Michel Juillard
1316bd9555
fixed issues relative to homotopy (type I) when the user wants to
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continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
Stéphane Adjemian (Charybdis)
41def7caaa
Added the possibility of a user defined configuration file (only for linux users).
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At the end of global_initialization.m the existence of /home/USER/dynare_configuration.m is tested. In case of a positive answer this script is evaluated.
2012-05-09 15:39:58 +02:00
JohannesPfeifer
c0624738c9
Fixed bug introduced in bda0b1b228
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Created separate field options_.SpectralDensity.trigger to trigger Spectral Density
2012-04-26 08:48:31 +02:00
Sébastien Villemot
08894086b0
Revert "Move hardcoded options from UnivariateSpectralDensity.m to global_initialization."
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This reverts commit bda0b1b228
.
2012-04-26 08:22:15 +02:00
Johannes Pfeifer
bda0b1b228
Move hardcoded options from UnivariateSpectralDensity.m to global_initialization.
2012-04-25 11:49:01 +02:00
Johannes Pfeifer
4c255cf2ae
Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures.
2012-04-25 11:47:40 +02:00
Sébastien Villemot
1dfba1b99f
Merge remote-tracking branch 'ferhat/master'
2012-04-20 21:15:09 +02:00
Ferhat
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
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- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
Sébastien Villemot
edbf3bd175
Remove useless calls to set_default_option
2012-04-20 17:08:11 +02:00
Michel Juillard
41e027aee3
added steady option stop_on_error. stop_on_error = 0 permits to
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continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
Houtan Bastani
08bcf39fe7
estimation: clear subsamples substructure whenever a subsamples statement is encountered
2012-04-03 18:33:23 +02:00
Houtan Bastani
7e6bd80f17
estimation: remove s from parameters substructure
2012-04-03 18:33:23 +02:00
Houtan Bastani
31e0bc2e1e
estimation: simplify global_initialization
2012-04-03 18:33:23 +02:00
Houtan Bastani
9741b3b3ec
estimation: reorganize options output
2012-03-30 15:37:15 +02:00
Houtan Bastani
93db8937ab
estimation: reorganize Matlab structure output
2012-03-30 15:37:14 +02:00
Stéphane Adjemian (Charybdis)
6c6b62937f
Added smooth resampling.
2012-03-30 11:47:24 +02:00
Houtan Bastani
7feb27fe1c
estimation: rewrite options output
2012-03-29 16:45:46 +02:00
Houtan Bastani
d54e4c4b17
estimation: rewrite prior output
2012-03-29 16:07:01 +02:00
Houtan Bastani
46a655fbd5
estimation: rewrite subsamples statement as an actual statement
2012-03-28 18:51:52 +02:00
Michel Juillard
a899594f3d
initializing globals ys0_ ex0_ ex_det0_
2012-03-17 20:34:58 +01:00
Michel Juillard
d6f8e252e5
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-15 16:18:37 +01:00
Stéphane Adjemian (Charybdis)
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
Michel Juillard
1fcf708b80
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-10 18:21:14 +01:00
Stéphane Adjemian (Charybdis)
323e6fdf4f
Added a second gstep option used as a parameter for the routine computing the hessian matrix.
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In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:
h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
Stéphane Adjemian (Charybdis)
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
Houtan Bastani
ec2528ae9b
estimation: fixes to options statement
2012-03-09 11:47:25 +01:00
Houtan Bastani
dd67a81e57
estimation: place parameter priors in their own substructure
2012-03-09 11:46:09 +01:00
Stéphane Adjemian (Charybdis)
464dcb651e
Changed defaults related to extended path. Removed some unused options.
2012-03-08 12:45:53 +01:00
Ferhat Mihoubi
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
Stéphane Adjemian (Charybdis)
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
Stéphane Adjemian (Charybdis)
cf19df92ef
Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode.
2012-03-05 15:03:55 +01:00
Stéphane Adjemian (Charybdis)
83b536c618
Moved CMAES options in global_initialization, so that the options of this routine can be modified by
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the user by writting in options_.cmaes.
2012-03-04 22:13:00 +01:00
Stéphane Adjemian (Charybdis)
724b99412f
Added option for kitagawa/stratified approach in traditional resampling.
2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis)
fb4def04bd
Fixed bug related to the name of the sub-structure for the non linear filters.
