540f0454d2
Code Review of GMM routines
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- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
51278b2f90
Testsuite / External functions: also test coefficients of 2nd order policy function
2020-07-10 18:25:23 +02:00
acdca03e43
Testsuite / External functions: add file missing in previous commit
2020-07-09 18:42:17 +02:00
5b88113668
Testsuite / External functions: add check for numerical results
2020-07-09 18:40:36 +02:00
4913cfb3f0
Merge branch 'third_order_moments' into 'master'
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Add display of theoretical moments at order=3 with pruning
See merge request Dynare/dynare!1744
2020-06-30 14:38:22 +00:00
dfc7357636
Add display of theoretical moments at order=3 with pruning
2020-06-30 13:46:54 +02:00
ac728c0492
Add test cases for moments with measurement errors
2020-06-29 13:21:08 +02:00
ee05ff6c6a
Block decomposition now compatible with 'use_dll' option
2020-06-23 15:49:27 +02:00
42503e102e
✔️ Add unit tests for correct identification analysis
2020-06-20 22:38:47 +02:00
97134cc362
🐛 Fix issue with endogenous params in steady state
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Identification should switch to analytic_derivation_mode=-2 if steady state block/file changes parameter values. Dynare/dynare!1732 already adresses this when there is a prior specified. This fix also addresses this when there are no priors.
kim2.mod is now not only an integration test but also a unit test for this.
2020-06-20 22:38:47 +02:00
d0fb9ce5b8
Preprocessor update
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— Bug fix: allow external functions in model local variables (also add corresponding
integration test)
— JSON output:
+ do not append two underscores after model local variable names in their
definition
+ when writing the model after computing pass, use TEF terms for (not
derived) external functions
+ write model local variables in parsed model (modfile.json) (Closes : #1723 )
— In the driver file, provide mapping between model local variables and indices
in the temporary terms vector (Closes : #1722 )
2020-06-05 17:16:11 +02:00
bd7eb2f88d
Fixes to solve_algo ≥ 9
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— allow solve_algo=9 without block nor bytecode
— allow solve_algo≥9 with block without bytecode
— test solve_algo=9
2020-05-25 17:22:17 +02:00
b70d99d1b4
Refactoring of initval_file and histval_file
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initval_file and hisvfal_file are now more flexible and have functionalities
similar to option datafile in estimation.
Closes : #1671
2020-05-14 16:45:54 +02:00
e5f45ef7b1
Testsuite: fix calls to fataltest.m
2020-05-13 14:58:09 +02:00
ac1b7cc9e1
Testsuite: fix formula for maximum difference error test
2020-05-13 14:57:58 +02:00
b2841ff98c
Testsuite: minor simplification
2020-05-13 12:57:14 +02:00
6e0f104d7e
Bump minimal MATLAB version to R2014a
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Ref. #1713
2020-04-07 16:32:32 +02:00
b8b05300c1
missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension
2020-04-02 19:22:55 +02:00
64a2a4388a
🐛 📖 Fixes TaRB with student t proposal distribution
2020-04-01 14:46:22 +02:00
16cbfa7f29
noprint: add integration test
2020-03-08 09:01:00 +01:00
3ec1d15107
Fix interaction of “predetermined_variables” with “histval” (preprocessor#47)
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Also add a corresponding regression test case.
2020-03-02 17:10:58 +01:00
Stéphane Adjemian
c1541bebbf
Merge branch 'Ramsey_estimation' into 'master'
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testsuite: add integration test for estimation with Ramsey
See merge request Dynare/dynare!1719
2020-03-02 08:30:13 +00:00
068a3e4bde
testsuite: add integration test for estimation with Ramsey
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[skip ci]
2020-03-02 09:17:36 +01:00
Stéphane Adjemian (Charybdis)
2083246a35
Add initial condition for mh_tune_jscale.
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Closes #1717 .
