Sébastien Villemot
b4f8532bea
Merge pull request #441 from JohannesPfeifer/mode_check
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Bugfix for mode_check and display of parameters out of bounds
2013-08-12 03:31:50 -07:00
Stéphane Adjemian (Charybdis)
4052d4ccaf
Cosmetic changes. Use skipline() instead of disp(' ').
2013-07-10 17:12:34 +02:00
Johannes Pfeifer
d9579418fd
Bugfix for correct display of names of parameters outside of bounds
2013-07-06 00:20:07 +02:00
Stéphane Adjemian (Charybdis)
120db8f1ea
Cosmetic changes.
2013-06-24 10:24:55 +02:00
Sébastien Villemot
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
Johannes Pfeifer
dce8e74c33
Fix bug where initial_estimation_checks was performed on prior mean instead of specified mode
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If the mode_file option was used, xparam1 was reloaded from the
mode-file after the initial checks, sometimes leading to very cryptic
errors. Now the initial checks already load the correct parameter
vector.
2013-04-26 21:10:36 +02:00
Sébastien Villemot
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
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Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
Sébastien Villemot
c2c88600a1
More explicit error message when no estimated_params and no smoother
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Closes : #222
2012-10-08 14:42:09 +02:00
Sébastien Villemot
cc26a1d806
Add comment for the use case when there is no estimated_params
2012-10-08 14:32:22 +02:00
Michel Juillard
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
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objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
2012-08-28 12:17:07 +02:00
Marco Ratto
b02303cf69
Force analytic_derivation = 1;
2012-08-21 15:53:02 +02:00
Johannes Pfeifer
b10b2160ed
Made error message if initial parameter values are outside prior bounds more explicit.
2012-07-19 12:30:41 +02:00
Sébastien Villemot
3414d4d468
Fix crash in estimation introduced in 1fb89a07
2012-07-06 09:50:30 +02:00
Marco Ratto
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
Stéphane Adjemian (Charybdis)
1fb89a07e9
Removed global from set_state_space.
2012-07-03 11:29:18 +02:00
Michel Juillard
3ff832ddcc
added test for too large standard deviation in beta distribution;
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cleaned up error messages related to priors; set error trap for
initilial likelihood Nan or complex
2012-06-13 15:47:01 +02:00
Michel Juillard
a39a0b3b67
fixed bug when only variances are estimated, but no deep parameter
2012-06-13 14:08:58 +02:00
Sébastien Villemot
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
Marco Ratto
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
Michel Juillard
e692185c6b
storing oo_.prior.mean oo_.prior.variance
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oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
Michel Juillard
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
Stéphane Adjemian (Charybdis)
978f29f59d
Added missing field in bayestopt_ (restrict_var_list, indices for the state and observed variables).
2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis)
f798118902
Updated test on options_.order (current version can estimate dsge models with non linear filters considering a second order approximation of the model).
2012-03-04 22:12:59 +01:00
Ferhat
09a3f3a084
Updates M_params only if estim_params_ has a field param_vals (not the case for a kalman_smoother)
2012-02-17 10:36:21 +01:00
Michel Juillard
ad2a3a7ecc
fixing problem in computation of initial posterior density when steady
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state model is provided by the user
2011-12-15 17:35:27 +01:00
Ferhat Mihoubi
244e0ffb14
Corrects a minor bug related to a matrix transposition
2011-11-25 13:07:50 +01:00
Michel Juillard
e4c803d0db
fixed issues with estimation of non-stationary models. Option lik_init=2
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is contradictory with diffuse_filter or unit_root_variables
declaration. Models with non-stationary variables, but only stationary
observed variables need diffuse_filter option and make a useless call
to kalman_filter_d (this seems better than trying to distinguish these
rare cases)
2011-11-21 12:39:02 +01:00
Stéphane Adjemian (Charybdis)
bcf7e88217
Do not plot the priors if option nograph is used.
2011-11-14 17:56:27 +01:00
Michel Juillard
f0efbee26d
adding short circuit operator
2011-11-02 18:34:53 +01:00
Michel Juillard
b4e7e55031
fixing bug with univariate filter
2011-11-02 17:54:48 +01:00
Michel Juillard
9ac3e7a582
fixing bug when estimating models with a steady state different from
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zero. Introduced in commit bd00dc11d8
2011-11-01 18:23:12 +01:00
Michel Juillard
bd00dc11d8
removing 8th output argument of dynare_estimation_init and
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corresponding seemingly useless code
2011-10-21 22:09:45 +02:00
Michel Juillard
7e3225680f
fixing logic flaw in setting lik_init as a function of diffuse filter or kalman_algo
2011-10-21 14:21:40 +02:00
Sébastien Villemot
ddc029394c
Clean-up last remnants of unit_root_vars ( Closes : #167 )
2011-10-14 16:22:47 +02:00
Marco Ratto
c6a9650d20
Adapt identification routines after new dynare estimation commits.
2011-09-28 20:48:47 +02:00
Stéphane Adjemian (Charybdis)
f1ffeb29bb
Correction of the previous commit ( 3412d5e20a
). Set options_.lik_init=3 if lik_init==1 and unit_root_vars
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keyword appears in the mod file.
2011-09-21 19:05:34 +02:00
Stéphane Adjemian (Charybdis)
3412d5e20a
Bug fix. Do not override option lik_init (declared in the estimation command) if unit_root_vars
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keyword is present in the mod file, by forcing options_.lik_init to be equal to 3 (diffuse kalman
filter).
2011-09-21 18:54:11 +02:00
Michel Juillard
b04738b36f
resetting options_.nobs following previous change
2011-09-18 14:49:43 +02:00
Michel Juillard
80c69c404b
Revert "added default options_.nobs = []; reset options_.nobs after call to"
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This reverts commit 8dc6b78dde
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2011-09-18 14:37:29 +02:00
Michel Juillard
8dc6b78dde
added default options_.nobs = []; reset options_.nobs after call to
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intialize_dataset()
2011-09-18 12:00:11 +02:00
Stéphane Adjemian (Scylla)
e9764d0538
Use a structure for the dataset. Bug fixes.
2011-09-17 15:38:49 +02:00
Stéphane Adjemian (Charybdis)
322adb92a5
Removed global from prior_bounds. Added texinfo header.
2011-09-14 23:41:37 +02:00
Ferhat Mihoubi
1317e04c28
block option needs a specific index for the kalman smoother
2011-06-21 13:23:06 +02:00
Ferhat Mihoubi
3459b08c53
- Corrects the first order approximation of block-decomposed models
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- The block-decomposed models can now be estimated
2011-06-18 17:43:45 +02:00
Michel Juillard
85989df0e1
estimation initialization: minor bug correction when filtered_vars is requested
2011-06-08 22:06:41 +02:00
Stéphane Adjemian (Sedna)
91eb466369
Added an error message when a variable is declared as oibserved more than once.
2011-05-06 15:54:40 +02:00
Marco Ratto
179662baca
skipped useless call to initial checks when nargout>3.
2011-03-18 10:55:48 +01:00
Marco Ratto
b7133ebeb5
Fixed bugs related to global sensitivity analysis.
2011-02-25 09:27:33 +01:00
ratto
8619ec7835
Fixed bug related to dname
2011-02-22 10:12:37 +01:00
Michel Juillard
aafa328362
updating dynare_estimation_init.m and using it in dynare_estimation_1.m. Required for GSA.
2011-02-21 11:22:47 +01:00