2012-03-04 22:12:59 +01:00
Marco Ratto
c848b3337a
added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
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nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
Stéphane Adjemian (Charybdis)
87f4dad51a
Changed default value of use_bytecode option. By default, the bytecode solver is not used.
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Note that, even for small models, there is a (very) substantial gain in using the use_dll option.
2012-02-04 16:56:09 +01:00
Stéphane Adjemian (Charybdis)
704b0c9659
Added an option specifying if the bytecode solver has to be used first.
2012-02-04 16:26:22 +01:00
Stéphane Adjemian (Charybdis)
8a35ee7363
Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
2012-02-04 16:19:15 +01:00
Stéphane Adjemian (Charybdis)
64ebd1d0d7
Changed the default value of options_.ep.fp. Test the stability of the solution only for the first period (when the value of periods is increased).
2012-02-03 14:05:06 +01:00
Stéphane Adjemian (Charybdis)
f63ce01859
Put debug and memory modes in options_.ep.
2012-01-21 14:13:31 +01:00
Stéphane Adjemian (Charybdis)
58f4feb6ad
Cosmetic change + Added scramble mode (possibility to add noise in the future).
2012-01-20 16:40:17 +01:00
Michel Juillard
f9d2dec97f
preparing dsge_loglikelihood.m for future integration of estimation DLL
2012-01-08 21:55:02 +01:00
Michel Juillard
80ca47d62a
Merge remote-tracking branch 'local_master/master' into dr1break
2011-12-31 10:10:41 +01:00
Sébastien Villemot
30cbcdbb55
Store histval information for endogenous in M_.endo_histval
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Really closes : #157
2011-12-28 11:35:22 +01:00
Sébastien Villemot
c541ceb849
Remove unused options_.deterministic_simulation_initialization
2011-12-28 10:44:34 +01:00
Stéphane Adjemian (Charybdis)
45d85f19fa
Added options for non linear filters + Cosmetic changes.
2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Charybdis)
3e84e333b4
Changed verbosity options (fast deterministic simulations). Default is options_.verbosity==1.
2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Charybdis)
e2f69ab4fc
Added arbitrary order of approximation for the Stochastic Extended Path approach.
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Default is that we only consider shocks in t+1 to approximate the expectations. If
options_.ep.stochastic.order is set to s>1, shocks in t+1, t+2, ..., t+s are
considered. Obviously the (tensorial) tree of future shocks is growing
exponentially.
Other numerical rules of integration have to be added...
2011-12-23 17:57:41 +01:00
Houtan Bastani
87ffab3200
preprocessor: add symbol.options statement
2011-12-21 12:21:30 +01:00
Houtan Bastani
f5bfdbb23f
preprocessor: add prior statement
2011-12-21 12:21:29 +01:00
Houtan Bastani
1e78d70659
preprocessor: add data command
2011-12-21 12:21:29 +01:00
Houtan Bastani
29bead75c9
preprocessor: add set_time command
2011-12-21 12:21:29 +01:00
Michel Juillard
316c1b4dd6
Merge branch 'master' into dr1break
2011-12-16 20:50:18 +01:00
Stéphane Adjemian (Charybdis)
857eb7438f
Added provisions for future shocks (using Gaussian quadratures).
2011-12-16 11:42:03 +01:00
Michel Juillard
edd95a94c8
added options_.sub_draws in estimation for controlling the number of draws used in
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computing the posterior distributions of various objects. Changed
options_.subdraws, used in the code, into options_.sub_draws.
2011-12-15 17:35:26 +01:00
Marco Ratto
b23c508671
Initialize new option analytic_derivation for estimation.
2011-12-13 17:05:55 +01:00
Stéphane Adjemian (Charybdis)
a36cf30118
Make options_.dynatol specific to x/f by adding dynatol.x and dynatol.f. By default dynatol.x=dynatol.f= old default value of dynatol.
2011-12-12 14:20:14 +01:00
Michel Juillard
7c62fafe0c
Merge branch 'master' into dr1break
2011-12-10 20:10:31 +01:00
Stéphane Adjemian (Charybdis)
6d9983df0c
New version of the extended path routines.
2011-12-09 18:03:30 +01:00
Stéphane Adjemian (Charybdis)
3318542895
Removed old verison of extended path routine. Added new version in dynare/matlab/ep. Added field (ep) in option_ for the extended path routines.
