Commit Graph

9611 Commits (b3877b3a9e86a2441883c3f0b95fbf1284bfa4d5)

Author SHA1 Message Date
Johannes Pfeifer c7e8489481 Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function 2016-05-19 14:37:05 +02:00
Marco Ratto 1d6961cc4c initialize mode field in slice sampler options 2016-05-19 14:37:05 +02:00
Marco Ratto e5ab7ed992 fixed unknown options warning messages 2016-05-19 14:37:05 +02:00
Marco Ratto 088db78118 Document computation of Inefficiency factors 2016-05-19 14:37:05 +02:00
Marco Ratto ebe34bc40f Make display of inefficiency factors use existing table util [thanks to Johannes] 2016-05-19 14:37:05 +02:00
Marco Ratto 7b3c42c6e1 provisions for reworked posterior sampling options:
- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Houtan Bastani 8b85ca19bf preprocessor: support sub lists in posterior_sampling_opt option, hence removing tarb_optim. #1177 2016-05-19 14:37:05 +02:00
Houtan Bastani cf6e3cb14c preprocessor: rework posterior sampler options, #1177 2016-05-19 14:37:05 +02:00
Marco Ratto 35a1c7ac17 Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields 2016-05-19 14:34:09 +02:00
Marco Ratto 9c62021d3c Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot] 2016-05-19 14:34:09 +02:00
Marco Ratto ab8aa917e3 slice test moved to estimation folder 2016-05-19 14:34:09 +02:00
Marco Ratto 0497943f02 two steps slice sampling with rotation 2016-05-19 14:34:09 +02:00
Marco Ratto 0c01565298 Allow sampler specific options via optim;
bug fixes on options logic
2016-05-19 14:34:09 +02:00
Marco Ratto 6aa65e2a6a Added test function for slice sampler 2016-05-19 14:34:09 +02:00
Marco Ratto 22f51d1e75 moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox] 2016-05-19 14:34:09 +02:00
Marco Ratto 4445f17efa Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m 2016-05-19 14:34:09 +02:00
Marco Ratto 357e3c2ac7 Make posterior_sampler_initialization.m compatible with new form of prior_draw.m 2016-05-19 14:34:09 +02:00
Marco Ratto 8e751be5ee bug fix for non integer Nc 2016-05-19 14:34:09 +02:00
Marco Ratto e69c5f6864 Bug fix for odd Nc 2016-05-19 14:34:09 +02:00
Marco Ratto 8bd963de64 Fill in posterior_mode with info from posterior samples. 2016-05-19 14:34:09 +02:00
Marco Ratto b830805cb6 Trap empty d [e.g. from slice sampler] 2016-05-19 14:34:09 +02:00
Marco Ratto a96dd5b964 for slice, always initialize empty invhess unless a new chain is initialized from a mode file 2016-05-19 14:34:09 +02:00
Marco Ratto 9089fc340c Initialize posterior_sampler_options. 2016-05-19 14:34:09 +02:00
Marco Ratto 46908d20c6 Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
Marco Ratto c30b6f20a6 Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.

It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler

It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.

Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with  wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
Marco Ratto b1b901fc61 Added SLICE sampler core routines 2016-05-19 14:34:09 +02:00
Marco Ratto 951dfe8ff4 When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary. 2016-05-19 14:34:09 +02:00
Marco Ratto a3ab6de6c8 Added function to compute of inefficiency factors, used in McMCDiagnostics.m
Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
Houtan Bastani 4ea52066b9 preprocessor: simplify a5590f7917 2016-05-19 12:10:19 +02:00
Houtan Bastani a5590f7917 preprocessor: fix bug in debian compilation 2016-05-19 12:06:53 +02:00
Johannes Pfeifer 0e2e1376c9 Fix bug in simulated moments
Closes #1105
2016-05-18 22:51:20 +02:00
Houtan Bastani 58eb60c95d fix copyright dates, headers 2016-05-18 15:06:49 +02:00
Houtan Bastani 6a0de7a724 Merge pull request #1189 from rattoma/gsa
gsa and identification fixes
2016-05-18 15:01:19 +02:00
Houtan Bastani 6b7a77d5a9 preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187 2016-05-18 12:26:19 +02:00
Houtan Bastani 253e6c8dfb Revert "Revert "preprocessor: add option no_2nd_order_params_derivs. #1187""
This reverts commit c496d6f5ca.
2016-05-18 10:34:45 +02:00
Houtan Bastani 42895ce32c Revert "preprocessor: add params_derivs_order to identification and sensitivity. #1187"
This reverts commit 6192a6a776.
2016-05-18 10:33:45 +02:00
Stéphane Adjemian 706351f1a0 Merge pull request #1190 from JohannesPfeifer/dsgevar
Filter out error code 6 in dsge_var_likelihood.m
2016-05-17 22:36:46 +02:00
Johannes Pfeifer c05c66cbaa Filter out error code 6 in dsge_var_likelihood.m
Crashes otherwise
2016-05-17 20:56:25 +02:00
Houtan Bastani 6192a6a776 preprocessor: add params_derivs_order to identification and sensitivity. #1187 2016-05-17 17:18:16 +02:00
Houtan Bastani 4b71593b3c preprocessor: fix typo 2016-05-17 15:42:23 +02:00
Houtan Bastani c496d6f5ca Revert "preprocessor: add option no_2nd_order_params_derivs. #1187"
This reverts commit 024586fbb1.
2016-05-17 15:37:46 +02:00
Houtan Bastani 308828aa95 Revert "preprocessor: params_derivs_file: by default, compute second order derivs wrt params; simplify code; #1187"
This reverts commit 1442f83037.
2016-05-17 15:37:29 +02:00
Houtan Bastani 626f8af374 preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187 2016-05-17 15:32:51 +02:00
Houtan Bastani 7c00ae723e preprocessor: add analytic_derivation option to identification and sensitivity. #1187 2016-05-17 12:43:05 +02:00
Marco Ratto 42170c6c13 Fixes around models with unit roots. 2016-05-17 11:47:07 +02:00
Marco Ratto c9bc685049 Fix determination of full rank subspace of simulated moment uncertainty 2016-05-17 09:38:06 +02:00
Marco Ratto f0b346b397 added waitbar, to monitor computations [especially useful for large models] 2016-05-17 08:41:55 +02:00
Marco Ratto 7c8878c071 Allow neighborhood_width sampling in Morris + bug fix. 2016-05-17 08:41:16 +02:00
Marco Ratto 28aeb9f308 bug fix 2016-05-17 08:40:32 +02:00
Houtan Bastani 85e3ddd2d4 build system: modify package creation for OS X. Min requirements OS X 10.8+ and 64-bit Matlab 2016-05-13 15:52:49 +02:00