072246c5ab
Merge pull request #1441 from JohannesPfeifer/ksstat
...
Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
d7b2e271d7
Update documentation on sensitivity
...
Closes #789
2017-04-27 12:03:02 +02:00
451646ff16
Remove redundant ksstat option
...
Closes #1431
2017-04-27 11:08:17 +02:00
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
db535236b2
Merge branch 'master' into ecb-master
2017-04-14 11:35:43 +02:00
753d8a17f0
preprocessor: move equation tags out of dmath mode, include all equation tags in one set of brackets, allow equation tags to be interpreted as latex, modify manual and test accordingly. #477
2017-04-05 11:01:25 +02:00
14f4544a29
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +02:00
f9a462bf07
Added option nonlinear_filter_initialization.
...
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
8eefb6a747
Fixed warning introduced in b5c353f5a3.
2017-04-03 11:25:05 +02:00
b64aa57bc3
Update affiliation of Johannes
2017-04-01 19:59:29 +02:00
6571f7ea68
doc: fix changes merged in ad2e1ffc8d
2017-03-28 11:56:38 +02:00
b5f989ccb1
Manual: Define integer_vector
2017-03-28 11:39:44 +02:00
368262d5f1
Update manual on realtime_shock_decomposition following Marco's description
2017-03-28 11:35:27 +02:00
b5c353f5a3
Prevent Texinfo from replacing straight quotation marks in codes by italic ones
2017-03-27 12:36:18 +02:00
14b8604de5
Restructure manual on shock_decomposition
...
- Introduces proper definition of output variables
- Clarifies various options
2017-03-27 12:35:36 +02:00
94f09402a2
Manual: Add new subsections for commands not belonging to estimation
2017-03-27 11:43:07 +02:00
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
2be17e1ebd
doc: more fixes to documentation
2017-03-24 10:34:59 +01:00
4f432b7e58
doc: update plot_shock_decomposition option names
2017-03-24 10:34:59 +01:00
c24ebb6055
Merge pull request #1413 from JohannesPfeifer/manual_fix
...
Fix typo in manual
2017-03-22 12:40:08 +01:00
8bb2f5d91a
doc: add forecast menu item missing from 2ba82f46594ee51eb01df3bc95d23bca8bcadd6c
2017-03-22 09:41:10 +01:00
a248d9b51f
doc: add var_model, var_expectation
2017-03-22 09:41:10 +01:00
173de21aa0
doc bug: fix typo
2017-03-22 09:41:09 +01:00
121be35aca
Added varexobs in reference manual.
2017-03-22 09:41:09 +01:00
24abebb0b4
doc: correct argumnets to options
2017-03-21 14:35:04 +01:00
4b4ee1cd92
doc: fix typo
2017-03-21 14:27:58 +01:00
30232985ee
doc: fix markups of i.e. and e.g.
2017-03-21 14:15:51 +01:00
2a33cd1bb0
doc: fix doc following recent changes
2017-03-21 12:48:11 +01:00
effcd3d12a
Fix typo in manual
...
ts does not exist
2017-03-21 09:48:55 +01:00
9abac8ccdb
Store indicator whether smoother was used with loglinear
...
Required to keep track of whether estimates were logged. Related to #1407
2017-03-20 11:36:10 +01:00
dd02aa4c03
Expand reference manual on loglinear.
...
Partial cherry-pick of 3fc2e2b967d7c779058922e9f7fd9f688118a2f0 by Johannes Pfeifer.
2017-03-20 10:17:32 +01:00
f52035a3a0
updated documentation about sub_draws
2017-03-18 00:06:15 +01:00
a9732afaf6
document behavior of filtered_vars, filter_covariance and filter_step_ahead
2017-03-17 15:43:00 +01:00
5d8d5e90d8
evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
...
Closes #1373
2017-03-17 13:15:39 +01:00
ef9338bfd6
Fixed bugs in Reference Manual.
2017-03-17 12:42:00 +01:00
27f4f81bbd
document save_realtime option of shock decomp
2017-03-17 12:41:59 +01:00
0053e7018f
special characters fixed again.