2011-12-05 10:58:39 +01:00
Michel Juillard
d14d0f8b45
initialazing bayestopt_
2011-10-31 18:26:53 +01:00
Michel Juillard
36d5462328
options_.jacobian_flag is now set in global_initialization.m
2011-10-20 20:40:15 +02:00
Sébastien Villemot
ddc029394c
Clean-up last remnants of unit_root_vars ( Closes : #167 )
2011-10-14 16:22:47 +02:00
Michel Juillard
ee7078e56c
factoring out steady-state computations; steady_state_model now
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generates <fname>_steadystate2.m returning parameters as well in case
they have been modified by the user. Added several test cases.
2011-10-12 21:51:14 +02:00
Michel Juillard
80c69c404b
Revert "added default options_.nobs = []; reset options_.nobs after call to"
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This reverts commit 8dc6b78dde
.
2011-09-18 14:37:29 +02:00
Michel Juillard
8dc6b78dde
added default options_.nobs = []; reset options_.nobs after call to
...
intialize_dataset()
2011-09-18 12:00:11 +02:00
Stéphane Adjemian (Charybdis)
fe55f6a506
Added field for nonlinear filters (initialized as an empty matrix).
2011-09-14 23:41:37 +02:00
Houtan Bastani
da8fabf43c
remove upper/lower_cholesky options from ms_estimation and sbvar
2011-09-13 11:45:42 -04:00
Houtan Bastani
09df8bcf77
clean up sbvar code
2011-05-31 16:07:05 +02:00
Houtan Bastani
2b2de22956
bug fix: add sbvar options back to global_initialization
2011-05-30 17:46:11 +02:00
Houtan Bastani
f5b6142f04
add option 'file' to exist function
2011-05-30 16:31:56 +02:00
Michel Juillard
82600953f1
MS-SBVAR: added automatic saving of graphs in <mod_name>/Output; added possibility to select endogenous variables for IRF plots; updated plot functions.
2011-05-30 15:54:46 +02:00
Michel Juillard
557ee2c004
removing options_.discount_factor that is replaced by parameter optimal_policy_discount_factor
2011-05-24 16:02:42 +02:00
Houtan Bastani
7f374f491f
SWZ: updates for irf, forecast and variance decomposition mex calls
2011-05-20 14:34:26 +02:00
Houtan Bastani
074b6acb7d
SWZ: changes for new code
2011-05-13 17:23:41 +02:00
Jacob Smith
da43f3d0f5
Adding Mex Functionality to work with new MS-SBVAR Code, includes Forecasting,IRF,Variance Decomposition, Plotting and new global settings
2011-05-13 15:13:02 +02:00
Stéphane Adjemian (Sedna)
1f236dca66
Added new simplex optimization routine (mode_compute=8).
2011-05-10 14:18:23 +02:00
Stéphane Adjemian (Sedna)
50e9422c34
Added the possibility to initialize the estimated parameters to the prior mode instead of the (default) prior mean.
2011-05-06 14:39:00 +02:00
Michel Juillard
5f8b5fa467
removing useless 'd' output argument from the Kalman smoother functions. Removed global initialization of options_.diffuse_d. Fixed minor bugs in Kalman smoother functions.
2011-03-24 18:38:01 +01:00
Michel Juillard
e029d46697
adding discretionary policy for linear quadratic models, thanks to code provided by Junior
2011-03-13 21:19:55 +01:00
Michel Juillard
e5d9a7eb42
corrected bug for options_.kalman_tol and increased its default value to 1e-10
2011-02-10 18:48:08 +01:00
Michel Juillard
6ad29c9879
SWZ: fixing options vlistlog and vlistpercentage
2011-02-09 06:29:21 +01:00
Sébastien Villemot
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
Michel Juillard
2e0a36ae9f
Initialize estim_params_ in global_estimation.m. Necessary for smoothing models with no estimated parameters.
2011-01-13 21:10:06 +01:00
Michel Juillard
dcc46959b4
The default for options_.qz_criterium is now different for different contexts:
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qz_criterium = 1+1e-6
- stoch_simul
- osr
- check
- dynare_estimation_1 with lik_init =2 or 3
qz_criterium = 1+1e-6 for dynare_estimation_1 with lik_init = 1
This correct a bug in estimation and computation of the posterior distribution of moments of endogenous variables when the priors permit roots too close to 1.
