8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
4fa5df0c24
simult.m: remove oo_ as input and output
2023-09-25 12:08:47 +02:00
22c0f2279f
non_linear_dsge_likelihood.m: rename variables
2023-09-25 12:08:45 +02:00
01f29784d7
bug: initialize undefined variable in OccBin smoother
2023-09-25 12:08:44 +02:00
b5880e0e56
bug: minus_logged_prior_density.m: fix reading out of error codes
2023-09-25 12:08:43 +02:00
5231fc04c1
Remove global variables from prior_posterior_statistics.m and PosteriorIRF.m
2023-09-25 12:08:41 +02:00
782a2e8d69
dynare_estimation_1.m: move display and storing of classical smoother to separate function
2023-09-25 12:08:40 +02:00
Stéphane Adjemian (Ryûk)
6417520c09
Allow cherrypicking and aggregation with PAC/MCE.
2023-09-23 17:43:19 +02:00
Stéphane Adjemian (Ryûk)
8d7a5e69d7
Return Computing and preprocessing time.
2023-09-22 22:29:42 +02:00
9a1f150e38
Merge branch 'default_mode_compute' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2160
2023-09-22 14:35:45 +02:00
c424366440
CI: bump to MATLAB R2023b
2023-09-22 10:52:57 +02:00
7eb1959f66
Provisions for MATLAB R2023b
2023-09-22 10:49:27 +02:00
552e6575cc
Use newrat as default mode-finder
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Tends to perform better than csminwel
2023-09-20 12:55:29 +02:00
6f5e346bf6
Merge branch 'preparations_irf_matching' of git.dynare.org:wmutschl/dynare
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Ref. !2181
2023-09-20 10:17:14 +02:00
14a71a6d98
Merge branch 'additional_optimizer_steps' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2178
2023-09-20 10:15:38 +02:00
44f307ce45
Merge branch 'dynare-complex_resid'
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Ref. !2155
2023-09-20 10:09:07 +02:00
87ce652088
Account for complex value during resid and steady
2023-09-20 10:08:53 +02:00
f6a8473144
estimation: support additional_optimizer_steps
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1573
2023-09-19 18:14:24 +02:00
330b10ec85
cosmetical changes to headers and comments
2023-09-19 13:26:33 +02:00
649f668dd1
cosmetical: don't use hh for figure/plot/table handles
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We use it to denote the hessian and even store it in many mat files.
2023-09-19 13:26:33 +02:00
c8be1a3274
Refactor mode_check codes
2023-09-19 13:26:33 +02:00
a41fbdefbc
estimation: more flexible handling of displayed string in command window
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Also removed estim_params_ as unused input argutment to CutSample
2023-09-19 13:26:33 +02:00
9a4e022eb7
remove global from GetAllPosteriorDraws
2023-09-19 13:26:33 +02:00
268d511e29
estimation: better organize files into folders (latex,graphs,output)
2023-09-19 13:26:33 +02:00
8f650a9cca
Put raftery lewis convergence under oo_.convergence
2023-09-19 13:26:33 +02:00
7df3ff5059
dynare_solve.m: fix logic of initial guess randomization which forgot case of imaginary numbers
2023-09-19 12:52:55 +02:00
b0358b9939
dynare_solve.m: add option to disable randomization of starting value
2023-09-19 12:52:54 +02:00
62c3a14026
get_error_message.m: fix typo in error message
2023-09-19 12:52:53 +02:00
dafe3fbdb2
evaluate_steady_state.m: do not require second solver call if debug is requested
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All output has already been computed before
2023-09-19 12:52:52 +02:00
757b6e10ec
display_static_residuals: make output more legible in presence of tags
2023-09-19 12:52:51 +02:00
624eabe2e8
dynare_solve.m: improve warning message
2023-09-19 12:52:50 +02:00
68ff5c4110
evaluate_steady_state.m: Filter out small complex residuals
2023-09-19 12:52:49 +02:00
ff83c4aea7
evaluate_steady_state_file.m: Octave bug 52568 was fixed in Octave 6
2023-09-14 16:55:13 +02:00
db331c53d4
Merge branch 'display_static_residuals' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2176
2023-09-14 12:06:34 +02:00
bea2d7905b
