Preprocessor: compute temp. terms for 2nd deriv of residuals and jacobian wrt
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params and 1st deriv of hessian wrt to params
2012-01-20 12:07:36 -05:00
Stéphane Adjemian (Charybdis)
adb8ef3c8a
Added routine for computing weights and nodes of the Gauss Legendre quadrature.
2012-01-20 16:40:17 +01:00
Stéphane Adjemian (Charybdis)
58f4feb6ad
Cosmetic change + Added scramble mode (possibility to add noise in the future).
2012-01-20 16:40:17 +01:00
Houtan Bastani
58a03937ec
bug_fix: add missing ifstream close statement
2012-01-18 14:43:04 +01:00
Houtan Bastani
c977b666b3
warning output stream should be cerr
2012-01-18 14:42:57 +01:00
Marco Ratto
a64362f43d
* bug fix when posterior filter or forecast are not triggered. (thanks to Daniel from the Dynare Forum)
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Manual cherry pick from 4.2 commit:fdb364e44e79473978f9ff27bba8caa36665052c
2012-01-12 17:48:29 +01:00
Marco Ratto
e6b9912bb4
Added utilities for dynare figure creation and saving.
2012-01-12 17:46:40 +01:00
Stéphane Adjemian (Charybdis)
1ba89be300
Undo last commit#3dc015592c9da527f7d2ad218bc53422ac7edc83.
2012-01-11 17:10:24 +01:00
Stéphane Adjemian (Charybdis)
3dc015592c
Cosmetic change. Removed useless input argument to dyn_waitbar.
2012-01-11 16:08:24 +01:00
Stéphane Adjemian (Charybdis)
f074679f14
Code factorization. Use dyn_waitbar in extended_path routine.
2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis)
83bfaa814e
Added sequential importance particle filter routine.
2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis)
195ad9f71d
Added Routines for resampling (particle filter).
2012-01-11 16:01:24 +01:00
Michel Juillard
111347469f
adding comment explaining initialization of persistent variable
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penalty in dsge_likelihood.m and dsge_likelihood_hh.m Removed misleading
initialization code. Added call to dsge_likelihood_hh in
initial_estimation_checks to initialize persistent variable in that
function as well.
2012-01-09 21:23:17 +01:00
Michel Juillard
de8962b239
Revert "added calls to re-initialize persistent variable 'penalty' in dsge_likelihood() and dsge_likelihood_hh() before calling the optimizer"
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This reverts commit 108444b703
.
The initialization works indeed differently and I will document it in next commit.
2012-01-09 20:47:11 +01:00
Sébastien Villemot
f13615c922
Put all GSA files under Copyright Dynare Team and GPL-3, and GSA manual under
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Copyright Dynare Team and GFDL-1.3, with the consent of Marco Ratto
Closes : #173
2012-01-09 13:12:31 +01:00
Sébastien Villemot
a66594caed
Add MEXEXT define to build system, adapt relevant DLL and Windows packaging
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Closes : #235
2012-01-09 12:39:09 +01:00
Sébastien Villemot
4a4c88de20
Update license file for 2012
2012-01-09 12:23:28 +01:00
Sébastien Villemot
1259d4a603
Fix crash on older MATLAB introduced in previous commit
2012-01-09 12:15:43 +01:00
Houtan Bastani
dcaed91f66
fix to license call (checkout only works for Matlab version >= 2011a)
2012-01-09 11:57:47 +01:00
Michel Juillard
f9d2dec97f
preparing dsge_loglikelihood.m for future integration of estimation DLL
2012-01-08 21:55:02 +01:00
Michel Juillard
3ec6b6ff78
removing options_ and oo_ from dr1.m output arguments
2012-01-08 18:51:51 +01:00
Michel Juillard
27ef4a84a1
removing options_ and oo_ from dr1.m output arguments
2012-01-08 18:46:17 +01:00
Michel Juillard
108444b703
added calls to re-initialize persistent variable 'penalty' is
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dsge_likelihood() and dsge_likelihood_hh() before calling the
optimizer
2012-01-08 17:59:33 +01:00
Michel Juillard
d12e1b7801
replaced BayesInfo.penalty by penalty as it is now a persistent variable
2012-01-08 17:58:22 +01:00
Michel Juillard
412d7d29a2
changed calling sequence for dr1() in resol.m
2012-01-08 14:35:36 +01:00
Michel Juillard
eb0f26239d
header correction
2012-01-08 14:18:51 +01:00
Michel Juillard
938d95cb11
removed M_ from list of dr1.m outputs. M_ was only modified in dr1.m
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by the old code for Ramsey policy.
2012-01-08 14:17:54 +01:00
Houtan Bastani
63018c63e7
preprocessor: replace if checks with asserts
2012-01-04 14:42:06 +01:00
Houtan Bastani
81dd94f717
aesthetic fix: remove commented code
2012-01-04 14:42:06 +01:00
Houtan Bastani
f80ad954ce
bug_fix: missing exit statement
2012-01-04 14:42:06 +01:00