2010-12-23 08:34:13 +01:00
Michel Juillard
dfbd10a524
added choice of parameter set to shock_decomposition. This corrects a bug when shock_decomposition is requested after Metropolis iterations.
2010-12-08 13:02:59 +01:00
Stéphane Adjemian (Charybdis)
73fb71b9c8
Removed references to options_.simul_seed.
2010-11-27 00:19:22 +01:00
Stéphane Adjemian (Charybdis)
db54c2d76e
Added a routine for setting the random number generator and the seed, independantly of the version of matlab. Removed the calls to rand('state',x) in simult.m and added a test file. Still need to adapt the routines related to mcmc and swz.
2010-11-26 17:16:12 +01:00
Stéphane Adjemian (Charybdis)
5c709e4733
Changed set_dynare_threads.m. The number of threads in parallelized mex files to be used if dynare is built with the openmp flag
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(--with-openmp) is not passed by an environment variable anymore. The function set_dynare_threads changes the default value of the
number of threads (default is 1) in the options_.threads structure. Changed calls to sparse_hessian_times_B_kronecker_C and
A_times_B_kronecker_C dlls accordingly.
2010-11-15 13:06:39 +01:00
Marco Ratto
e846c5cda7
New parallel dynare:
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1) safe management of remote folder;
2) shh scp (and windows equivalent) commands are concentrated in the master;
3) management of remote crashes;
4) begin building option to interrupt remote processes;
5) better parallel waitbar: pops up only at STARTUP (can be minimized subsequently); adaptive dimension;
2010-10-08 16:15:50 +02:00
Stéphane Adjemian (Scylla)
29f9bb953e
Fixed bug related to the mh based approximation of the posterior covariance matrix (used
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for the jumping distribution).
2010-09-01 22:15:47 +02:00
Stéphane Adjemian (Scylla)
be1e0f1b8a
Fixed bug for mode_compute=6 in Octave. Added an option to replace waitbar in matlab by
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textbar (as in Octave). The user has to set options_.console_mode before the
estimation command. Cosmetic changes in gmhmaxlik (mode_compute=6).
2010-06-25 15:03:04 +02:00
Houtan Bastani
9b5df05804
DSGE-VAR: introduce dsge_var and dsge_varlag options to estimation statement
2010-06-22 10:38:43 +02:00
Stéphane Adjemian (Charybdis)
945c434afe
(1) Added pruning algorithm for second order simulations (matlab code).
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(2) Speed improvement in second order simulations (replaced call to matlab's kron function by call to
A_times_B_kronecker_C).
(3) Removed useless globals.
(4) Cosmetic changes and corrections on headers.
2010-05-25 14:00:08 +02:00
Michel Juillard
956b42fdff
corrected bugs in shock_decomposition
2010-04-27 19:50:42 +02:00
Sébastien Villemot
da74e53204
Preprocessor:
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* give the possibility of calibrating measurement errors in the "shocks" blocks (only for observed endogenous variables)
* M_.H is now initialized in the preprocessor
* only one "varobs" statement is now accepted in a MOD file
2010-04-14 15:03:41 +02:00
Michel Juillard
6a2d2a7b46
smoother deals with all variables in M_.endo_names unless option SELECTED_VARIABLES_ONLY is used
2010-04-02 21:40:50 +02:00
Michel Juillard
b261eb0ba2
integration of partial information in stoch_simul (thanks to George, Joe and Paul)
2010-03-23 11:09:59 +01:00
Michel Juillard
9b20ae958c
added options filter_covariance filter_decomposition for new version of the smoother
2010-03-22 21:57:46 +01:00
Michel Juillard
6d4b0ecab7
SWZ:
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- reverting part of last change to handling of Qi and Ri in ComputingTasks.cc: r is the number of lags present in the restrictions
- fixing handling of Dirichlet option in mhm_input.dat. This fixes the strange Signal messages when running C executables.
