e66a1a63f8
local_state_space_iteration_2 MEX: enable parallelization by default
2021-10-20 15:33:04 +02:00
1ad2680682
Fixes the evaluate_planner_objective routine Deals properly with the output provided by disp_th_moments
2021-10-18 17:08:28 +02:00
226ed712bd
Documentation: add missing author
2021-10-17 15:11:52 +02:00
c1483b4c61
Restore backward-compatibility when using load_mh_file
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estim_params_ needs to be saved following 6e06acc7
2021-10-13 18:01:15 +02:00
f9a550651d
Merge branch 'k_order_fix' into 'master'
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k_order_simulation bug: fixes simulations and adds/corrects integration test
Closes #1819
See merge request Dynare/dynare!1940
2021-10-12 15:34:29 +00:00
d5141ced42
simult_.m: remove redundant first simulation period for k_order_simulations
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1819
2021-10-12 15:20:26 +02:00
eca7a25891
Merge branch 'lnsrch_display' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1943
2021-10-12 14:09:10 +02:00
b9576cc2b7
Merge branch 'resid_ramsey' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1942
2021-10-12 14:08:51 +02:00
2f35bae7da
lnsrch1.m: prettify output
2021-10-11 20:06:09 +02:00
37fbf5b665
resid.m: fix display when used together with optimal policy
2021-10-11 18:04:47 +02:00
ebe81eb6c9
display_problematic_vars_Jacobian.m: fix display when auxiliary equations outside of Ramsey are present
2021-10-11 17:45:03 +02:00
d9ca83f317
Fix some files which were not UTF-8 encoded
2021-10-01 18:38:26 +02:00
236c69dac4
Testsuite: increase tolerance (again) in unitary tests for prior_draw.m
2021-10-01 17:39:57 +02:00
67713f555a
Merge branch 'model_diagnostics_loglinear' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1938
2021-09-28 18:23:37 +02:00
e2a11a1a51
Reporting: fix crash when xrange argument of addGraph() is missing
2021-09-28 18:21:14 +02:00
fbd4fa7f3d
model_diagnostics.m: fix compatibility with loglinear option
2021-09-28 09:35:27 +02:00
7e47713ae5
CI: bump to MATLAB R2021b
2021-09-24 16:43:30 +02:00
6669e55b97
Provisions for MATLAB R2021b
2021-09-24 16:43:30 +02:00
24c4e86a95
Merge branch 'thread_bug' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1935
2021-09-23 16:44:38 +02:00
f7149d60cc
NLS estimation: workaround for Octave random failure to read the generated ssr_*.m file
2021-09-23 16:21:25 +02:00
5f27d2e469
set_dynare_threads.m: fix naming bug
2021-09-23 12:48:08 +02:00
c320af2cd0
Merge branch 'mh_mode' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1932
2021-09-22 16:24:39 +02:00
6abc984d5e
Fix mh_posterior_mode_estimation option
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1044
2021-09-22 10:00:47 +02:00
e754ec158c
stab_map_.m: move saved file to subfolder´
2021-09-21 17:25:35 +02:00
725fa79bbc
model_info.m: improve output display
2021-09-21 17:25:35 +02:00
b60607a5b3
Fix spurious warning at startup under Octave about +pac/+bgp/{get,set}.m
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This is a workaround for Octave bug 46849. It complements commit
4c0b2e8c4eCloses : #1817
2021-09-21 15:19:06 +02:00
82d0b1caf4
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1930
2021-09-17 17:00:08 +02:00
7d4bb9ea44
Merge branch 'state_var_backwards' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1928
2021-09-17 16:57:16 +02:00
b74c37d5e4
One last Octave compatibility fix
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Closes : #1749
2021-09-17 15:22:07 +02:00
2dd6510051
smoother2histval.m: undo logging
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1407
2021-09-17 14:43:50 +02:00
62e80b0c07
smoother2histval.m: also set M_.exo_histval
2021-09-17 14:42:44 +02:00
489e6684e9
smoother2histval.m: fix initialization and dimensions
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1775
2021-09-17 13:58:06 +02:00
57bbec1f72
stochastic_solvers.m: set dr.state_var for purely backwards models at order=1
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Subsequent codes may need it. Closes https://git.dynare.org/Dynare/dynare/-/issues/1703
2021-09-16 20:44:14 +02:00
49a396030b
Yet another batch of Octave compatibility fixes
2021-09-16 18:25:00 +02:00
240d82e64a
Fix typo
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[skip ci]
2021-09-16 16:23:20 +02:00
79ee6a5565
dyn_waitbar_close.m: fix closing of waitbars under Octave
2021-09-16 10:40:00 +02:00
5a21b11d77
Merge branch 'print_model_info' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1922
2021-09-15 18:35:50 +02:00
ff06b9ad10
More Octave compatibility fixes
2021-09-15 18:35:30 +02:00
f164750a91
Old MATLAB compatibility fix
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This is a partial revert of 4346903c65
2021-09-15 17:37:08 +02:00
58ee240048
Clarify auxiliary variable types
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Related to https://git.dynare.org/Dynare/dynare/-/issues/1811
2021-09-15 16:10:58 +02:00
966234b044
model_info.m: add non-block info
2021-09-15 16:10:43 +02:00
Stéphane Adjemian (Ryûk)
13c6cf86ce
Cosmetic change (code factorization).
