Johannes Pfeifer
a9292c5086
Add warning if prior allows for negative variances and if negative estimated variances are encountered. Closes #522
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Due to the use of variances for Sigma_e and subsequently backing out the standard deviation from these variances, the sign of the standard deviation does not matter and no bound needs to be imposed.
2014-02-04 18:59:28 +01:00
Sébastien Villemot
a5be9dd845
Add trust-region nonlinear solver.
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Closes #260
2014-02-04 17:56:27 +01:00
Sébastien Villemot
3fe5a728c6
Remove bad_cond_flag argument from solve1.
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This flag was not grounded on any solid theoretical foundation.
This commit actually makes solve_algo=2 to be exactly the same than solve_algo=4.
2014-02-04 17:56:27 +01:00
Sébastien Villemot
0bcc628ba3
Add missing semicolon.
2014-02-04 17:56:27 +01:00
Houtan Bastani
150e265cd2
reporting: check passed values
2014-02-04 17:03:25 +01:00
Sébastien Villemot
3348481104
Add new options consider_all_endogenous and consider_only_observed.
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Closes #336
2014-02-04 14:49:06 +01:00
Sébastien Villemot
0df2ba7d12
Fix typo.
2014-02-04 14:38:11 +01:00
Sébastien Villemot
5862099416
Merge pull request #607 from JohannesPfeifer/unique_varlist
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Unique varlist and choosing endogenous variables for estimation
2014-02-04 05:14:05 -08:00
Houtan Bastani
4dd462e2bb
fix bug introduced in 4caa36232b
2014-02-03 15:53:16 +01:00
Sébastien Villemot
5308da2cad
Upgrade the minimum requirement to MATLAB 7.5 (R2007b).
2014-02-03 15:52:54 +01:00
Sébastien Villemot
6d1ee23437
Fix test for availability of xlswrite.
2014-02-03 15:52:54 +01:00
Houtan Bastani
4caa36232b
reporting: fix assertion
2014-02-03 15:49:29 +01:00
Stéphane Adjemian (Scylla)
21e9b22d7c
Merge branch 'get-prior-info-fixes'
2014-02-03 14:25:53 +01:00
Johannes Pfeifer
6962bc8171
Convert use of unique to be compatible with older Matlab version
2014-02-03 13:19:11 +01:00
Johannes Pfeifer
85815ca651
Adds new option to select which variables to consider for estimation
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First step for ticket #336
2014-02-03 13:10:31 +01:00
Stéphane Adjemian (Scylla)
2ee11fa860
Changed the handling of optimization options in dynare_estimation_1.m. Removed calls to strsplit. Closes #605 .
2014-02-03 12:25:29 +01:00
Stéphane Adjemian (Scylla)
4b4de4102a
Added new routine that converts a string of Key-Value pairs in a cell.
2014-02-03 12:25:29 +01:00
Johannes Pfeifer
c6cd5b40d9
Consider only unique members of varlist in estimation
2014-02-03 10:03:17 +01:00
Johannes Pfeifer
e0ed06e608
Consider only unique variables in stoch_simul
2014-02-03 09:54:27 +01:00
Michel Juillard
c1e0d68351
removed useless test with exist() that is very expensive in
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Octave (but apparently not in Matlab)
2014-02-01 16:26:18 +01:00
Stéphane Adjemian (Scylla)
63c289adba
If us and ts are dseries objects, chain(ts,us) and ts.chain(us) return the same dseries object.
2014-02-01 11:38:10 +01:00
Stéphane Adjemian (Scylla)
90b47d2704
Added chain method in dseries class.
2014-02-01 11:38:10 +01:00
Sébastien Villemot
9d36a326f1
Merge pull request #603 from rattoma/master
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HP-filtered moments: Fix bug when unit root models provide NaN's or Inf's in g_omega
2014-01-31 09:09:29 -08:00
Stéphane Adjemian (Scylla)
7864e0ec82
Rewrote the error message issued when the prefilter option in used while the steady state of the observed variables is non zero (introduced in commit d82252e805
).
2014-01-30 17:57:36 +01:00
Stéphane Adjemian (Scylla)
f1e4ca2f48
Test if the data are positive before applying the log.