- fix path in test_upper_cholesky.mod
2010-03-15 12:03:37 +01:00
Michel Juillard
591e426110
- reversed ordering for lower and upper Cholesky
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- added tests
- fixed various bugs
- modified initial values
Still unfinished
2010-03-10 08:32:51 +01:00
Sébastien Villemot
d6faa47807
Cosmetic changes: converted files to Unix end-of-line convention + fixed copyright notices and dates
2010-02-15 16:52:36 +01:00
Marco Ratto
1e31815805
New option parallel_info
2010-02-12 17:38:47 +01:00
Michel Juillard
7019b382d7
added initialization of priodens.m in global_initialization.m
2010-02-08 11:15:14 +01:00
stepan
696e8ee140
Added a new input argument (epsilon) in gradient routines and csminwel.m. This parameter defines the length of the steps considered
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by numgrad routines to compute the gradient. The default value (defined in global_initialization.m) for this parameter is 1e-6. The
value of epsilon is stored in options_.gradient_epsilon.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3335 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-10 16:51:33 +00:00
sebastien
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
sebastien
cf77c3f245
* Fix USE_DLL option at order 2 ( closes #64 )
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* Added a corresponding test
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3236 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-14 11:06:29 +00:00
sebastien
ee3ceb7db6
M-files and preprocessor:
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* removed "options_.simul", and instead test if "options_.periods" is non-zero
* test for the incompatibility of options "periods" and "hp_filter" in "stoch_simul.m", instead of in the preprocessor
Reference manual:
* removed "simul" options, updated "periods"
* updated "order" option (for 3rd order)
* added "k_order_solver" option
* give some hints for installing a compiler for users of MATLAB for Windows
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3188 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-01 17:51:47 +00:00
sebastien
59ca45e4f4
Removed last remnants of "ct_" global variable
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3187 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-01 16:30:56 +00:00
michel
48dad3e37a
4.1: add preprocessor interface for k_order_solver
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rename use_k_order to k_order_solver in Matlab procedures
fix tests
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3179 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-30 19:54:45 +00:00
stepan
9a23cee31c
* Changed name of ct_ --> options_.terminal_condition. The default value is zero
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(the terminal condition is y_{T} = y^{\star}), other possible values
are 1 (terminal condition is y_{T+1}=y_{T}) and 2 (terminal
condition is y_{T+1}=TransitionMatrix*y_{T}, where TransitionMatrix
is given by the first order approximation of the reduced form model).
* Added mode options_.terminal_condition=2 in perfect_foresight_simulation.m.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3176 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-30 16:24:57 +00:00
sebastien
ffd9b2d405
preprocessor: clean-up workaround for acosh(), asinh(), atanh() on Win 64 platforms
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3101 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-29 17:16:10 +00:00
stepan
ee74f38b11
Removed (or moved) initialization of options_'s fields from simul.m.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3079 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-23 12:52:16 +00:00
sebastien
df7bc34379
Added a new option "partial_information" to stoch_simul, estimation, osr, ramsey_policy
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3063 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-20 16:55:31 +00:00
sebastien
aa6ff983a9
AIM solver:
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* added interface in the MOD file, with a new option "aim_solver" to stoch_simul and estimation
* documented the option in the reference manual
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3059 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-20 15:44:56 +00:00
ferhat
e1f17fa9e5
- adds a new option in simul command when block and bytecode options are used : minimal_solving_periods. With bytecode option, the linear solver is applied only on the first periods. As soon as the set of operations remains the same from one period to another, they are repeated for the remaining periods. In some cases the linear solver could encounter exact or near singularities. To avoid these effects, this new option allows the user to extend the minimal number of periods where the model has to be solved.
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- corrects some mod files.
- In steady command, get check argument from bytecode dll
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3051 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-18 15:18:16 +00:00
sebastien
579b5f509e
Cleanup "cutoff" and "mfs" options (the former is no longer in options_)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2888 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-03 10:10:06 +00:00
sebastien
74232e9ee5
* Added new option stack_solve_algo to simul
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* Added solve_algo=5 for steady
* Remove obsolete method option of simul
* Added various checks to avoid unimplemented combinations of bytecode/block/solve_algo/stack_solve_algo
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2882 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-02 16:34:48 +00:00
ferhat
9f45200924
simulate.dll has been replaced by bytecode.dll
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2881 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-02 14:40:54 +00:00
sebastien
a56de57637
Various cleanups related to new options "bytecode" and "block"
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2879 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-02 13:36:56 +00:00
ferhat
beade4bea1
References to model_mod option are ruled out of M-files
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2878 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-02 13:07:59 +00:00
michel
3eb02c720d
updating SWZ sbvar code
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2876 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-08-30 19:28:10 +00:00
ferhat
ed6cda0ca1
New options for block decomposition and bytecode (see http://www.dynare.org/DynareWiki/ByteCode ):
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- the options "sparse_dll" and "sparse" are no more available. They are replaced by combinations of block (for block decomposition) and bytecode (for model stored in a binary file)
- markowitz is now an option of simul and steady commands
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2873 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-08-29 15:04:11 +00:00
ferhat
d32dd99210
- extension of normalization of equations to nonlinear equations
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- mfs: new option for 'steady' and 'model' commands. Determines the equation belonging to the set of feedback variables.