2021-09-15 13:45:39 +02:00
Stéphane Adjemian (Ryûk)
32b8d6c72a
Remove unnecessary condition.
2021-09-15 13:45:39 +02:00
Stéphane Adjemian (Ryûk)
60c8ed1948
Fix bug, pac.bgp.set should also work with exogenous variables.
2021-09-15 13:45:39 +02:00
809d313b7e
Merge branch 'planner_matlab_2014' into 'master'
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evaluate_planner_objective.m: compatibility fix for older Matlab versions
See merge request Dynare/dynare!1924
2021-09-15 11:34:09 +00:00
85a5a5633c
evaluate_planner_objective.m: compatibility fix for older Matlab versions
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Use single quotes
2021-09-14 19:35:42 +02:00
4346903c65
Various Octave compatibility issues
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Also improve on e42cf2e5b4
2021-09-14 17:55:55 +02:00
334020fc46
evaluate_planner_objective.m: fix wrong timing in setting of shocks
2021-09-11 09:44:36 +02:00
0d483ff85f
evaluate_planner_objective.m: Factorize setting of initial condition
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also takes care of initially set shocks
2021-09-11 09:44:35 +02:00
acdad93822
Fixing the regression in behavior in evaluate_planner_objective (Ref: #1680 )
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- evaluate_planner_objective now returns conditional welfare depending on the initial value of the Lagrange multipliers when it is suitable to do so
- histval blocks are no longer ignored
2021-09-11 09:44:35 +02:00
ee0a4eb001
Reporting: fix detection of pdflatex on Debian Bookworm
2021-09-09 11:30:04 +02:00
d54f2dd609
dseries submodule update
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— fix detection of x13as on Debian bookworm/sid
— add ability to use self-compiled x13as on macOS
— add ISO 8601 weeks
— generalize isleapyear routine for vector of integers
2021-09-09 11:03:35 +02:00
e42cf2e5b4
Various MATLAB R2014a compatibility fixes
2021-09-08 14:15:49 +02:00
Stéphane Adjemian (Charybdis)
f1bf12c601
Apply patch from d440b7082 for (VAR based) expectations in PAC.
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Fix the computation of h1 and h0 if the auxiliary model (VAR) has a constant.
2021-09-07 18:39:52 +02:00
Stéphane Adjemian (Ryûk)
d440b70820
Fix var expectation weights when auxiliary model has a constant.
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Increment index variables_id_in_var if constant is present in VAR model (first position in the Companion representation)..
2021-09-07 00:36:34 +02:00
Stéphane Adjemian (Ryûk)
4cf1a358ee
Fix growth neutrality correction in PAC/MCE equation.
2021-09-01 11:27:42 +02:00
Stéphane Adjemian (Ryûk)
380fd84cb3
Fix NLS estimation routine.