2014-01-30 17:44:47 +01:00
Stéphane Adjemian (Scylla)
8829baa3aa
Merge branch 'johannes-documentation'
2014-01-30 15:33:28 +01:00
Stéphane Adjemian (Scylla)
00cfec8fb6
Issue an error message if loglinear option is equal to 1 in non linear likelihood routine.
2014-01-30 14:39:06 +01:00
Stéphane Adjemian (Scylla)
2e1ad9c51b
Merge branch 'loglinear'
2014-01-30 13:06:43 +01:00
Stéphane Adjemian (Scylla)
62aa9b8fa5
Check if the steady state is strictly positive when simulating/estimating a model with loglinear option.
2014-01-30 13:03:03 +01:00
Stéphane Adjemian (Scylla)
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
Stéphane Adjemian (Scylla)
8309ed5c96
Added a routine to test if we are currently estimating a model.
2014-01-30 12:48:48 +01:00
Marco Ratto
b33da9a40d
Fix bug when unit root models provide NaN's or Inf's in g_omega
2014-01-30 10:38:46 +01:00
Johannes Pfeifer
d82252e805
Filter out inconsistent specification of prefiltering when observation equation is not mean zero
2014-01-30 10:07:41 +01:00
Johannes Pfeifer
8ef4e45eaf
More explicit commenting of stoch_simul.m related to loglinear option
2014-01-30 09:09:25 +01:00
Johannes Pfeifer
4bd7f4952a
Make sure that estimation works after loglinear option in stoch_simul with initval-block
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stoch_simul logs the steady state. Here, it is transformed back
2014-01-30 08:53:58 +01:00
Johannes Pfeifer
15f0353d02
Make sure repeated runs of stoch_simul.m with loglinear option do not crash due to logged steady state
2014-01-29 19:52:20 +01:00
Johannes Pfeifer
3da8e92aa5
Fix option loglinear for stoch_simul.m by also logging steady state.
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Must be done to assure correct simulations and output of moments. Cannot be done in the solver itself as estimation performs logging of steady state also outside of solver
2014-01-29 19:39:00 +01:00
Johannes Pfeifer
dfd9e3819b
Filter out use of loglinear with simulated moments
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Does not work because steady state is not logged
2014-01-29 19:20:52 +01:00
Stéphane Adjemian (Scylla)
fa6e97a929
Fixed copyright year.
2014-01-29 17:22:44 +01:00
Stéphane Adjemian (Scylla)
b93eab8bf2
Added overloaded cumprod function (dseries class).
2014-01-29 17:22:10 +01:00
Stéphane Adjemian (Scylla)
4254da0a00
Fixed bug. Closes #590 .
2014-01-29 13:51:34 +01:00
Stéphane Adjemian (Scylla)
5f46f983c1
Fixed bug. Closes #591 .
2014-01-29 12:57:55 +01:00
Stéphane Adjemian (Scylla)
b9c4f7d8d1
Deactivate the rescaling of the perturbation in numgrad3_ and numgrad5_ routines.
2014-01-29 12:36:34 +01:00
Johannes Pfeifer
9d4adbcf72
Merge branch 'master' of https://github.com/DynareTeam/dynare
2014-01-28 18:46:27 +01:00
Johannes Pfeifer
16b7a9ed98
Change get_prior_info.m to reflect user-specified bounds. Also corrects LaTeX-code
2014-01-28 18:45:40 +01:00
Johannes Pfeifer
c2345fd23b
Change minus_logged_prior_density.m to reflect new treatment of estimated and calibrated covariances
2014-01-28 18:42:47 +01:00
Johannes Pfeifer
d5446e734a
Add comments to make clear distinction between generalized distribution and user-imposed bound
2014-01-28 18:41:07 +01:00
Johannes Pfeifer
0ec62c6360
Fix Latex Bug in display_estimation_results_table.m
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Missing line break resulted in compilation errors
2014-01-28 18:39:51 +01:00
Sébastien Villemot
66c1aa78f0
Move add_auxiliary_variables_to_steadystate to partial_information directory.
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This function is obsolete, but the PI solver still uses it, so make that
relationship explicit.
2014-01-28 17:48:08 +01:00
Johannes Pfeifer
9e99eed6da
Fix sample on which Geweke convergence diagnostics is computed
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Was only correct for mh_drop of 0.5
2014-01-27 10:34:13 +01:00