mfs = 0 => all variables are considered as feedback variables (default value)
mfs = 1 => using only naturally normalized equation as potential recursive equations (all variables assigned to unnormalized equations are considered as feedback variable)
mfs = 2 => adding to the set of potential recursive equation with mfs = 1 the linear equation in endogenous variable normalized (all variables assigned to nonlinear unnormalized equations are considered as feedback variable)
mfs = 3 => adding to the set of potential recursive equation with mfs = 2 the non linear equation in endogenous variable normalized
- correction of few buggs in simulate.dll
- block_mfs_dll: new option for 'steady' command. Use simulate.dll to solve the steady state model (speedup the computation of the steady-state and the homotopy)
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2866 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-08-25 09:43:01 +00:00
sebastien
e8700bc046
Implemented MATLAB part of the block_mfs option to steady.
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(Still need to fix a bug)
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2829 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-09 16:35:07 +00:00
stepan
a089e59f3c
dynare/trunk::
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+ Added a new option for likinit=2 used to define the numbers on the
initial diagonal Pstar matrix.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2828 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-09 15:41:11 +00:00
michel
05189497a5
changed handling of nonstationary variables:
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- oo_.mean, oo_.var, oo_.gamma_y contains all selected variables
- moments of non-stationary variables are set to NaN
options_.Schur_vec_tolerance lowered to 10^-11
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2810 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-04 14:11:51 +00:00
stepan
5f8de6f142
+ Added error messages related to the output of the steadystate file.
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+ Removed options_ from print_info.m
+ Removed some useless initializations of options_'s fields.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2786 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-06-25 08:30:27 +00:00
ratto
d10423ec19
Added mode_check_nolik option, with default = 0
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2772 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-06-19 08:44:08 +00:00
stepan
f039875f60
+ Various bug fixes related to prior sampling.
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+ Removed globals in set_stationary_variables_list.m.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2771 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-06-15 14:36:30 +00:00
stepan
271b16a879
+ Moved the definition of dr_.qz_criterium from dr1.m to global_initialization.m.
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+ dr1.m: Removed useless field declarations in dr1.m.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2748 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-06-09 15:06:21 +00:00
stepan
dedca98dba
Added Posterior distribution of the conditional variance
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decomposition (more tests are needed).
The results are saved in oo_.PosteriorTheoreticalMoments.dsge.ConditionalVarianceDecomposition.
Contrary to the asymptotic variance decomposition, we do not report
contribution shares but contribution levels of each structural shock.
LIMITATIONS:
* Won't work in a model with measurement errors.
* Won't work in a model with correlated shocks.
* The routines do not compute the covariance decompositions.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2719 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-06-03 14:50:02 +00:00
ratto
41f59bfb51
Initialize parallel structure at 0.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2665 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-08 15:23:51 +00:00
michel
1b7df60410
4.1: initializing M_.params = [] for the case where there are no parameters declared in the model
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2656 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-04 19:31:48 +00:00
george
7ac5750ac4
added options_.use_k_order=1
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2447 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-03-03 12:00:46 +00:00
stepan
0bb00c71eb
v4.1::
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+ Added new file for prior sampling (prior_sample.m).
+ Undo previous change on prior_draw.m (transposition of pdraw).
+ Bug correction in prior_draw.m.
+ Added field in options_: the default number of mc simulations in the
prior distribution.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2431 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-19 16:27:04 +00:00
stepan
ba080ab910
v4.1:: Changes related to lyapunov_symm.
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+ Fixed a bug introduced in the previous commit.