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Closes #1798
2021-09-01 10:37:17 +02:00
7c0af1ce48
Merge branch 'gsa' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1920
2021-08-31 13:52:20 +02:00
757c0dd4cb
Merge branch 'k_order_simult' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1914
2021-08-31 13:51:43 +02:00
cba00755b1
stab_map_2.m: Only do skipline if actual printing happens
2021-08-31 11:13:37 +02:00
54203f499e
dynare_sensitivity.m: fix dead link
2021-08-31 11:13:02 +02:00
a2c60dba11
simult_.m: simulate user-requested order with k_order_solver
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Also prevent inconsistent simulations
2021-08-30 19:36:51 +02:00
55850f465d
Merge branch 'noconstant' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1916
2021-08-30 16:37:55 +02:00
b8a9dae60a
Merge branch 'mode_check' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1915
2021-08-30 16:36:57 +02:00
f60043768b
Merge branch 'lyap' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1913
Closes : #1078
2021-08-30 16:16:27 +02:00
d6483ef3f8
Merge branch 'mom_namespace' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1903
2021-08-30 16:13:29 +02:00
83ea804fcc
estimation: remove invalid check for presence of constant
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a zero steady state is a local property depending on the parameter vector; if initial evaluation to true, the constant was ignored
2021-08-20 13:31:48 +02:00
459fce927b
mode_check.m: take care of almost binding bounds
2021-08-20 13:29:37 +02:00
58b336b263
mode_check.m: fix logical condition that may otherwise lead to 0 size of interval
2021-08-20 13:09:06 +02:00
Stéphane Adjemian (Charybdis)
d3678edbbe
Add try/catch block (cherry-picking failures).
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Close and delete generated file if cherry picking fails for any reason.
2021-08-19 13:03:44 +02:00
f273c09e71
lyapunov_solver.m: make baseline compatible with sparse matrices
2021-08-19 11:16:24 +02:00
Stéphane Adjemian
8228a32d5c
Merge branch 'block_fixes' into 'master'
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Fix two bugs for block decomposed models
See merge request Dynare/dynare!1911
2021-08-17 17:18:18 +00:00
Stéphane Adjemian
8ae7b23843
Merge branch 'occbin_output' into 'master'
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Occbin: remove redundant output
See merge request Dynare/dynare!1910
2021-08-17 17:15:07 +00:00
5e29a6082f
dr_block.m: make sure zx has correct dimensions if no initval is present
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Also do earlier check for loglinear option
2021-08-17 14:26:28 +02:00
60bf0fd387
block_kalman_filter: request missing output argument
2021-08-17 14:25:31 +02:00
a27bc872ad
execute_prior_posterior_function.m: move error in correct, transform error into warning
2021-08-17 11:06:01 +02:00
0b491b3b09
Estimation: fix header column widths in display of results
2021-08-17 10:57:53 +02:00
e944b783b9
method_of_moments: move to separate namespace
2021-08-16 14:08:31 +02:00
341aca25ad
Liu West: Remove redundant option
2021-08-16 12:34:10 +02:00
bfd92e79a7
Occbin: udpate options
2021-08-16 11:37:53 +02:00
Stéphane Adjemian (Charybdis)
1c54eb21d2
Cosmetic change (remove trailing spaces).
2021-08-16 11:19:28 +02:00
a5995aec03
MoM: Check availability of optim toolbox for default mode_compute
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lsqnonlin is an optimization algorithm that is specifically well suited for minimizing quadratic objectives, so I would like to have it as default. However, we fallback to csminwel if the optimization toolbox for Matlab or optim for Octave are not available.
2021-08-16 10:58:35 +02:00
31f3bfa3d0
MoM: Changed some defaults and cosmetical changes
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//wip
2021-08-16 10:58:35 +02:00
fdba1170ae
MoM: Refactor check for duplicate moments, fix display of results
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As we have a working interface now, this commit improves the provisional handling of finding duplicate moments. Previously, indices for GMM were created, but this is not really needed. This commit cleans this up and similar to SMM makes use of the matched_moments block.
As a by-product of the previous provisonal handling higher-order moments for SMM where not correctly displayed as no labels were created. This is now fixed. The comparison of data moments and estimated model moments is also in the same ordering as the inputed orthogonality conditions in matched_moments.
Signed-off-by: Willi Mutschler <willi@mutschler.eu>
2021-08-16 10:58:35 +02:00
3c02d0c5b0
Occbin: remove redundant output
2021-08-10 13:54:59 +02:00
Stéphane Adjemian (Ryûk)
ebfa72740f
Changed default for initial step bound factor.
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Should fix simulation failure in pac/trend-component-10/example1, that
seems to be caused by a too large value of this parameter.
2021-07-24 12:20:29 +02:00
Stéphane Adjemian (Ryûk)
873a9b1a38
Fix call to solve1 routine.
2021-07-23 22:16:43 +02:00
Stéphane Adjemian (Ryûk)
993872d5af
Update dseries submodule (track master branch).
