aa4cabcbeb
Fixed bug (simulation of backward models).
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Was crashing with three inputs (last one is for innovations) when the first input was an empty array.
2018-03-12 09:45:15 +01:00
8263bbba8a
Use new mechanism for setting auxiliary time series.
2018-03-12 09:34:56 +01:00
86be2cb998
Fixed typo.
2018-03-02 10:26:48 +01:00
857a3842e3
Cosmetic change.
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Changed M_.max_*_orig into M_.orig_maximum_* for consistency with other fields.
2018-03-01 10:13:44 +01:00
b84e3054e3
Various fixes for backward models routines.
2018-03-01 09:29:48 +01:00
7be8f10e0e
Use cells of strings instead of char arrays.
2018-01-09 22:30:01 +01:00
6e527b467d
Make backward model IRF routine also return the impulses.
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- In the second output argument (a dseries object) where we store the baseline
scenario for the endogenous variables we add the baseline for the exogenous
variables).
- In the third output argument (a structure of dseries objects, one field per
shock scenario), we also store the impulses considered for generating the
IRFs.
2017-11-16 17:54:00 +01:00
dc670e0199
Fixed test on M_.Sigma_e (backward model irf routine).
2017-11-15 15:01:34 +01:00
4b4c3db3b9
Allow shocks over multiple periods in backward model routine.
2017-10-14 16:35:01 +02:00
56d3adb778
Chek if variance of the shocks in backward model IRF routines are defined when required.
2017-10-14 16:05:55 +02:00
bc76988b01
Fixed bug in bakward model IRF routine.
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Missing index.
2017-10-14 15:31:52 +02:00
1b042f01e0
Added new interface for specifying shocks in backward models IRFs.
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By passing dseries objects to backward_model_irf routine.
(cherry picked from commit 366acf5bac
2017-10-12 12:18:18 +02:00
904ce4b4c9
Fixed backward model IRFs and added an interface for baseline scenario.
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Note that there is an additional argument (2nd position) for the shocks
baseline scenario.
2017-10-10 09:29:26 +02:00
6dde1b1ee7
Allow calibrated innovations with simul_backward_model routine.
2017-09-29 10:29:40 +02:00
e001d448b8
Return an error if Newton fails when simulating a backward model.
2017-09-29 10:29:04 +02:00
510eccd965
Fixed routines for backward model simulation (with IRFs and forecasts).
2017-09-28 10:12:53 +02:00
c468488575
Fixed dimension of exo_simul (always add one row).
2017-08-31 14:55:49 +02:00
0efff7c185
Fixed timing bugs in simulation of backward models with lags on exogenous variables.
2017-08-31 11:41:18 +02:00
9c8f2a90e3
Fixed timming of the innovations when computing confidence bands.
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Innovations were hitting the model one period too late.
2017-08-11 11:47:34 +02:00
311c794081
Fixed typo.
2017-08-10 14:56:22 +02:00
e5bbcf41b6
Efficiency change.
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find(strcmp(,)) is faster than strmatch(,,'exact') and returns the same array
of integers.
2017-08-10 13:26:47 +02:00
637b0b0212
Fixed bug (missing 'exact' when calling strmatch).
2017-08-10 13:15:06 +02:00
44cadbd51b
Fixed errors introduced by recent changes in simul_backward_model.
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(cherry picked from commit f7399f4d74
2017-07-31 16:31:43 +02:00
550a7ad3b1
Rewrote backward model inversion routine.
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(cherry picked from commit be6b1628d1
2017-07-29 14:16:42 +02:00
8e6fd310c3
Fixed backward model simulation routines.
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(cherry picked from commit 45a14d768d
2017-07-29 14:16:05 +02:00
1cd20acd7d
Code factorization.
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(cherry picked from commit 77b1d14083
2017-07-29 14:12:50 +02:00
df1793a499
Fixed issue with the size of x (exogenous variables).
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(cherry picked from commit ccfd809dd0
2017-07-29 13:47:13 +02:00
ce5316a1ec
Fixed typo.
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(cherry picked from commit b866bd828c
2017-07-29 13:46:29 +02:00
90a239f84b
Fixed bug.
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Exogenous variables in exo_histval are along rows, while they are along columns
in exo_simul.
2017-06-19 17:32:58 +02:00
e7bb0acae8
Fixed typo.
2017-06-17 08:42:38 +02:00
a1f86b97e2
Allow lags on exogenous variables for backward models forecasts and IRFs.
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TODO: Check if this is working with linear models.
(cherry picked from commit 44b9531bb7
2017-06-14 00:08:14 +02:00
4004d8d442
Allow for lags in exogenous variables.
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(cherry picked from commit b8e2eec878
2017-06-14 00:05:50 +02:00
b398a65eb9
Added routine for computing unconditional forecasts of a backward looking model.
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(cherry picked from commit d93b6b2f15
2017-06-14 00:05:32 +02:00
cfd82e28e4
Added routine computing IRFs of backward looking model.
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(cherry picked from commit 647505526a
2017-06-14 00:05:16 +02:00
5570bf1588
Moved backward models related routines in specific subfolder.
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(cherry picked from commit 214b534b25
2017-06-14 00:01:48 +02:00
Stéphane Adjemian(Charybdis)