f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
fd5ce1366e
preprocessor: change prior_posterior_function into two arguments. closes #1076
2015-10-14 11:02:35 +02:00
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
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
01329a4e0e
Merge pull request #1084 from rattoma/gsa
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Gsa and identification commits
2015-10-13 23:59:54 +02:00
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
a13c852feb
Removed calls to autocorr routine in integration test.
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This routine is part of the matlab's statistical toolbox which is not
required by Dynare (and not available on karaba). Use
sample_autocovariance routine instead.
2015-10-13 23:50:38 +02:00
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
8c44936846
prior_posterior_function: modify test to accord with preprocessor changes #1076
2015-10-13 17:41:45 +02:00
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
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
f0e94d6475
fix typo
2015-10-13 17:21:32 +02:00
b4aa21f018
preprocessor: interface for prior_posterior_function command. closes #1076
2015-10-13 17:16:10 +02:00
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
9e28e796d5
preprocessor: simplify code
2015-10-13 15:13:40 +02:00
447b01b0b0
fix typo
2015-10-13 15:13:40 +02:00
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
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
1043a019c2
Save posterior moments even if the distribution is degenerate
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Closes #1024
2015-10-13 11:47:35 +02:00
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
61d6e49dfd
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
2015-10-13 10:45:35 +02:00
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
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
8be2841582
fixing Makefile.am error
2015-10-12 22:39:03 +02:00
2c63ca8843
Add unit tests for HP filter, bandpass filter, and spectral density
2015-10-12 21:18:51 +02:00
40de494568
Document new filter option
2015-10-12 20:42:04 +02:00
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00
38d293b864
Replace globals in disp_th_moments.m by function arguments
2015-10-12 20:42:03 +02:00
f7ae5e4f60
Adjust table titles to accommodate new filter options
2015-10-12 20:42:02 +02:00
3902c86407
Add unit test for variance decomposition
2015-10-12 20:42:02 +02:00
281e87f807
Add simulated variance decomposition
2015-10-12 20:42:01 +02:00
a524681e40
Replace globals in disp_moments.m by function arguments
2015-10-12 20:42:00 +02:00
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
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
25df325899
Add bandpass filter to th_autocovariances.m
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Also adds documentation
2015-10-12 20:41:58 +02:00
e9f2be0c1a
Cosmetic changes to UnivariateSpectralDensity.m
2015-10-12 20:41:57 +02:00
8bfec92d4d
adding missing @end deffn
2015-10-12 16:57:55 +02:00
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
8ef96c46ca
Check whether steady state file returns column vector
2015-10-12 16:17:56 +02:00
203455d2a1
Updates particles submodule (mainly bug fixes).
2015-10-12 15:51:16 +02:00
a4dc9a2423
Adddd missing closing parenthesis.
2015-10-12 15:43:08 +02:00
7ebbc41d8a
Get rid of eval statements by using indirect indexing of structures
2015-10-12 15:36:42 +02:00
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
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
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
7df7fe6fd8
Merge pull request #1080 from JohannesPfeifer/CMAES_settings
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Improve cmaes settings
2015-10-11 20:44:10 +02:00
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
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
Houtan Bastani
Stéphane Adjemian
Johannes Pfeifer
Marco Ratto
Michel Juillard