2021-07-23 20:39:00 +02:00
Stéphane Adjemian (Ryûk)
0d092a36a0
Acknowledge option trust_region_initial_step_bound_factor in matlab based trust_region routine.
2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk)
e72dde69d3
Add option for trust region algorithm (mex).
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trust_region_initial_step_bound_factor is determinining thye initial
step bound. Default value is 100 (previous hard coded value was 1).
2021-07-23 19:44:16 +02:00
b34be496c5
Merge branch 'evaluate_planner' into 'master'
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evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
See merge request Dynare/dynare!1890
2021-07-23 14:01:22 +00:00
440a0e460b
Storage of results: use subfolder
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Ref. #1758
2021-07-23 14:12:17 +02:00
e09d215964
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight
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Also cosmetic changes to indentation
2021-07-23 13:27:30 +02:00
3d5601caec
check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1792
2021-07-23 11:25:43 +02:00
41814becf1
Merge branch 'moments_varendo' into 'master'
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dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...
Closes #1769
See merge request Dynare/dynare!1888
2021-07-22 16:25:01 +00:00
4d43e1850d
dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance: only do computations once
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1769
2021-07-22 17:03:27 +02:00
3206ea9684
Merge branch 'evaluate_planner_objective' into 'master'
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Streamline evaluate planner objective
See merge request Dynare/dynare!1887
2021-07-22 14:42:22 +00:00
11c75592fb
evaluate_planner_objective.m: compute required moments directly
2021-07-22 15:01:15 +02:00
8b8f919a0f
Merge branch 'smoother2histval' into 'master'
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Improvements for smoother2histval
See merge request Dynare/dynare!1886
2021-07-22 12:03:59 +00:00
3fb41e075f
Matlab implementation of the consider_all_endogenous_and_auxiliary option
2021-07-22 13:12:27 +02:00
a04c348d73
smoother2histval.m: provide warning when smoothed variables are missing
2021-07-22 12:22:18 +02:00
0e793faeb2
Merge branch 'pf_options' into 'master'
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Particle filter: enable passing of option values and prepare for other samplers
Closes preprocessor#59
See merge request Dynare/dynare!1884
2021-07-22 09:50:10 +00:00
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
dc45ac6361
Merge branch 'master' into 'master'
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occbin fixes and two small new features
See merge request Dynare/dynare!1883
2021-07-21 18:21:16 +00:00
4caebd76c9
added 2 new occbin.simul options (defaults preserve current behavior):
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1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
2021-07-21 18:03:23 +02:00
Stéphane Adjemian (Ryûk)
cd2ed823b6
Fix constant in VAR and PAC expectations...
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When the VAR auxiliary model has a constant.
2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk)
a69f68bb7c
Modify companion matrix if VAR model has a constant.
2021-07-21 18:02:04 +02:00
ebdfcc80ec
fixed bug introduced in 229282a1c4
2021-07-21 17:59:01 +02:00
c48f737633
make header names compatible with earlier versions of MATLAB (e.g. it would crash with MATLAB 2017b)
2021-07-21 17:51:05 +02:00
85e35b1654
1) if not using relaxation, initial guess regime in verify step(occbin simul) is set equal to the guess regime used to updated states and shocks
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2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
2021-07-21 17:51:03 +02:00
d3e5e7b8ef
Initialize state space matrices with occbin smoother, when realtime regimes are computed, otherwise they are set to 0 for t<first_period_occbin_update!
2021-07-21 17:51:00 +02:00
bec52fe731
with occbin smoother do not overwrite updated variables that have been already computed with reduced state space
2021-07-21 17:50:58 +02:00
4c94da514e
CI: bump to Octave 6.3.0
2021-07-21 17:29:12 +02:00
1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1882
2021-07-21 16:42:00 +02:00
a142907e44
Particles / Alternative samplers: header fixes and indentation
2021-07-21 16:37:56 +02:00
944bf2b68e
occbin: work with non-demeaned data and in constraints
2021-07-21 13:42:38 +02:00
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
d5c35e3664
Occbin: fix function header
2021-07-19 15:30:54 +02:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
Stéphane Adjemian (Ryûk)
54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations.
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Ref. #1785
Just add option `structural` to the `var_model` command.
2021-07-16 10:25:18 +02:00
Stéphane Adjemian (Ryûk)
1d60c271d7
Add trap if equation has leads.