Merge branch 'dynare-bvar'
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Ref. !2175
2023-09-14 12:05:59 +02:00
14634946dc
🐛 bvar_irf: SquareRoot-option erroneously used Cholesky decomposition
2023-09-14 12:05:21 +02:00
2b313b0308
BVAR: move to subfolder
2023-09-14 12:05:18 +02:00
838bb2f4b5
display_static_residuals.m: fix bug introduced in 4598dba40c
2023-09-13 15:26:05 +02:00
e86b372464
Display more explicit error message when k_order_perturbation MEX fails
2023-09-13 15:06:51 +02:00
43af789eda
Merge branch 'csminwel' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2172
2023-09-13 11:31:56 +02:00
eb16bb4373
Merge branch 'dynare-osr_analytic'
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Ref. !2171
2023-09-13 11:19:20 +02:00
885fda0e20
OSR: allow using analytic gradient
2023-09-13 11:19:13 +02:00
2473b57782
Correct Johannes's old Cologne email
2023-09-12 21:07:57 +02:00
ac0ecde1d9
mom: fix incorrect options-reference
2023-09-12 19:24:32 +02:00
b8a1b63572
newrat.m: clean up files
2023-09-12 13:32:16 +02:00
3895da48a1
🐛 Enable analytic_derivation for csminwel
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Requires column vector output
2023-09-12 13:26:25 +02:00
497c6bd1b1
csminwel1.m and csminwel1.m: cosmetic changes
2023-09-12 12:54:36 +02:00
6037b9f096
Merge branch 'dynare-osr_globals'
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Ref. !2166
2023-09-11 16:46:29 +02:00
2b240210d0
OSR: Remove globals and wrapper layer, move to +subfolder
2023-09-11 16:46:08 +02:00
a0ea6005e8
Merge branch 'dynare-globals'
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Ref. !2167
2023-09-11 16:43:36 +02:00
4598dba40c
display_static_residuals.m: remove globals
2023-09-11 16:43:26 +02:00
f26a469208
Merge branch 'further_cosmetics' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2168
2023-09-11 16:26:44 +02:00
890c6b2e1d
Merge branch 'trace_plot' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2169
2023-09-11 16:25:31 +02:00
4a0b87fdaf
Merge branch 'cosmetics' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2165
2023-09-11 15:34:52 +02:00
dee66e8351
Merge branch 'cleanup' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2164
2023-09-11 15:33:09 +02:00
91dd4d9a83
dyn_first_order_solver.m: remove reference to kstate
2023-09-09 09:23:07 +02:00
7eaa974484
Remove unused disp_model_summary.m
2023-09-09 09:22:41 +02:00
baf8243fac
generate_trace_plots.m: allow for plotting traces of multiple chains
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Closes #1904
2023-09-08 22:04:25 +02:00
825763b18f
Move pruned_state_space functions to subfolder
2023-09-08 15:45:41 +02:00
d601ca4a2e
Merge branch 'var_decomp' into 'master'
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Add variance decomposition for pruned state space
Closes #1836
See merge request Dynare/dynare!2163
2023-09-08 12:55:19 +00:00
af274aec3f
Remove unused dsample.m and mcompare.m
2023-09-08 14:43:02 +02:00
3a851dd8f3
disp_dr.m: remove globals
2023-09-08 14:42:38 +02:00
c72763501e
Delete unused dcompare.m
2023-09-08 14:22:09 +02:00
290f19c705
resol + stoch_simul.m: header fixes
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Also makes global naming consistent
2023-09-08 11:59:37 +02:00
74399f0728
🐛 fix check for Metropolis folder
2023-09-08 10:31:09 +02:00
5ac11449ce
slice: move saved files to subfolder
2023-09-08 10:27:35 +02:00
bd905360e0
Slice: provide convergence diagnostics even for low number of draws
2023-09-08 10:26:21 +02:00
842bf3d687
csminwel1.m: clean up file
2023-09-08 10:02:14 +02:00
2e742462b3
Rename McMCDiagnostics and McMCDiagnostics_core
2023-09-08 09:44:43 +02:00
cd05bfb8a2
Remove unused ghx2transition.m
2023-09-08 08:09:20 +02:00
c43308a07b
forcst.m: remove redundant call to make_ex_
2023-09-08 08:08:35 +02:00
2fa6c437f7
solve_model_for_online_filter.m: remove redundant call to Lyapunov solver
2023-09-08 08:05:48 +02:00