+ Added a threshold parameter for the complex blocks in the upper
triangular matrix T in lyapunov_symm.m (new field in options_)
+ Cosmetic changes.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2414 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-12 14:16:10 +00:00
michel
47c51d42cc
added option to compute covariance matrix of coefficient (default = 1)
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2405 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-08 09:23:31 +00:00
michel
5f148e90f4
adding PLOT_PRIORS option, no plotting is the new default
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2391 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-03 14:10:16 +00:00
sebastien
6017007f4f
trunk: fixed dsample command (was broken until now)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2301 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-08 16:19:59 +00:00
sebastien
2134146033
trunk:
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* removed obsolete global variables "endval_" and "rplottype_"
* removed duplicate initialization of options_.replic
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2295 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-05 15:34:26 +00:00
adjemian
f58cdcf676
v4.1: Files related to kalman filter (likelihood evaluation of a state space model with or without missing observations).
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* Added a new tolerance parameter specific to the iteration on the riccati equation.
* Added a kalman filter routine allowing for missing observations.
* I do not distinguish anymore models with and without measurement errors (the same m file is used for both models to evaluate the likelihood). For a model without measurement errors H hat to be set to 0 scalar.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2148 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-13 18:54:42 +00:00
sebastien
2af294a5e6
trunk: removed remnants of dr_algo option
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2118 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-26 16:49:51 +00:00
adjemian
b4c04a27cc
Added autocorrelogram for the posterior draws.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2017 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-02 10:16:44 +00:00
adjemian
b5f0fa26ee
Changed default value for options_.trace_plot_ma
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2015 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-02 09:09:36 +00:00
adjemian
fb3899018e
+ Added trace plots.
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+ Correction of a bug related to ferhat's recent commits (options_.model_mode has to be declared somewhere).
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2013 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-09-01 11:44:26 +00:00
adjemian
a9be2e5f13
Added Independent Metropolis Hastings and multivariate student as an alternative to multivariate normal for the proposal distribution. The default posterior sampling algorithm is random walk metropolis with a gaussian proposal distribution.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2009 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-28 13:38:07 +00:00
sebastien
db50368418
v4 matlab: fixed some existing copyright headers (and some other minor header issues)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1974 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-01 12:40:33 +00:00
george
bee92a9714
The path to the AIM directory is added by dynare_config.m
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for start, options_.useAIM = 0 is set by default in global_initialization.m so that system uses mjdgges by default.
If AIM is to be used, options_.useAIM = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul.
GP July '08
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1966 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-28 09:46:07 +00:00
michel
c9cf49e30b
options_.nk default is now set to 1
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1963 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-26 14:15:21 +00:00
adjemian
eeb0bee292
Initialization of the deterministic simulation is made optional. Added an option for homotopic solution to deterministic models (not ready).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1944 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-09 08:47:38 +00:00
adjemian
b99a83d1be
Moved use_qzdiv in options_ (defined in global_initialization.m), so that we do not have to test the mjdgges file and define use_qzdiv each time dr1.m is called.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1940 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-08 14:29:11 +00:00
adjemian
27886047cf
* Changed numgrad.m. If fcn(x+h) is not well defined (for instance cost_flag=0 because of BK conditions) we compute the gradient using (fcn(x)-fcn(x-h))/h instead of the original formula (fcn(x+h)-fcn(x))/h.
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* Added function numgrad3.m. This new function uses a three point formula to compute the gradient. By default Dynare uses the two point formula. By setting options_.gradient_method=3 Dynare switches to the three point formula. Note that an input argument has been added to csminwel.
* Added automatic detection of needed constant in dsge-var model (may be problematic is some cases)
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1935 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-07 12:58:13 +00:00
michel
2c8a9d2f60
cleaning diffuse algorithms
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1922 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:48:14 +00:00
michel
a148c0a3f1
undoing changes
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1919 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:38:44 +00:00
michel
36f264a1ca
put back DsgeLikelihood_hh.m that is used by option 5 of the optimizer
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1918 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 11:15:19 +00:00
adjemian
341adad2e9
Added new functions for posterior distribution processing (second order moments) + Removed global variables.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1890 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-21 08:33:31 +00:00
michel
dfc1f3c90f
dynare_v4: exploitation of posterior distribution (unfinished)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1877 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-16 10:38:36 +00:00
michel
59c30113c1
v4: added options for homotopy
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1745 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-24 08:56:48 +00:00
adjemian
8917d41046
Added multivariate student as a proposal distribution for the metropolis hastings.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1743 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-13 08:27:55 +00:00
assia
b453d8c630
header updated
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1593 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-01-16 15:35:02 +00:00
ferhat
d884d8a397
New features:
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- Implementation of the simulation of the block decomposed model using sparse matrix using MATLAB code:
New option in model : sparse
Example:
Model(SPARSE);
….