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NLS estimation does not work if the equation has expected variables.
2021-07-15 17:36:02 +02:00
Stéphane Adjemian (Ryûk)
4b7a0ee29e
Change definition of islaggedvariables.
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Previous definition could detect lags in an equation without any lag, for
instance if we have the following expression in the RHS: +(-1)*x.
2021-07-15 17:31:55 +02:00
Stéphane Adjemian (Ryûk)
14bc82b287
Add single equation estimation by NLS.
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Ref. #1798 .
See example in tests/estimation/example_nls.mod.
2021-07-15 16:55:49 +02:00
b2c6a6f7a1
initial_estimation_checks.m: error out if data is complex
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Prevents cryptic message that likelihood became complex
2021-07-14 19:30:50 +02:00
Stéphane Adjemian (Ryûk)
2b4572affd
Allow arbitrary nonzero mean exogenous variables in PAC equations.
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Previously any nonzero mean exogenous variable had to be centered on
the growth rate (first difference) of the (PAC's LHS) endogenous
variable.
2021-07-11 17:06:53 +02:00
Stéphane Adjemian (Ryûk)
d9298ca03a
Bug fix, wrong definition of the growth neutrality correction...
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In PAC equations with optimizing and rule of thumb agents (division
by lambda was missing). Also add comments.
2021-07-11 17:06:53 +02:00
abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands
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These command solve the problem where agents think they know perfectly the
future (they behave as in perfect foresight), but make expectation errors.
Hence they can potentially be surprised in every period, and their expectations
about the future (incl. the final steady state) may change.
Currently the sequence of information sets needs to be passed through a CSV
file. Another interface may be added in the future.
The algorithm uses a sequence of (true) perfect foresight simulations (not
necessarily as many as there are periods, because if the information set does
not change between two periods, there is no need to do a new computation).
There are two possibilities for guess values:
— the default is to use the initial steady state for the simulation using the
first-period information set; then use previously simulated values as guess
values
— alternatively, with the terminal_steady_state_as_guess_value option, use the
terminal steady state as guess value for all future periods (this is actually
what the “true” perfect foresight solver does by default)
2021-07-09 18:16:46 +02:00
Stéphane Adjemian (Ryûk)
fe63082c42
Add lagged information set in VAR based expectations.
2021-07-06 23:06:46 +02:00
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
43607acf38
Merge branch 'resolveheader' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1875
2021-06-16 17:41:40 +02:00
18a172bd45
Merge branch 'mcp_ramsey' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1874
2021-06-16 17:41:40 +02:00
820df39ff7
Compatibility fix for MATLAB < R2019b
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MATLAB < R2019b does not accept “bar(1, [2 3])”.
2021-06-16 17:41:40 +02:00
1d10659b59
get_complementarity_conditions.m: fix equation numbering with ramsey_model
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M_.equation_tags already contains the correct equation number
2021-06-16 13:21:49 +02:00
32e1f34579
dynare_resolve.m: correct header and change naming of globals
2021-06-16 13:17:29 +02:00
Stéphane Adjemian (Ryuk)
8611143409
Updated particles submodule (fix for the online filter).
2021-06-15 22:09:35 +02:00
3d27672c58
kth-order approximation of conditional welfare
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Partially addresses issue #1680 :
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
2021-06-15 15:04:31 +02:00
Stéphane Adjemian (Ryuk)
edeb7911f3
Fix bug (initial period in extended path).
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extended_path was crashing in preceeded by a call to the set_time command.