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
c063d53646
th_autocovariances.m: fix matrix dimension
2023-09-07 18:09:28 +02:00
f2f1c48baf
compute_moments_varendo.m: cosmetic fixes
2023-09-07 17:52:31 +02:00
3dd1ffb8fe
pruned_state_space_system.m: gracefully exit in case of unit roots
2023-09-07 17:52:18 +02:00
41ac891f80
Factorize variance decomposition code
2023-09-07 17:13:09 +02:00
a0b443b9f8
Cosmetical changes to headers and message strings
2023-09-07 09:36:27 +02:00
777ec76536
method_of_moments: cosmetical changes to cleanup
2023-09-07 09:36:27 +02:00
55dc4a00d5
method_of_moments: refactor displaying of moments
2023-09-07 09:36:27 +02:00
e025d56a59
method_of_moments: refactor J-Test
2023-09-07 09:36:27 +02:00
07b62fe554
method_of_moments: refactor iterated GMM/SMM estimation
2023-09-07 09:36:27 +02:00
9dc4878f9f
method_of_moments: refactor printing of info to a utility function
2023-09-07 09:36:27 +02:00
e52c007d8b
method_of_moments: cosmetical changes to checks for objective function at initial parameters
2023-09-07 09:36:27 +02:00
fb326638f9
method_of_moments: remove redundant noconstant option check
2023-09-07 09:36:27 +02:00
e170b64713
method_of_moments: refactor steady-state check utility functions
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Reuse same functions from full-information estimation command
2023-09-07 09:36:27 +02:00
b737d46d61
method_of_moments: cosmetical changes to smm shock series
2023-09-07 09:36:27 +02:00
9914d764c2
method_of_moments: refactor data moments computation
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Also rename function to not confuse this with the variable stored in oo_.mom.datamoments.
2023-09-07 09:36:27 +02:00
c0cae0ebaa
method_of_moments: cosmetical changes to mom.objective function
2023-09-07 09:36:27 +02:00
0cd65df72a
method_of_moments: add warnings for problematic prior stderr/corr and value
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Also moved oo_.prior to oo_.mom.prior
2023-09-07 09:36:27 +02:00
017b4f05f6
method_of_moments: cosmetical changes on estimated params initializations
2023-09-07 09:36:27 +02:00
1ef026dc9d
method_of_moments: factorize correct bounds for stderr and corr
2023-09-07 09:36:27 +02:00
180b92cb1e
method_of_moments: refactor penalized estimation with laplace prior
2023-09-07 09:36:27 +02:00
c3327e000c
method_of_moments: refactor matched moments block transformations
2023-09-07 09:36:27 +02:00
0487dd4a77
method_of_moments: refactor and function for default options & initializations
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Also changed:
- options_mom_.vector_output to options_mom_.mom.vector_output
- optimizer_vec to options_mom_.optimizer_vec
- oo_.dr.obs_var to oo_.mom.obs_var
2023-09-07 09:36:27 +02:00
f25188cf2f
method_of_moments: improved header
2023-09-07 09:36:27 +02:00
3c0f3c1c24
Factorize estimation: check steady-state (static, changes parameters)
2023-09-07 09:36:27 +02:00
23f6019cdf
Factorize estimation: check prior stderr and corr parameters
2023-09-07 09:36:27 +02:00
6941bd5516
Factorize estimation: wrapper for tune_mh_jscale
2023-09-07 09:36:27 +02:00
c356db4531
Factorize estimation: set_mcmc_jumping_covariance
2023-09-07 09:36:27 +02:00
aa99eff81d
Factorize estimation: set_mcmc_prior_bounds
2023-09-07 09:36:27 +02:00
7f22414843
Factorize estimation: checks for VAROBS
2023-09-07 09:36:27 +02:00
688d847489
Factorize estimation: check_mode_file
2023-09-07 09:36:27 +02:00
c21f75887d
Factorize estimation: check_hessian_at_the_mode
2023-09-07 09:36:27 +02:00
dd2c816df0
compute_mh_covariance_matrix: remove globals
2023-09-07 09:36:27 +02:00
d8105a3237
Cosmetical changes
2023-09-07 09:36:27 +02:00
960c075420
Replace "Estimation::mcmc::" by a variable
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This enables re-using estimation functions for other Bayesian estimation routines such as Bayesian method_of_moments and printing it nicer to the console.
