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5460 Commits (adb5a2359d3e98a9f6f5f7ec7e79ef5ae29d6d4e)

Author SHA1 Message Date
Stéphane Adjemian 4222269324 Merge pull request #1100 from JohannesPfeifer/initial_check_par_names 
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 
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 
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 
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... 
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 
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 
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 
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 
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 
Diffuse filter and smoother
 2015-10-14 01:09:08 +02:00
Stéphane Adjemian 01329a4e0e Merge pull request #1084 from rattoma/gsa 
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. 
- 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. 
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. 
Closes #573
 2015-10-13 13:45:54 +02:00
Johannes Pfeifer 1043a019c2 Save posterior moments even if the distribution is degenerate 
Closes #1024
 2015-10-13 11:47:35 +02:00
Marco Ratto 2d59920a70 - systematically check bounds for each parameter during optimization 
- 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 
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 
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 
- 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 
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 
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 
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 
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 
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 
closes #1071
 2015-10-11 10:49:15 +02:00
MichelJuillard 866ab33575 Merge pull request #1042 from JohannesPfeifer/discretionary 
Various fixes for discretionary_policy
 2015-10-10 22:25:46 +02:00
MichelJuillard b51b037ef2 Merge pull request #871 from JohannesPfeifer/prior_posterior_function 
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. 
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 
Bugfixes and improvements for model_comparison
 2015-10-09 17:11:15 +02:00
Michel Juillard f7f158f078 Revert "removed global objective_function_penalty_base" 
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" 
This reverts commit a6f123fd50.
 2015-10-09 14:23:32 +02:00
Michel Juillard 818fa47375 Revert "adding new functions for penalty optimization" 
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" 
This reverts commit 3966296aca.
 2015-10-09 14:23:31 +02:00
Michel Juillard f464760c45 Revert "remove global objective_function_penalty_base" 
This reverts commit cf858c7fcb.
 2015-10-09 14:23:31 +02:00
Michel Juillard 035adeb89e Revert "More fixing related to objective_function_penalty_base" 
This reverts commit 1ad8df4635.
 2015-10-09 14:23:31 +02:00
Michel Juillard 1a9aa17c9e Revert "More fixings around objective_function" 
This reverts commit 05cd51111c.
 2015-10-09 14:23:31 +02:00
Michel Juillard 9be5c31761 Revert "More fixing of the same" 
This reverts commit a54dda165f.
 2015-10-09 14:23:31 +02:00
Michel Juillard 063a548bd3 Revert "changed persitent variables into local ones in mr_hessian.m" 
This reverts commit fe077fc710.
 2015-10-09 14:23:31 +02:00
Michel Juillard bc37c838c7 Revert "more fixes for penalty objective function" 
This reverts commit 3dac7f8809.
 2015-10-09 14:23:31 +02:00
Michel Juillard a7a3bbef89 Revert "reset newratflag = 0 in dynare_minimize_objective" 
This reverts commit d4cf3576e4.
 2015-10-09 14:23:31 +02:00
Michel Juillard 7202c497de Revert "removed initialization of mr_hessian()" 
This reverts commit f48a026d89.
 2015-10-09 14:23:31 +02:00
Michel Juillard f48a026d89 removed initialization of mr_hessian() 2015-10-08 20:57:00 +02:00
Michel Juillard d4cf3576e4 reset newratflag = 0 in dynare_minimize_objective 2015-10-08 20:57:00 +02:00
Michel Juillard 3dac7f8809 more fixes for penalty objective function 2015-10-08 20:57:00 +02:00
Michel Juillard fe077fc710 changed persitent variables into local ones in mr_hessian.m 2015-10-08 20:57:00 +02:00
Michel Juillard a54dda165f More fixing of the same 2015-10-08 20:57:00 +02:00
Michel Juillard 05cd51111c More fixings around objective_function 2015-10-08 20:57:00 +02:00
Michel Juillard 1ad8df4635 More fixing related to objective_function_penalty_base 2015-10-08 20:57:00 +02:00
Michel Juillard cf858c7fcb remove global objective_function_penalty_base 2015-10-08 20:57:00 +02:00
Michel Juillard 3966296aca adapted dsge-var code for new handling of penalties 2015-10-08 20:57:00 +02:00
Michel Juillard b9e535e99e adding new functions for penalty optimization 2015-10-08 20:57:00 +02:00
Michel Juillard a6f123fd50 reducing penalty value to 0.1 when there is no ground to make it proportional 2015-10-08 20:57:00 +02:00
Michel Juillard 5ade8d7c6f removed global objective_function_penalty_base 
added penalty_objective_function.m and penalty_hessian.m
 2015-10-08 20:57:00 +02:00
Stéphane Adjemian (Charybdis) 9131472429 Do not ask for confirmation when deleting a non empty directory (Octave) 2015-10-07 18:13:44 +02:00
Stéphane Adjemian (Charybdis) c064e9ed5e Make unit test compatible with Octave. 2015-10-07 17:47:14 +02:00
Stéphane Adjemian (Charybdis) 44c198f3f4 Updated dseries module (fix for csv files). 2015-10-07 11:58:17 +02:00
MichelJuillard f4e8fc74da Merge pull request #1068 from JohannesPfeifer/trust_region 
Test for solution before breaking with error code -3 in trust_region
 2015-10-06 14:17:25 +02:00
Johannes Pfeifer 934901036b Test for solution before breaking with error code -3 in trust_region.m 
Fixes #1067
 2015-10-06 13:59:59 +02:00
Stéphane Adjemian (Charybdis) 489bffdfd8 Fixed option names for mode_compute=6. 2015-10-06 11:34:56 +02:00
Stéphane Adjemian (Charybdis) 03b92c6387 Added file to clear all functions with persistent variables. 2015-10-06 11:34:56 +02:00
Houtan Bastani 07e29125a2 Revert "Merge pull request #1064 from JohannesPfeifer/trust_region" 
This reverts commit 9cc96b93c0, reversing
changes made to 1bc965625c.
 2015-10-06 09:52:16 +02:00
Houtan Bastani 51463929d1 reporting submodule update 2015-10-02 16:22:35 +02:00
Stéphane Adjemian (Charybdis) a42a9a427f Added a routine to test if a file is older than all the files in a folder (and subfolders). 2015-09-25 23:37:45 +02:00