f9a462bf07
Added option nonlinear_filter_initialization.
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Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
97e185bc6e
Cosmetic changes in doc header.
2017-04-03 11:25:05 +02:00
f18c16653e
Merge pull request #1428 from JohannesPfeifer/patch-1
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Test the rank of Pinf in univariate smoother for the subset of observables
2017-04-01 09:57:32 +02:00
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
ac851b0bac
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
3e779ebfee
initial_condition_decomposition: fix options_ substructure
2017-03-31 13:09:21 +02:00
792924a3b7
- test the rank of Pinf in univariate smoother for the subset of observables, in order to trap cases where this is not already trapped in compute_Pinf_Pstar.m
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- issue warning when diffuse steps never end [maybe we should issue an error?]
2017-03-30 11:21:54 +02:00
bf607ce630
Make sure no stale _posterior_draws.mat files are present
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May crash compute_moments_varendo.m due to more files being present than generated in the current run
2017-03-29 14:52:32 +02:00
839e7075f6
dsge_simulated_theoretical_covariance.m: fix bug that led to last _2ndOrderMoments*.mat file not being saved, instead overwriting the prior one
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Produced wrong posterior covariance estimates in large models, because the moments matrix contained zeros that were not overwritten by loaded draws due to missing file
2017-03-29 14:52:32 +02:00
37dd5fd077
Merge pull request #1422 from JohannesPfeifer/real_time_shock
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realtime_shock_decomposition.m: Delete variable that produced unwante…
2017-03-27 11:37:16 +02:00
2240b06487
fix typo
2017-03-27 11:20:34 +02:00
e24b1ea76e
fixes in preamble and plot_shock_decomp structure of options.
2017-03-27 08:29:52 +02:00
4380b4a973
realtime_shock_decomposition.m: Delete variable that produced unwanted output
2017-03-25 12:21:47 +01:00
bab401ebbc
utility to decompose initial condition effect
2017-03-25 08:16:33 +01:00
7315b5ae73
fix bug in merge commit e103462050
2017-03-24 18:11:45 +01:00
b3fa669717
bug fix introduced in 234aaacf92
2017-03-24 17:13:03 +01:00
ae921f6bf1
Merge remote-tracking branch 'rattoma/shock_decomp'
2017-03-24 16:20:47 +01:00
b5262ca1e8
Merge remote-tracking branch 'rattoma/deterministic'
2017-03-24 16:20:01 +01:00
e103462050
Merge remote-tracking branch 'rattoma/gsa'
2017-03-24 16:19:44 +01:00
732aa8c30c
Merge remote-tracking branch 'rattoma/slice'
2017-03-24 16:19:04 +01:00
598422931b
reporting: submodule update
2017-03-24 16:16:48 +01:00
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
b8b6228d67
graph_decomp_detail: fix bug, extra argument not referenced
2017-03-24 11:24:14 +01:00
93130ee922
fix bug in WriteShockDecomp2Excel
2017-03-24 10:34:59 +01:00
c467c92d29
shock_decomposition: move fig_names to fig_name (fixing typo)
2017-03-24 10:34:59 +01:00
e5f1d20221
change dyn_figure to take a nodisplay and graph_format arguments as opposed to options_. closes #1415
2017-03-23 17:59:05 +01:00
2aa85f978a
change dyn_figure to take a nodisplay argument as opposed to options_. #1415
2017-03-23 14:30:16 +01:00
afcb8eab35
catch M_ output argument from evaluate_smoother;
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remove unused variable lead_lag_incidence
2017-03-23 08:25:14 +01:00
234aaacf92
factorized display of critical values.
2017-03-23 00:08:05 +01:00
c60379ae96
upgrade call to evaluate_smoother
2017-03-22 23:32:19 +01:00
1db86865f7
better trap missing input arguments
2017-03-22 23:24:41 +01:00
99dbc8c74d
bug fix with redundant call to prior_bounds
2017-03-22 23:08:18 +01:00
b77791c541
ensure invhess is empty with slice for proper prior initialization of chains
2017-03-22 23:06:19 +01:00
780c1f5216
provide userdata with info on actual varlist used
2017-03-22 22:37:59 +01:00
a9dd046db7
fill in end of sample conditional shock decompositions.
2017-03-22 22:30:14 +01:00
76097a799f
Added missing struct2array routine.
2017-03-22 15:20:13 +01:00
ee2c30fd97
Partialm cherry-pick of 28e95d817a181f758dab595d6a14de0ff348bed5
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Give more informations in case of NaN, Inf or non real variables.
