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
1fb89a07e9
Removed global from set_state_space.
2012-07-03 11:29:18 +02:00
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
a39a0b3b67
fixed bug when only variances are estimated, but no deep parameter
2012-06-13 14:08:58 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
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
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
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
978f29f59d
Added missing field in bayestopt_ (restrict_var_list, indices for the state and observed variables).
2012-03-04 22:12:59 +01:00
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
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
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
244e0ffb14
Corrects a minor bug related to a matrix transposition
2011-11-25 13:07:50 +01:00
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
bcf7e88217
Do not plot the priors if option nograph is used.
2011-11-14 17:56:27 +01:00
f0efbee26d
adding short circuit operator
2011-11-02 18:34:53 +01:00
b4e7e55031
fixing bug with univariate filter
2011-11-02 17:54:48 +01:00
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
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
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
ddc029394c
Clean-up last remnants of unit_root_vars ( Closes : #167 )
2011-10-14 16:22:47 +02:00
c6a9650d20
Adapt identification routines after new dynare estimation commits.
2011-09-28 20:48:47 +02:00
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
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
b04738b36f
resetting options_.nobs following previous change
2011-09-18 14:49:43 +02:00
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
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
e9764d0538
Use a structure for the dataset. Bug fixes.
2011-09-17 15:38:49 +02:00
322adb92a5
Removed global from prior_bounds. Added texinfo header.
2011-09-14 23:41:37 +02:00
1317e04c28
block option needs a specific index for the kalman smoother
2011-06-21 13:23:06 +02:00
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
85989df0e1
estimation initialization: minor bug correction when filtered_vars is requested
2011-06-08 22:06:41 +02:00
91eb466369
Added an error message when a variable is declared as oibserved more than once.
2011-05-06 15:54:40 +02:00
179662baca
skipped useless call to initial checks when nargout>3.
2011-03-18 10:55:48 +01:00
b7133ebeb5
Fixed bugs related to global sensitivity analysis.
2011-02-25 09:27:33 +01:00
8619ec7835
Fixed bug related to dname
2011-02-22 10:12:37 +01:00
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
8a0dabd07d
use || and && as opposed to | and & where appropriate
2011-02-16 15:14:38 +01:00
55399a5dc5
Compatibility fix for Octave: under Octave, union() called on a column vector and a scalar returns a row vector, hence the need to add the 'rows' option
2011-01-24 15:34:02 -05:00
3aaccc59e3
Changes related to the new interface for the dsge-var models.
2010-06-24 12:53:10 +02:00
1be52aaa5f
Beautification: removed tabulation characters which were left in previous beautification pass
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-05 10:46:10 +00:00
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
98ac3091c9
Added a vector of indices for the state variables in the restricted state vector (bayestopt_.mf0).
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3132 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-06 14:03:50 +00:00
d5a1a025d9
redo code for recursive estimation
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corrected bugs with option prefilter, bayestopt_.mean_varobs is now a column vector
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2369 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-22 21:34:15 +00:00
a02e66e12c
Updated the call to set_prior with M_ and options_ inputs
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2254 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-11-12 13:13:24 +00:00
70acbdb89f
Removed a useless global (dsge_prior_weight)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2002 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-25 21:17:25 +00:00
9f5beff89e
v4 matlab: fixed remaining copyright headers (those files which are in the CR+LF endline convention)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1975 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-08-01 13:08:13 +00:00
d0b87d6c32
corrections to optimal policy code required by making M_, options_, oo_ and it_ local
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1914 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-07-02 07:42:50 +00:00
e08cad8265
v4: merged Octave branch into trunk
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1899 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-24 18:20:48 +00:00
fa664b73c4
trap for sensitivity analysis and empty datafile
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1796 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-04-14 09:00:24 +00:00
74fb4a04c5
v4: fixing initvalf
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1795 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-04-14 07:22:10 +00:00
Marco Ratto
Stéphane Adjemian (Charybdis)
Michel Juillard
Sébastien Villemot
Ferhat
Michel Juillard
Houtan Bastani
Stéphane Adjemian (Scylla)
sebastien
stepan
michel
ratto
adjemian