0fdc18e7fb
Merge branch 'ifc'
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Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
a72cc3ff48
Merge remote-tracking branch 'github/master'
2013-11-05 17:17:53 +01:00
ead332ed97
Merge pull request #511 from JohannesPfeifer/Correlated_errors_preprocessor
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Bugfixes for correlated shocks
2013-11-05 07:49:37 -08:00
8a6e23845b
Merge remote-tracking branch 'jpfeifer/mode_compute'
2013-11-05 16:20:04 +01:00
fddee8e1db
Bugfixes for correlated shocks
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Uses preprocessing capabilities introduced in 07137e804bFixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
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Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00
1a8bba6393
Allow a custom function named 'prior' as a value for 'mode_compute' option
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Closes #507
2013-11-04 15:42:59 +01:00
b81159f12c
adding comments
2013-11-03 11:40:36 +01:00
8282e76d61
Add more explicit information in case of singularity problem
2013-10-31 08:14:35 +01:00
1f884db8ea
If TolX is set to any negative number, let cmaes choose the value of TolX.
2013-10-08 16:18:54 +02:00
6a250f894d
Removed interface for H0 (cmaes).
2013-10-08 16:18:00 +02:00
0f12404246
Added interface for some options of cmaes.
2013-10-08 15:53:55 +02:00
334d9976d6
Add interface to the main options of the simpsa optimization algorithm.
2013-10-08 15:18:14 +02:00
60e1d1b75e
Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm.
2013-10-08 12:55:11 +02:00
c7d82e0bf0
Do not print H0.
2013-10-08 11:02:46 +02:00
51be957fb6
Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate).
2013-10-04 16:12:14 +02:00
36e3fb496c
Do not crash if an unknown optimization option is declared (replaced an error by a warning).
2013-10-04 12:17:30 +02:00
05946cd684
Changed names of some options for csminwel (mode_compute=4).
2013-10-04 11:59:35 +02:00
b2db159cdd
Added the possibility to pass options for csminwell (mode_compute=4) through the optim option (in the estimation command).
2013-10-03 12:35:06 +02:00
49989504ea
Cosmetic changes.
2013-10-03 11:06:07 +02:00
62cad6ff44
Cosmetic changes.
2013-10-03 11:01:11 +02:00
979a55a334
Added missing semicolon.
2013-10-02 18:26:57 +02:00
581f97bada
Linked simpsa's tolerance options to dynare's defaults.
2013-10-02 17:09:05 +02:00
fb0ccdd5d2
Provide more sensible lower and upper bounds for simpsa algorithm.
2013-10-02 16:45:16 +02:00
3f16129e49
mode_compute = 10 calls simpsa algorithm.
2013-10-02 15:30:55 +02:00
ad73d1fd93
Fixes bug in display of parameters at prior bound
2013-09-30 17:10:39 +02:00
241fd07424
Add Geweke 1992 convergence diagnostics
2013-09-16 18:47:15 +02:00
e123670675
Fix bug introduced in 952139b
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The 'hh' variable is now always defined, so we now test if it is empty.
2013-09-13 18:23:24 +02:00
952139bbc9
Changes related to the treatment of the (optionally) provided mode file.
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(1) Added more checks on the content of the provided mode file compared the the list of declared parameters (the condition on the number of parameters is not strong enough).
(2) Added a mechanism to adapt the content of the mode file if possible. For instance, if the estimated parameters are a subset of the parameters in the mode file, we only need to discard some of the parameters in the mode file.
(3) Added output argument in dynare_estimation_init, which returns the hessian matrix (hh) with the estimated mode.
2013-09-10 22:25:16 +02:00
afed204526
Cosmetic. Renamed hh (figure handle not to be confused hessian matrix) as fh.
2013-09-10 22:25:16 +02:00
c2e6feeb75
Deletion of unused definition of H_is_diagonal
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Cosmetic fix
2013-09-04 11:11:29 +02:00
e1a0fd0524
Bugfix for conditional variance decomposition
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sigma_e_is_diagonal was erroneously set to 0 if the covariance matrix was diagonal, but contained a 0 on the main diagonal.
2013-09-04 11:11:14 +02:00
01c3724371
Deal with pathological case where nobs=1
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In this case the plots crash due to an invalid xlim. Also adds markers if only one point is plotted
2013-08-15 16:35:01 +02:00
b4f8532bea
Merge pull request #441 from JohannesPfeifer/mode_check
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Bugfix for mode_check and display of parameters out of bounds
2013-08-12 03:31:50 -07:00
184c403375
Replaced disp(' ') by skipline().
2013-07-10 16:16:32 +02:00
964b7580d8
Cosmetic change.
2013-07-10 16:15:28 +02:00
dfc51d097a
Cosmetic change. Replaced warning(...) by disp(...).
2013-07-10 16:09:31 +02:00
2fae989131
Rewrote the portion of code requesting a user input when non linear filters are used with a gradient based optimization routine.
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Closes issues #442 and #443 .
2013-07-10 16:03:49 +02:00
aeda8d17ff
Add warning if gradient-based optimizer is used with particle-filtering and offer user choice to change mode-finder
2013-07-10 12:08:59 +02:00
41f6c2ff66
Display source of non-positive definite Hessian if parameters at prior bound
2013-07-06 00:26:23 +02:00
d9579418fd
Bugfix for correct display of names of parameters outside of bounds
2013-07-06 00:20:07 +02:00
08feada8b0
Fixed bug.
2013-06-24 10:24:55 +02:00
340bcc2739
Added an option for setting the number of points where the posterior kernel is evaluated when using mode_check. Reorganized the options_ global structure wrt mode_check.
2013-06-20 17:19:44 +02:00
1bbfd90498
Added online auxiliary filter as options_.mode_compute=10.
2013-06-18 16:18:55 +02:00
c08c34223d
Fixed typo and bug in MCMC diagnostics.
2013-06-13 17:14:04 +02:00
e8ed4c1f67
Bunch of cosmetic changes
2013-06-13 14:24:17 +02:00
fc83427185
Merge pull request #393 from JohannesPfeifer/display_tables
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Add function for displaying estimation results
2013-05-14 03:18:19 -07:00
d9fb19e479
Make error message if mode violated prior more explicit
2013-05-12 13:27:55 +02:00
7aea75f348
Add function for displaying estimation results
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The commit moves the creation of results tables, both the ones displayed
and printed to LaTeX, from dynare_estimation_1.m to a separate function.
This factorization later allows to use this function to display results
from other estimation routines. At the same time, it removes the display
of t-statistics for posterior estimates ( #339 )
2013-05-10 18:58:08 +02:00
Houtan Bastani
Johannes Pfeifer
Sébastien Villemot
Stéphane Adjemian
Michel Juillard
Sébastien Villemot
Frédéric Karamé
Johannes Pfeifer