Closes PR #1385 .
2017-03-22 14:04:35 +01:00
85fe69b265
Cosmetic change (use logicals).
2017-03-20 11:39:22 +01:00
9abac8ccdb
Store indicator whether smoother was used with loglinear
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Required to keep track of whether estimates were logged. Related to #1407
2017-03-20 11:36:10 +01:00
5424fde74e
metropolis_draw.m: Replace round by ceil to avoid crashes when 0 draws would be used
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(cherry picked from commit 2dc3ad22fdb8fedee7fdd2ed3577978bd8f37324)
2017-03-20 10:19:14 +01:00
94ef60556e
Account for loglinear option when reading in M_.endo_histval
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(cherry picked from commit d088420c21eba397459015b6a957c7eff7eafc36)
2017-03-20 09:37:58 +01:00
6e268c34d4
Cosmetic fixes to dynare_estimation_init.m
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(cherry picked from commit 7ea24165c0a26393753c58170f74fab3f7076b3e)
2017-03-20 09:27:04 +01:00
9427b58bfd
add parameter names to mean file, to ensure same behavior of standard mode files.
2017-03-19 12:19:24 +01:00
389123d0b5
bug fixes.
2017-03-19 12:19:24 +01:00
121333d913
currently, the mode_file specified by the user is re-set to empty. This re-sets mode_file to the user defined value.
2017-03-19 12:19:24 +01:00
b916d788f4
trap cases where both point and posterior estimates are available
2017-03-19 12:19:24 +01:00
a869f5a2c4
Updated m-unit-tests submodule.
2017-03-19 12:15:22 +01:00
2b28ba70d9
Make remote parallel computation compatible with new steadystate and auxiliary variable files
2017-03-18 17:28:44 +01:00
6c21d44968
Fixed encoding.
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For a non identified an enconding issue was leading scatter_plots function to crash...
2017-03-18 16:28:30 +01:00
d1550293bf
bug fix for the rare case where r2 does not change for some observable
2017-03-18 10:27:36 +01:00
576b2d0f85
end-of-line fix
2017-03-18 10:27:36 +01:00
0845aa8430
Fixed header and license of GSA.
2017-03-18 10:27:36 +01:00
a40a854a59
Set copyright for pick.m
2017-03-18 10:27:36 +01:00
0f07d17d8c
Introduced scatter plot analysis of output results, borrowing from by GLUWIN toolbox.
2017-03-18 10:27:36 +01:00
a47f6fc2ca
- save also info on selected endo names
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- bug fix for one single endo variable
- when nograph, no older plot is deleted
2017-03-18 10:27:36 +01:00
0752d6a8e6
Trap incompatible user define options in a more transparent way. Fixes #1016 .
2017-03-18 10:27:36 +01:00
a5a086040b
Bug fixes for latex and to new smooth* files saved by posterior sampler
2017-03-18 10:27:36 +01:00
e71ed1bad6
Partially revert f70f45d1271e716498a8761a8e8476f54da3607d. Do not discard repetitions.
2017-03-18 00:06:15 +01:00
c02de3c652
fixed text to error message
2017-03-18 00:06:15 +01:00
e180e2f075
1) fixed while for b index
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2) ensure there are no repeated draws in sub-draws;
3) speed-up subdraw sampling when all retained draws are used.
2017-03-18 00:06:15 +01:00
20b0fc8bac
update mh_mode with slice and load_mh_file
2017-03-18 00:06:15 +01:00
1e3e2f70a9
set posterior sampler options when load_mh_file
2017-03-18 00:06:15 +01:00
49b45a3ba7
sampler options to be set also when load_mh_file = 1
2017-03-18 00:06:15 +01:00
fd8073720e
For very short chains, maximize the max number of sub_draws across chains
2017-03-18 00:06:15 +01:00
bc6c6fc486
Removed remaining calls or references to cputime.
2017-03-17 22:49:01 +01:00
a68e958cf7
As agreed in #1375 , moved treatment of filtered_vars in dynare_estimation_init.m
2017-03-17 15:43:00 +01:00
4f93c3df15
proper use of varlist in smoothed variables + sort in alphabetic order to find more easily plots for large numbers of variables.
2017-03-17 15:43:00 +01:00
4b2d139c7a
- store oo_.FilteredVariablesKStepAheadVariances only if options_.filter_covariance. this can save a lot of memory for large models
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- oo_.FilteredVariables must be stored independently to a previous MCMC. evaluate_smoother must in any case provide full info in oo_
- options_.filtered_vars does not always imply filtered variables are computed. options_.nk is more robust.
