Stéphane Adjemian (Charybdis)
85a4a082ad
Added a routine for computing the hyperparameters of the Beta distribution from the expectation and the variance (with unit tests).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
24848a2ba4
Added a routine for computing the hyperparameters of the Gamma density from the expectation and the variance (with unit tests).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
02d53b5d1d
Use statistics toolbox if available for the Weibull inverse CDF.
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
a1aa2bcd6e
Changed second input of prior_bounds routine.
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Do not pass options_ structure but only the required field (prior_trunc).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
a859861e19
Fixed Bug.
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Forgot to rename calls to the routine generating Weibull deviates.
2015-12-04 18:42:26 +01:00
Stéphane Adjemian (Charybdis)
5ef86416bf
Merge branch 'cmr-prior'
2015-12-04 15:06:28 +01:00
Stéphane Adjemian (Charybdis)
5fb1b1cc23
Added Weibull prior.
2015-12-04 14:50:44 +01:00
Houtan Bastani
954e57c421
reporting: submodule update
2015-12-02 12:39:51 +01:00
Houtan Bastani
b7e7d73177
reporting: submodule update
2015-12-01 14:34:26 +01:00
Michel Juillard
9c42ebaa56
fix bug introduced in commit 105100c7fe
2015-11-30 21:31:25 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Michel Juillard
105100c7fe
remove global in dyn_forecast() and change input and output arguments
2015-11-28 17:38:00 +01:00
Michel Juillard
eb3d0cd20e
fix problem with nobs
2015-11-28 17:38:00 +01:00
Johannes Pfeifer
09e03e7a6f
Move closing of file in mode_check.m out of the loop
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Code will otherwise crash with more than one figure to plot.
2015-11-28 14:07:36 +01:00
Johannes Pfeifer
2f010aa5de
Set Filter order for BK-filter in disp_moments.m to more reasonable value
2015-11-28 14:06:56 +01:00
Johannes Pfeifer
0eba93dd71
Add missing input argument in newrat.m to prevent crashes
2015-11-28 14:06:10 +01:00
ferhat
231cf19438
Fix a typo in basic_plan.m
2015-11-27 12:11:42 +01:00
Stéphane Adjemian (Charybdis)
83a6963286
Rewrote get_file_extension.
2015-11-26 20:53:13 +01:00
Houtan Bastani
73313dc5b7
Merge pull request #1107 from FerhatMihoubi/Branch_bytecode_display_and_exogenous_in_extended_path
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Branch bytecode display and exogenous in extended path
2015-11-19 17:09:09 +01:00
ferhat
e555c8181d
Corrections in the way to handle the exogenous
2015-11-19 17:04:56 +01:00
Stéphane Adjemian (Charybdis)
215de7e8dc
Closes #1057 .
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Use a static file with a list of routines to cleared before each run (because they have
persistent variables).This static file (the script
matlab/list_of_functions_to_be_cleared.m) is distributed with Dynare and
needs to be updated for each release (or each time we add/remove
persistent variables). To update the file just do:
>> clear_persistent_variables(DYNARE_MATLAB_PATH, true)
and add/commit the generated file.
2015-11-12 14:38:16 +01:00
Stéphane Adjemian (Charybdis)
dd2cf673d2
Updated the dates submodule.
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The setdiff method can return a second output argument (vector of indices). If A and B are two dates objects, and if setdiff is called with two output argument:
[C, IA] = setdiff(A, B)
then we have:
C = A(IA)
2015-11-11 22:51:25 +01:00
Houtan Bastani
edd275bfcc
Merge pull request #1103 from FerhatMihoubi/Branch_fix_bug_det_cond_forecast
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Fix bugs in det_cond_forecast.m
2015-11-11 18:37:55 +01:00
ferhat
6d7218f9dc
Fix bugs in det_cond_forecast.m
2015-11-11 18:35:41 +01:00
Houtan Bastani
6ee212331f
submodule update: reporting
2015-11-11 15:11:31 +01:00
Michel Juillard
f3ee32690e
fixed bug introduced in commit 660fc6
2015-11-10 09:27:36 +01:00
Michel Juillard
53e9307fe2
modified too big message in evaluate_planner_objective
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Mention the issue in the doc
2015-11-09 09:15:44 +01:00
Michel Juillard
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
Michel Juillard
660fc64471
adding check for model size before computing value of planner objective.