2021-06-15 14:24:38 +02:00
be38866487
Fix handling of heteroskedastic_shocks block with several declared periods
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Closes : #1791
2021-06-15 12:54:54 +02:00
e5b51f3257
DsgeSmoother.m: header cosmetics
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[skip CI]
2021-06-15 11:16:41 +02:00
6258699060
Merge branch 'disclyap' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1872
2021-06-14 15:29:01 +02:00
68bca0cd2a
Merge branch 'pruned_state_space' into 'master'
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pruned_state_space: handle shocks with 0 variances
See merge request Dynare/dynare!1871
2021-06-14 10:37:45 +00:00
e8c3758fc7
disclyap_fast.m: fix check for convergence with NaN
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[skip CI]
2021-06-11 14:22:10 +02:00
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
45933779a4
Merge branch 'simult_' into 'master'
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simult_.m: fix error message at order>3
See merge request Dynare/dynare!1870
2021-06-10 15:24:45 +00:00
907066ae95
simult_.m: fix error message at order>3
2021-06-10 14:40:19 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
4733d97ceb
dseries: fix concatenation with empty dates objects
2021-06-09 17:33:25 +02:00
04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1869
2021-06-09 14:41:03 +02:00
f38a1edaee
posterior_sampler.m: trap case where record.ProposalCovariance is not filled (slice sampler)
2021-06-08 21:03:08 +02:00
e546d686eb
dynare_solve.m: allow calling function directly
2021-06-04 21:24:53 +02:00
4e0f2bf695
dynare_solve.m: have csolve honor selected options
2021-06-02 16:21:16 +02:00
f4c0781f45
calibrate_mh_scale_parameter.m: Expand header
2021-06-01 11:34:39 +02:00
f51a57374a
mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur.
2021-06-01 11:23:07 +02:00
fad86785da
evaluate_planner_objective.m: do not evaluate non-existing terms for linear models
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1781
2021-05-28 17:00:44 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
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Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
5ab724d38f
Following a change in the calling sequence. Fixes #1789
2021-05-28 13:49:58 +02:00
Stéphane Adjemian
77612e6bb7
Merge branch 'particle' into 'master'
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non_linear_dsge_likelihood.m: filter out explosive initial simulation
See merge request Dynare/dynare!1861
2021-05-28 11:42:24 +00:00
f97c138685
sim1_purely_backward.m: for purely static model, do not use past value for first iteration
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Index 0 does not exist.
2021-05-27 22:37:45 +02:00
cac6f82e34
non_linear_dsge_likelihood.m: filter out explosive initial simulation
2021-05-27 21:04:35 +02:00
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
7541b1b116
prior_draw.m: cosmetic fix
2021-05-27 16:46:40 +02:00
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
2021-05-27 16:46:28 +02:00
ae574fff78
Merge branch 'diagnostics' into 'master'
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model_diagnostics.m: only provide message if imaginary component reaches tolerance level
See merge request Dynare/dynare!1855
2021-05-27 14:23:55 +00:00
Stéphane Adjemian (Charybdis)
3e7cd877d3
Fix error message consistently with 2743ca8fd.
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[skip ci]
2021-05-26 19:11:01 +02:00
Stéphane Adjemian (Charybdis)
2743ca8fdb
Fix workspace if dynare is called from a function.
2021-05-26 19:07:44 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
ba3522a9ba
Merge branch 'compute_decision_rules' into 'master'
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Use of the compute_decision_rules function to factorize code
See merge request Dynare/dynare!1856
2021-05-25 16:18:43 +00:00
9c6cc04b0d
Use of the compute_decision_rules function to factorize code (Ref.#1173)
2021-05-20 11:36:29 +02:00
7e72b52677
model_diagnostics.m: only provide message if imaginary component reaches tolerance level
2021-05-20 11:23:48 +02:00
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
7d4b01883d
get_identification_jacobians.m: remove unnecessary reordering of equations
2021-05-14 13:35:01 +02:00
c8bc12ab6c
forcst.m: fix case with measurement error
2021-05-12 17:44:35 +02:00
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
cc045caa6f
loglinear: Take care of non-logged lagged/leaded exogenous variables
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Closes : #1783
2021-05-11 17:47:25 +02:00
5a2fbe2f89
dynare.m: remove non-working line feed
2021-05-11 14:24:02 +02:00
bdb743eaa7
Merge branch 'rattoma/dynare-fast_realtime_shock_decomp'
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Closes !1842
2021-05-10 15:55:28 +02:00
2d39991a0a
allow for a more accurate (and more expensive) fast realtime modality, triggered by fast_realtime=INTEGER_VECTOR and where vector fast_realtime controls periods for which the smoother is run. If max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual updated accordingly.
2021-05-10 15:55:03 +02:00
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
088fd64114
Merge branch 'rattoma/dynare-smoother_fixes'
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Ref. !1847
2021-05-07 16:35:36 +02:00
551917581f
Bug fixes in fitered variances of smoother
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- kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
- kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
2021-05-07 16:34:53 +02:00
d43a057af3
store_smoother_results: fix header explanation of output arguments
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Variances are now in declaration order.