2017-03-17 15:43:00 +01:00
510bbe200e
Bug fix (wrong number of output arguments when calling evaluate_smoother).
2017-03-17 15:09:05 +01:00
0adb065b7e
Bug fix (wrong count of the number of output arguments).
2017-03-17 14:21:53 +01:00
5d8d5e90d8
evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
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Closes #1373
2017-03-17 13:15:39 +01:00
b6a8887da3
Bug fix (missing declaration of freq if initial_date is empty).
2017-03-17 12:42:00 +01:00
6b64c47ec2
Bug fix with stored shock_decomp options
2017-03-17 12:41:59 +01:00
ab21c383a6
Added check for change in options_.nobs, for rolling calls to smoother
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Use select_qz_criterium_value
to fix all cases where the default
options_.qz_criterium = [];
is passed to evaluate_smoother and dataset_ is already set.
qz_criterium also set to fix evaluate_likelihood.m for similar issues
2017-03-17 12:41:59 +01:00
19cc38b39e
allow to start from quarterly growth rate variables
2017-03-17 12:41:59 +01:00
ce6f76713d
cosmetic change
2017-03-17 12:41:59 +01:00
7a6b4f3464
extra option about choosing the time periods for which to plot decompositions
2017-03-17 12:41:59 +01:00
1920fb0bfe
fixed timing bugs in annualized shock decomposition
2017-03-17 12:41:59 +01:00
d7723877cf
bug fixes for annualized nominal variables
2017-03-17 12:41:59 +01:00
ac43beb801
bug fix with 'others' in conditional decomposition
2017-03-17 12:41:59 +01:00
9005054c6f
optional output argument for plot_shock_decomposition.m + several fixes to annualized computations and plots.
2017-03-17 12:41:59 +01:00
39c3cf7718
bug fix with realtime conditional shock decomp
2017-03-17 12:41:59 +01:00
a8107e154a
added new annual aggregation types, for consistent quantity/price aggregations, if required.
2017-03-17 12:41:59 +01:00
cb3362b89d
missing utility for xls export of shock decomps.
2017-03-17 12:41:59 +01:00
5a51e9cc78
fixed zero line in all cases
2017-03-17 12:41:59 +01:00
a50a4f458a
Bug fix: all shock decomp options need to be stored in mydata for uimenu's.
2017-03-17 12:41:59 +01:00
e21c887775
bug fix with steady state option
2017-03-17 12:41:59 +01:00
61d55127ed
Fixed bug with naming of screen option
2017-03-17 12:41:59 +01:00
e7442bcf78
added geometric average.
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Set neutral type names, replacing stock/flow/deflator.
2017-03-17 12:41:59 +01:00
46d6e59c9a
small fix to file names
2017-03-17 12:41:59 +01:00
bfe6d04bf2
- Added the possibility to compute annualized variables and associated decompositions out of quarterly ones, without blowing up variable definitions
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- Fixed call to plot realtime conditional shock decomposition
2017-03-17 12:41:59 +01:00
bb4ecbf5a8
Realtime conditional forecast is better computed as residual from the realtime shock decomposition and the model unconditional forecast
2017-03-17 12:41:59 +01:00
a7ae355e8f
Fixed dating issues in some plot shock decomps
2017-03-17 12:41:59 +01:00
441d34a6ee
Fixed bug with realtime conditional shock decompo
2017-03-17 12:41:59 +01:00
f87e240b30
Some better diversification of fig names and captions
2017-03-17 12:41:59 +01:00
92f79a14f4
Added realtime conditional forecast shock decomposition
2017-03-17 12:41:59 +01:00
3bebeb1832
Legend for detailed plots
2017-03-17 12:41:59 +01:00
3fdf7be6e8
- removed useless internal option fig_mode
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- better captions/figure nsmes
- moved plots to graphs subdir
- fixed latex issuea [label and caption].
2017-03-17 12:41:59 +01:00
10773e2cbb
results of realtime_shock_decomposition.m should be plotted using only plot_shock_decomposition.m, so avoid unexpectable behavior.
2017-03-17 12:41:59 +01:00
d304fd26c1
shock_decomposition.m has to rely on plot_shock_decomposition.m, to make behaviour robust.
2017-03-17 12:41:59 +01:00
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer
Marco Ratto