2015-11-09 09:03:55 +01:00
Stéphane Adjemian
4222269324
Merge pull request #1100 from JohannesPfeifer/initial_check_par_names
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Fix display of parameter names changed during estimation
2015-11-04 14:40:43 +01:00
Stéphane Adjemian
cbfe1e77ce
Merge pull request #1098 from JohannesPfeifer/particle_filter_missing_check
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Filter out datasets with missing values before particle filtering
2015-11-04 14:39:56 +01:00
Johannes Pfeifer
1def4f357a
Fix display of parameter names changed during estimation
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Relied on the wrong ordering
2015-10-28 15:34:14 +01:00
Johannes Pfeifer
1f18a2468b
Deblank field names to prevent crashes during computation of posterior moments
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Necessary after switching to indirect indexing of structure fields
2015-10-23 08:53:23 +02:00
Stéphane Adjemian (Charybdis)
4d573e600d
Cosmetic change.
2015-10-22 16:10:34 +02:00
Stéphane Adjemian (Charybdis)
aabbed0542
Fixed syntax for declaring subfields in oo_ (conditional_variance_decomposition_mc_analysis).
2015-10-22 16:10:34 +02:00
Stéphane Adjemian (Charybdis)
fe0f19dc37
Fixed bug. Wrong size of the state vector...
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When dsge_likelihood enters (because of of a detected singularity) in
univariate_kalman_filter routine with correlated measurement errors.
2015-10-22 16:10:34 +02:00
Houtan Bastani
af0193fe41
submodule update: reporting
2015-10-21 17:50:26 +02:00
Houtan Bastani
ab893696eb
submodule update: dseries
2015-10-21 17:49:48 +02:00
Houtan Bastani
fbe57c0d08
submodule update: reporting
2015-10-21 12:02:49 +02:00
Johannes Pfeifer
554f3df659
Filter out datasets with missing values before particle filtering
2015-10-20 15:49:07 +02:00
Houtan Bastani
713fc3eae8
submodule update: reporting
2015-10-19 15:14:35 +02:00
Stéphane Adjemian (Charybdis)
f8efe5dec0
Updated dseries submodule.
2015-10-19 14:28:20 +02:00
Houtan Bastani
0b04804a73
submodule update: dseries
2015-10-19 11:10:10 +02:00
Stéphane Adjemian (Charybdis)
b01867c47e
Bug fix. Closes issue #1094 .
2015-10-17 17:44:25 +02:00
Stéphane Adjemian (Hermes)
dc20cac3e2
Updated dseries submodule.
2015-10-17 17:43:32 +02:00
Stéphane Adjemian
36992933d2
Merge pull request #1062 from FerhatMihoubi/cond_forecast_and_bytecode
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Allows to compute the extended path and the conditional forecasts wit…
2015-10-16 17:12:54 +02:00
Houtan Bastani
529ccd3773
submodule update: reporting
2015-10-16 15:38:20 +02:00
Houtan Bastani
f5043e11b0
update reporting path
2015-10-16 15:37:39 +02:00
Houtan Bastani
1d3b1ae6c3
submodule update: reporting
2015-10-15 12:33:23 +02:00
Stéphane Adjemian
c477d25fe2
Merge pull request #1086 from JohannesPfeifer/constant_moments
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Save posterior moments even if the distribution is degenerate
2015-10-14 22:15:09 +02:00
Stéphane Adjemian
f12a468bb3
Merge pull request #1085 from rattoma/optimizer_number_5
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enhancements to optimizer 5
2015-10-14 17:33:27 +02:00
Houtan Bastani
f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
Stéphane Adjemian
b4bd896b89
Merge pull request #1087 from JohannesPfeifer/resid_fix
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Remove automatic error from resid.m when steady state does not solve.
2015-10-14 01:12:34 +02:00
Stéphane Adjemian
61abe6dfc7
Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
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Diffuse filter and smoother
2015-10-14 01:09:08 +02:00
Stéphane Adjemian
01329a4e0e
Merge pull request #1084 from rattoma/gsa
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Gsa and identification commits
2015-10-13 23:59:54 +02:00
Stéphane Adjemian (Charybdis)
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
Johannes Pfeifer
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
Houtan Bastani
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Marco Ratto
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
Marco Ratto
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
Marco Ratto
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
Houtan Bastani
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
Johannes Pfeifer
cb3804ab51
Remove automatic error from resid.m when steady state does not solve.