2021-05-07 16:34:35 +02:00
ca43df16e0
Merge branch 'dot_error' into 'master'
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Filter out "Dot indexing is not supported for variables of this type." error...
See merge request Dynare/dynare!1846
2021-05-06 14:49:39 +00:00
58db4a4c21
Merge branch 'rattoma/dynare-parallel_without_psexec'
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Ref. !1843
2021-05-06 16:31:15 +02:00
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
f43ee91ed8
Filter out "Dot indexing is not supported for variables of this type." error if variable conflicts with namespace
2021-05-06 10:59:19 +02:00
f9fb3bb386
Octave compatibility fix: xlswrite() from the io package does not return a 2nd output
2021-05-05 15:47:14 +02:00
96ad0fbec5
SUR / pooled OLS: workaround for Octave bug in dbstack(N)
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See https://savannah.gnu.org/bugs/?60531
By the way, also add a safety check in pooled OLS for the case where the
function is directly called from the top-level.
2021-05-05 15:27:15 +02:00
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
0a7d60e7a6
Stochastic solution under block decomposition: minor simplification
2021-05-04 16:33:15 +02:00
f617631b68
Merge branch 'mode_compute6' into 'master'
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gmhmaxlik.m: show mode value in addition to change in mode
See merge request Dynare/dynare!1845
2021-05-04 09:12:27 +00:00
9a4bbfef09
gmhmaxlik.m: show mode value in addition to change in mode
2021-05-03 20:33:21 +02:00
1e4d2f5aef
dseries: fix double() method for dates at yearly frequenc
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Ref. dseries#47
2021-05-03 15:03:42 +02:00
ec28179043
Perfect foresight: add warning when lmmcp and linear option are used together
2021-04-20 16:53:54 +02:00
0cef790498
Preprocessor: fix treatment of “series” option of “initval_file”
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As a consequence, adapt histval_initvalf.m to the new format.
2021-04-20 10:44:18 +02:00
Stéphane Adjemian (Charybdis)
6fe97182da
Deactivate unit tests for gamrnd if statistical toolbox is available.
2021-04-09 12:44:59 +02:00
Stéphane Adjemian (Charybdis)
237aa465d2
Fix precision in perfect_foresight_solver for backward models.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
a03b65bab7
Honour option solve_algo with backward models in perfect_foresight_solver.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
8683790927
Throw error if solve_algo={12,14} is used without JSON output.
2021-04-08 20:31:40 +02:00
d5c8e8115e
Preprocessor update
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— Properly escape some characters in JSON. As a consequence, remove the
workaround that was in matlab/loadjson_.m
— Fix JSON output for load_params_and_steady_state
— Add maximum lead/lag and varobs to JSON output
2021-04-08 14:51:49 +02:00
Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
3c11ee9581
posterior_sampler.m: make sure proposal density fields are set in parallel
2021-03-25 17:11:48 +01:00
a42a9fff75
Merge branch 'foresight_debug' into 'master'
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perfect foresight: provide debugging information for singular Jacobian
Closes #1732
See merge request Dynare/dynare!1834
2021-03-22 09:41:24 +00:00
baa6c8dbbd
Provisions for MATLAB R2021a
2021-03-17 17:47:27 +01:00
b5a4c0695f
perfect foresight: provide debugging information for singular Jacobian
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1732
2021-03-17 15:02:30 +01:00
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Stéphane Adjemian (Charybdis)
3859ea0de0
Fix read_key_value_string if commas are followed by spaces.
2021-02-26 17:50:47 +01:00
Stéphane Adjemian (Charybdis)
6752426809
Bug fixes in particles submodule.
2021-02-26 10:40:37 +01:00
Stéphane Adjemian (Charybdis)
9e37e07075
Updated dseries submodule (time aggregation routines).
2021-02-26 09:44:24 +01:00
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
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Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
75882bcc11
Improve command suggestion for installing statistics package from Octave Forge
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The “io” package is a dependency, hence must be explicitly installed first.
[skip ci]
2021-02-19 14:24:32 +01:00
3939544498
Remove remnants from estimation DLL
2021-02-18 14:26:10 +01:00
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
6d95abdb95
Merge remote-tracking branch 'origin/JohannesPfeifer-master-patch-11225'
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Ref. !1830
2021-02-16 16:58:04 +01:00
9ddad32e4e
Merge branch 'shock_decomp_fixes' of git.dynare.org:rattoma/dynare
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Ref. !1829
2021-02-16 16:56:52 +01:00
9d06016dc3
Merge branch 'fixes_4.7' of git.dynare.org:rattoma/dynare
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See !1827
2021-02-16 16:55:31 +01:00
592cd69e25
Bug-fix: staticmodel type.