2023-09-07 09:36:27 +02:00
6551b88fc8
Merge branch 'truncated_normal' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2161
2023-09-07 08:56:13 +02:00
8f79e848f0
Remove remnants of GPU code
2023-09-07 08:00:05 +02:00
9afd75ca9b
th_autocovariances.m: rework routing to clarify approach
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Changes reflect model representation with 1 lag only
2023-09-06 22:14:19 +02:00
7283838a0f
dynare_config.m: sort added paths
2023-09-06 22:11:35 +02:00
02b4242c75
Remove MATLAB:dividebyzero identifier
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Was removed from Matlab
2023-09-06 15:09:39 +02:00
5f68504919
prior sampling: suppress loop output
2023-09-06 14:14:31 +02:00
d60a19ce49
Finish implementation of truncated normal distribution
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1593
2023-09-06 12:46:41 +02:00
16f921ed62
Add Meson build system
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Mostly working. The testsuite remains to be done.
In particular, windows/deps/mkoctfile64 is modified to print its version number
on stdout instead of stderr. This is what the standard mkoctfile does, and it
allows easier capture of the output from Meson.
2023-09-04 18:04:00 +02:00
6747f2130e
Perfect foresight: fix illegal memory read with bytecode + endval_steady
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The exogenous steady state vector was passed as a row-vector to
evaluate_steady_state, thus leading to an incorrectly-sized matrix passed to
bytecode when checking the steady state on the dynamic model (when different
from the static model).
2023-09-01 14:52:57 +02:00
c70f2f1e4b
Allow x13 to deal with missing values
2023-08-31 09:07:51 +02:00
0d21927381
Merge branch 'mod_comp' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2157
2023-08-30 11:47:22 +02:00
01011cb849
Merge branch 'shock_decomp' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2156
2023-08-30 11:46:47 +02:00
38f36258ed
Merge branch 'endogenous_prior' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2153
2023-08-30 11:45:54 +02:00
e70b2fdfcf
makedataset.m: account for short filenames
2023-08-29 16:15:34 +02:00
183e6fbb3b
model_comparison.m: account for short filenames
2023-08-29 16:14:50 +02:00
9e53bd9967
shock_decomposition.m: do not overwrite other output
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1897
2023-08-29 14:40:10 +02:00
0729ee72af
det_cond_forecast.m: cosmetic changes to error messages
2023-08-24 12:38:50 +02:00
a85a00bfcf
endogenous prior: fix logic of missing observations check
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Message should only be displayed if there are missing observations
2023-08-23 09:32:24 +02:00
Stéphane Adjemian (Argos)
91825d4b5b
Fix cherrypick routine with max and min functions in model block.
2023-07-21 15:36:52 +02:00
710589eb5b
Adds pruning in k_order_simul
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See issue #1643 about beyond-third-order pruning
2023-07-20 06:58:35 +01:00
Stéphane Adjemian (Ryûk)
c02e550582
Update dseries submodule.
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Pass more than one variable name to remove and remove_ methods.
2023-07-19 18:23:08 +02:00
d2fecdc5d3
load_*_mh_history_file: remove assignin statements
2023-07-18 10:01:47 -04:00
8532d6abd7
Cosmetic changes to various estimation routines
2023-07-13 14:40:01 -04:00
e6c43c2a29
load_last_mh_history_file: make sure number of blocks and parameters matches loaded files
2023-07-13 14:39:50 -04:00
Stéphane Adjemian (Ryûk)
b5a74b96e5
Merge particles submodule into master.
2023-07-12 14:01:25 +02:00
Stéphane Adjemian (Ryûk)
21dcc911bc
Move files and delete unused folders and files.