2020-02-29 13:25:24 +01:00
f89c1b58d8
Add integration test for steady state parameter updating
2020-02-25 14:48:29 +01:00
3cf622cdc1
Output M_ in stoch_simul.m and discretionary_policy.m
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Fixes https://git.dynare.org/Dynare/dynare/issues/1711 together with https://git.dynare.org/Dynare/preprocessor/-/merge_requests/15
2020-02-24 14:14:41 +01:00
f4dc2ee743
🐛 Fix wrong third-order computation in pruned state space system
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Related to #1706
✅ Add unit test for pruned state space up to order 3
//
Changed tolerance in new test
2020-02-16 22:55:16 +01:00
71def361fb
macro processor: add test of tuple index in @#for loop
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[skip ci]
2020-02-14 17:29:41 +01:00
633f1ad85a
Testsuite: change the seed for some Octave test
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Under Octave, the default seed in fs2000ns_uncorr_ME.mod leads to a generated
dataset that makes fs2000ns_corr_ME.mod and fs2000ns_corr_ME_missing.mod
fail (due to a large difference between univariate and multivariate diffuse
filters).
2020-02-13 18:12:10 +01:00
3b60e26e63
Testsuite: properly clean generated datafiles under kalman/likelihood_from_dynare/
2020-02-12 18:02:08 +01:00
30bfa16211
Fixes related to estimation under discretion
2020-02-06 13:30:00 +01:00
a8e54d791a
Testsuite: set the random seed for unitary tests, for reproducibility
2020-02-04 18:19:35 +01:00
177c5c359f
Implement estimation under discretionary optimal policy
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Also add a test case.
For the time being, estimating parameters that appear in the discount factor is
not supported.
Ref. #1173
2020-02-03 18:29:45 +01:00
6cf5e6495a
fs2000_simul.mod: make sure we use the estimated parameter vector
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Makes the simulation converge without turning to homotopy
2020-01-31 13:22:47 +01:00
9e82432f87
Gali_discretion.mod: filter out NaN in planner_objective
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Related to https://git.dynare.org/Dynare/dynare/issues/1699
2020-01-29 17:48:16 +01:00
7f02fe5a78
Testsuite: increase numerical tolerance for sw_minimal.mod test
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Needed for some runners, e.g. lupi
2020-01-27 23:16:41 +01:00
Stéphane Adjemian (Charybdis)
82f642fbca
Added missing case in integration tests for particle filters.
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There was not test for the conditional particle filter (CPF).
2020-01-27 22:57:41 +01:00
fc27fad46d
Preprocessor: Do not simplify constant equations which have a tag attached
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In particular, in the case of an 'mcp' tag, this could lead to a convergence
failure.
Also modify the lmmpc/rbcii.mod test so that it fails if convergence is not
obtained, in order to detect such regressions earlier.
Closes : #1697
This preprocessor update also includes the following changes:
— removal of license.txt, now merged in back in the main Dynare one
– various code simplifications and modernizations in the macro processor
— minor code simplification in parsing of the --+ options: … +-- line
2020-01-27 16:12:25 +01:00
01d5d734c6
CI: skip two further tests under MATLAB R2009b, that apparently trigger a MATLAB bug
2020-01-24 16:40:55 +01:00
3b9cc0e9f7
Testsuite: use whitespace-separated syntax for options in .mod file
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Follows from d3e90a8dbf
2020-01-24 16:01:17 +01:00
3d51ee9e23
✅ Added unit tests for minimal state space system
2020-01-24 14:20:05 +01:00
aa0f278edc
📃 Update license
2020-01-24 12:45:15 +01:00
5525a7c515
🏇 Better minimal state space handling and unit tests
2020-01-24 12:45:08 +01:00
c4f7c416fa
🐛 Fix #1694 by robust rank tolerance and histc
2020-01-24 12:44:26 +01:00
66a5113500
Preprocessor: fix derivation order for “identification” without “stoch_simul”
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Also add a regression test.
Closes: preprocessor#40
2020-01-20 17:28:05 +01:00
e371b1a94b
New option “filtered_theoretical_moments_grid”, that supersedes “hp_ngrid”
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The old option is left for backward-compatibility purposes, but it has the same
effect as the new one.
Closes : #1093
2020-01-20 16:23:10 +01:00
a753c18d61
Testsuite: add various missing files to source tarball
2020-01-16 16:54:47 +01:00
3ee9ada8d3
Octave compatibility fix: skip unit test for load_m_file_data_legacy.m
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The failure is impossible to reproduce outside the runners. Skip the test, for
lack of a better solution.
2020-01-14 14:58:38 +01:00
9bac6a0d32
Octave compatibility fix: skip some tests under Octave 5.1, due to a bug in ordeig
2020-01-14 11:49:41 +01:00
Johannes Pfeifer
Willi Mutschler
Sébastien Villemot
Michel Juillard
Stéphane Adjemian
Houtan Bastani