2021-02-16 15:06:43 +01:00
99c7d88c53
dyn_forecast.m: set first_obs and allow for Bayesian smoother input
2021-02-16 11:26:35 +01:00
6b2555f0ad
smoother2histval: fix computation of data length
2021-02-16 09:00:11 +00:00
50e80fe496
write xls output in Output subdir
2021-02-16 09:56:22 +01:00
a0d0270679
smoother2histval.m: suppress output
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[skip CI]
2021-02-16 08:11:13 +00:00
f592cca59d
fixed wrong naming of shock decompositions
2021-02-13 19:07:28 +01:00
b1ae98845d
fixed bug in var list for expand menu
2021-02-13 19:07:02 +01:00
dbcdaf75a6
fixed bug when SteadyState is not used for shock decompositions
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fixed names of files, removing spaces and dots
use writetable with mac OS
2021-02-13 19:05:54 +01:00
c8cd0a06ce
allow to export expand groups to excel (instead than plotting them)
2021-02-13 19:04:39 +01:00
f8b8ec6c18
fixes around init2shocks in plotting utilities
2021-02-13 19:04:01 +01:00
faa203e029
condition computation of posterior statistics also to (options_.load_mh_file && ~options_.load_results_after_load_mh) and apply it to all cases
2021-02-13 18:53:17 +01:00
5c3b0ebc95
better handle newrat options, avoiding to treat newratflag in two places
2021-02-13 16:44:50 +01:00
915502ce13
copyright year and indentation
2021-02-13 11:29:40 +01:00
d56bba724c
autocov is initialized NaN with the original order and then only loop up to updted order compatible with sample size.
2021-02-13 11:27:18 +01:00
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
22ef0b1413
get statistics also when load_mh_file
2021-02-12 18:55:50 +01:00
b9a6462462
bug fix in trapping option newratflag
2021-02-12 18:54:07 +01:00
ebec3ede8a
allow negative lag (i.e. a lead)
2021-02-12 18:50:55 +01:00
1519e4673a
trap case when order is too big wrt sample size
2021-02-12 18:49:33 +01:00
2ee03c7e28
OLS: Octave compatibility fix
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Cell arrays cannot be used for derefencing fields in a structure.
For some unknown reason, this was nevertheless accepted by MATLAB in this
context.
2021-02-04 16:54:09 +01:00
78fdd50894
cherrypick.m: Octave compatibility fix
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The plus sign (+) was unescaped in the regular expression, which was confusing
Octave.
By the way, also remove unneeded parenthesis groupings.
2021-02-04 16:01:54 +01:00
901d8355e3
PAC iterative OLS: compatibility fix for Octave < 6
2021-02-04 16:01:30 +01:00
50a7507f9b
options_.bnlms.set_dynare_seed_to_default is a boolean
2021-02-04 12:37:36 +01:00
8e9085eea4
PAC NLS estimation: Octave compatibility fix
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In regular expressions, the end-of-word operator (\>) does not behave the same
under Octave and under MATLAB. See:
https://savannah.gnu.org/bugs/index.php?59992
In this case, we can simply drop the \> operator, since there is no risk of
matching a partial variable name (since there is already “(-1)” at the end of
the pattern).
By the way, remove a useless parenthesis grouping in the regexp.
2021-02-02 17:02:04 +01:00
7bbe67748b
simul_backward: Octave compatibility fix
2021-02-02 17:02:04 +01:00
00e36dd342
var_expectation.update: Octave compatibility fix
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There was a conflict between matlab/+var_expectation/update.m and
matlab/+var_expectation/+update/. So we renamed the (single) file in the latter
directory.
2021-02-02 17:01:59 +01:00
44a2e6463b
lyapunov_solver: increase tolerance for 2 unit tests, for MATLAB R2014a
2021-02-02 15:05:41 +01:00
1bb5612474
Merge branch 'resol' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:57 +01:00
Sébastien Villemot
NormannR
Johannes Pfeifer
Stéphane Adjemian (Ryûk)
Willi Mutschler
Marco Ratto
MichelJuillard
Selma Malmberg
Nikola Bokan