2023-07-12 09:29:41 +02:00
Stéphane Adjemian (Argos)
6265a6d2b1
Update dseries submodule (add two arguments to dplot command).
2023-07-07 11:40:41 +02:00
Stéphane Adjemian (Argos)
bd0493d135
Add routine for dynamic contributions in semi-structural models.
2023-07-06 22:26:09 +02:00
Stéphane Adjemian (Argos)
5e869669a0
Set verbose to false by default.
2023-07-06 22:26:07 +02:00
ae67b4a145
Merge branch 'master' into 'master'
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Variable number of parameter MCMC convergence plots
See merge request Dynare/dynare!2127
2023-07-05 10:07:39 +00:00
eb5eefdcf0
Variable number of parameter MCMC convergence plots
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This change allows the user to change the number of parameters for which the MCMC convergence diagnostics are shown. The user needs to set a value for options_.convergence.brooksgelman.plotrows for an arbitrary number of parameters to be shown, but defaulting to 3 if no input is supplied.
2023-07-05 10:07:38 +00:00
23dbb2b4b9
Fixes local_state_space_iteration_3 and adds a test comparing the various pruning routines used in dynare up to order 3.
...
The considered pruning routines can be found in
- `simult_.m`
- `local_state_space_iteration_2` MEX
- `local_state_space_iteration_3` MEX
- `pruned_state_space_system.m`
2023-07-04 19:15:43 +02:00
d2c324eeee
Amends the various filters to fit the fixed version of local_state_space_iteration_3
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See MR !2144 for more details
2023-07-01 16:43:48 +02:00
d386bb9f76
Cholesky decomposition: only add to diagonal if really necessary
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Closes #1891
2023-06-23 11:26:14 -04:00
ed7fe89bfa
Remove unused exo_names_orig_ord
2023-06-23 08:41:12 -04:00
e6920a60a1
Default option: don't save files for csminwel and cmaes
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Usually these files are not needed (if then user can turn this option on manually) and only clutter the folder.
Moreover, the testsuite crashes on rare occasions if several mod files are run in the same folder and the optimizers write the files simultaneously.
2023-06-23 12:11:23 +02:00
050679cd56
Rename resid.m
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Closes #1888
2023-06-23 12:10:18 +02:00
782368eb9b
dseries: document saving of atr log
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Related to dseries@f2bdd617
2023-06-22 13:56:19 -04:00
d5a3a8e16a
Various improvements to perfect foresight homotopy
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– new option “endval_steady” to pf_setup command to recompute terminal
steady state in the homotopy loop
– new options “homotopy_linearization_fallback” and
“homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver
commands, to get an approximate solution when homotopy fails to go to 100%
– new options “homotopy_initial_step_size”, “homotopy_min_step_size”,
“homotopy_step_size_increase_success_count” and “homotopy_max_completion_share”
to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour
– removed option “homotopy_alt_starting_point” to pf_solver command, not really
useful
– new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”,
“steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to
control the computation of the terminal steady state (and remove the
equivalent options which previously had different names in pfwee_solver command)
2023-06-21 15:58:23 +02:00
3a789ca780
🐛 dynare_solve would incorrectly accept some guess values leading to NaN residuals
...
If the guess value passed to dynare_solve was such that the residuals were all
below tolerance, except some that were NaN, then this guess value would be
incorrectly accepted as a solution.
2023-06-20 15:35:36 +02:00
8fa37a0439
perfect_foresight_with_expectation_errors_solver: remove obsolete code
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This should have been removed in c1b78e26ac
2023-06-16 16:45:04 +02:00
d4b5e156d1
perfect_foresight_with_expectation_errors_solver: check convergence of informational iterations
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Error out if an iteration failed.
Also display an informative message about those iterations.
2023-06-16 16:45:04 +02:00
396267260a
Block solvers: improvement to error messages
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– Do not mention internal options_ structure
– Remain agnostic about whether we are in a steady state or a deterministic simulation
[skip ci]
2023-06-15 15:49:50 +02:00
Johannes Pfeifer
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Willi Mutschler
Normann Rion
William Gatt