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Closes #573
2015-10-13 13:45:54 +02:00
Johannes Pfeifer
1043a019c2
Save posterior moments even if the distribution is degenerate
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Closes #1024
2015-10-13 11:47:35 +02:00
Marco Ratto
2d59920a70
- systematically check bounds for each parameter during optimization
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- make htol adaptive to each parameter to speed up computations
2015-10-13 11:07:01 +02:00
Marco Ratto
61d6e49dfd
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
2015-10-13 10:45:35 +02:00
Marco Ratto
bc8f546cbb
Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
2015-10-13 10:44:13 +02:00
Stéphane Adjemian
d3eca9338b
Merge pull request #1038 from JohannesPfeifer/kernel_density
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Allow computing posterior kernel density
2015-10-12 23:23:07 +02:00
Johannes Pfeifer
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00
Johannes Pfeifer
38d293b864
Replace globals in disp_th_moments.m by function arguments
2015-10-12 20:42:03 +02:00
Johannes Pfeifer
f7ae5e4f60
Adjust table titles to accommodate new filter options
2015-10-12 20:42:02 +02:00
Johannes Pfeifer
281e87f807
Add simulated variance decomposition
2015-10-12 20:42:01 +02:00
Johannes Pfeifer
a524681e40
Replace globals in disp_moments.m by function arguments
2015-10-12 20:42:00 +02:00
Johannes Pfeifer
9459ff5d8f
Add bandpass filtering to simulated moments
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Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +02:00
Johannes Pfeifer
a4b04ca9b4
Fix UnivariateSpectralDensity.m for filtered variables
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- Adds bandpass filter
- Writes results to oo_
2015-10-12 20:41:59 +02:00
Johannes Pfeifer
25df325899
Add bandpass filter to th_autocovariances.m
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Also adds documentation
2015-10-12 20:41:58 +02:00
Johannes Pfeifer
e9f2be0c1a
Cosmetic changes to UnivariateSpectralDensity.m
2015-10-12 20:41:57 +02:00
MichelJuillard
6d23db41d0
Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
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Check whether steady state file returns column vector
2015-10-12 16:33:29 +02:00
Johannes Pfeifer
8ef96c46ca
Check whether steady state file returns column vector
2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis)
203455d2a1
Updates particles submodule (mainly bug fixes).
2015-10-12 15:51:16 +02:00
Johannes Pfeifer
7ebbc41d8a
Get rid of eval statements by using indirect indexing of structures
2015-10-12 15:36:42 +02:00
Johannes Pfeifer
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
Johannes Pfeifer
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
MichelJuillard
aa894f8613
Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
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Condition check for stochastic singularity on maximum of non-missing …
2015-10-12 09:12:31 +02:00
MichelJuillard
c2565e803f
Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
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Filter out failure of k_order_pert in likelihood computation
2015-10-11 20:45:51 +02:00
Johannes Pfeifer
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
Johannes Pfeifer
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
Johannes Pfeifer
df47be4076
Properly set bounds and H0 for CMAES
2015-10-11 18:21:25 +02:00
Johannes Pfeifer
d513d38f73
Filter out failure of k_order_pert in likelihood computation
2015-10-11 17:55:27 +02:00
Johannes Pfeifer
33aa22a80f
Condition check for stochastic singularity on maximum of non-missing observations
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closes #1071
2015-10-11 10:49:15 +02:00
MichelJuillard
866ab33575
Merge pull request #1042 from JohannesPfeifer/discretionary
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Various fixes for discretionary_policy
2015-10-10 22:25:46 +02:00
MichelJuillard
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
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Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
Michel Juillard
6502c311a0
replaced global timer by local timer
2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis)
18a5eea7e0
Fixed bug in clear_persistent_variables routine.
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The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
2015-10-10 00:21:18 +02:00
Stéphane Adjemian
3490e400bc
Merge pull request #1015 from JohannesPfeifer/model_comparison
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Bugfixes and improvements for model_comparison
2015-10-09 17:11:15 +02:00
Michel Juillard
f7f158f078
Revert "removed global objective_function_penalty_base"
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This reverts commit 5ade8d7c6f
.
2015-10-09 14:23:32 +02:00
Michel Juillard
784b8d893c
Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
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This reverts commit a6f123fd50
.
2015-10-09 14:23:32 +02:00
Michel Juillard
818fa47375
Revert "adding new functions for penalty optimization"
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This reverts commit b9e535e99e
.
2015-10-09 14:23:31 +02:00
Michel Juillard
295eed6118
Revert "adapted dsge-var code for new handling of penalties"
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This reverts commit 3966296aca
.
2015-10-09 14:23:31 +02:00
Michel Juillard
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
.
2015-10-09 14:23:31 +02:00