End;
- Implementation of the simulation of the block decomposed model using sparse matrix for static model.
- Krylov methods are implemented to solve the linear model J.y=b, with J the Jacobian matrix at each step of the Newton Method. Two Krylov's solvers are considered :
+ Generalized Minimum Residual Method (GMRES)
+ BiConjugate Gradients Stabilized (BICGSTAB)
To call them the SIMULATE command has to be completed with a new option : METHOD which could have three different values :
+ LU : (default value) Sparse LU resolution
+ GMRES
+ BICGSTAB
Example:
simul(periods=100, method=lu);
or simul(method=Gmres);
- Correction of various bugs in “simulate.dll”.
- Correction of simk.m
- Correction allowing a list of VALUES or PERIODS not necessarily separated by a comma.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1447 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-20 23:24:01 +00:00
michel
8204b9abd6
v4 global_initialization.m: added default for options_.dsample = 0
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1442 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-15 13:00:35 +00:00
adjemian
254a2df272
Correction of a bug in bvar-dsge estimation.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1338 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:32:28 +00:00
michel
188a128446
v4 dynare_MC.m: options_.filter_step_ahead is now empty by default
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1311 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-09 07:49:55 +00:00
michel
85ea921bc1
v4: changed initialization for steady state solver tolerances
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1309 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-08 16:35:05 +00:00
adjemian
564cf13c2d
options_.mh_recover was not declared (default value is 0)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1305 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-06 12:45:37 +00:00
ferhat
77d6a24cf7
Adding Markowitz criteria in the linear solver (new option in simul: "Markowitz=val" - with val a strictly positive real)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1298 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-03 22:35:30 +00:00
michel
4cf7281291
v4: bug correction in initialization of engodnous variables
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1189 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-15 11:24:34 +00:00
adjemian
9f0ce4ac18
Estimation of BVAR models
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1188 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-13 16:38:51 +00:00
michel
4e1122f014
v4: merge changes to dynare_estimation.m
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1183 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-11 12:48:41 +00:00
adjemian
f9d57f9389
Initialization of options_ in global_initialization (dynare_estimation+stoch_simul)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1161 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-22 16:34:54 +00:00
michel
1497fa98f0
v4: added initialization of options_.ramsey_policy
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1134 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-04 17:03:41 +00:00
michel
77cdcce658
v4: adding Ramsey policy to parser;
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changes to Ramsey policy Matlab code
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1133 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-04 14:42:27 +00:00
michel
ce3a9a76ae
v4: bug around options_.replic
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1085 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-18 07:37:22 +00:00
michel
f34a6fa016
v4: removed forecast option group
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1071 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-14 20:26:38 +00:00
michel
97c4ec9643
v4: making options_ group for forecasting
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1061 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-11 16:00:05 +00:00
michel
bdf036e402
v4 global_initialization: added options
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1021 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-11-04 16:11:49 +00:00
michel
36dd0274d5
v4 global_initialization.m: changed to dr = []
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@990 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-10-18 15:42:37 +00:00
adjemian
4dc01acbd6
correction of a bug related to BVAR-DSGE models.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@930 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-22 15:58:43 +00:00
michel
1f56e496b1
v4: corrected osr
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@924 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-21 15:48:01 +00:00
adjemian
66722531f8
Added the steady state provided by the _steadystate file is checked in steady_
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@914 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-15 14:16:34 +00:00
michel
f998aef46c
v4: correction of computation of variances in models with unit roots
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@912 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-09-15 12:20:28 +00:00
michel
e2882021d4
v4: various updates to Matlab code
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@871 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-08-24 13:07:26 +00:00
michel
4baff7fdd2
v4: changed oo_.y_simul in oo_.endo_simul
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@849 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-07-31 15:46:55 +00:00
michel
eca3df3338
v4 parser.src: made rplottype an option
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@724 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-04-29 14:29:41 +00:00
michel
161753429a
v4: added global_initialization.m and changed parser accordingly
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@718 ac1d8469-bf42-47a9-8791-bf33cf982152
2006-04-20 08:53:28 +00:00