2017-03-17 12:41:59 +01:00
ddd25fb817
Improve documentation of shock decomposition commands
2017-03-17 12:41:59 +01:00
06176caf64
manual updates
2017-03-17 12:41:59 +01:00
9fbef0c107
Removed penalty_hessian routine.
...
+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
2017-02-08 13:07:25 +00:00
5b73d7d59c
Added new optimization routine (particleswarm).
...
Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
e88739a5ea
doc: add preprocessor copyright info
2017-02-01 18:16:51 +01:00
25e9a81b71
doc: update for preprocessor
2017-02-01 18:06:44 +01:00
3776b910a1
preprocessor: remove introduction to C++ programming
2017-01-31 17:11:28 +01:00
f1d607af99
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
a6e74ac7af
doc: update manual copyright date
2017-01-23 14:24:30 -05:00
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
562b8f7a5c
Merge pull request #1139 from JohannesPfeifer/Ramsey_documentation
...
Correct manual on Ramsey
2017-01-08 20:03:59 +01:00
1554f15a65
- rephrased description of objective function value when Lagrange multipliers are
...
set to 0
- type correction
2017-01-08 17:16:41 +01:00
420fb3896b
Merge pull request #1361 from JohannesPfeifer/endogenous_prior_restrictions
...
Document irf_calibration and moment_calibration in the context of est…
2017-01-05 09:08:52 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
...
Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
90982d5fa0
Merge pull request #1357 from rattoma/parallel
...
Provisions for new node option NumberOfThreadsPerJob. Document option
2017-01-04 23:29:24 +01:00
95ac8536ba
doc: update menue for compiler installation
2016-12-28 11:10:02 +01:00
ca6cd152f2
Document that ramsey_policy now takes multipliers in the variable list.
...
Related to #1355
2016-12-27 14:36:51 +01:00
91abae9ce0
Document graph option
2016-12-26 13:10:45 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
c7290a5f03
Document irf_calibration and moment_calibration in the context of estimation
...
Also adds unit test. Closes #1318
2016-12-23 12:11:10 +01:00
5e010f57c0
Document different treatment of mh_recover and load_mh_file under Octave
...
Also adjusts unit tests accordingly. Closes #1332
2016-12-23 10:47:58 +01:00
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
...
Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
5334c7433d
Merge pull request #1345 from JohannesPfeifer/robust_lin_solve
...
robust_lin_solve: Fix mistakes introduced in 4b83c1bf763fe5029c94b7e5…
2016-12-17 17:18:19 +01:00
de7d239f7c
preprocessor: parallel: change default for singleCompThread. #1349
2016-12-13 11:12:04 +01:00
f1b4d63045
doc: fix endval typo and add @math{} markup
2016-12-08 10:54:03 +01:00
d491b8c1ef
Minor modification of 26baff91c.
...
An exogenous variable appearing in t+1 (as productivity in the expected
return of capital in the Euler equation) is not a forward variable.
2016-12-08 08:53:55 +01:00
da113029aa
Correct initval, endval, and histval documentation
2016-12-08 08:53:55 +01:00
d5e20752ac
robust_lin_solve: Fix mistakes introduced in 4b83c1bf76
...
Interface was still missing and documentation of option was in wrong place in manual and wrong
2016-12-01 17:31:29 +01:00
392829ef40
doc: fix typo
2016-11-24 15:19:50 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
...
Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
...
Stochastic singularity
2016-11-04 10:56:50 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
...
Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
...
Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
a4fc0cb1a6
Fixed typo.
2016-11-03 17:22:44 +01:00
f303378f54
Added warnings about the BVAR identification scheme.
2016-11-03 17:22:44 +01:00
9900c05560
Added missing command in list of BVAR commands.
2016-11-03 17:22:44 +01:00
fac3348dfe
Add information on bvar_irf to bvar-a-la-sims.tex
2016-11-03 17:22:44 +01:00
ef2ee9d2b0
Fix typo in manual
2016-11-03 17:22:44 +01:00
d75651a8c7
Correct non-unique nodes in manual that breaks compilation
2016-10-15 11:01:00 +02:00
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
fe9d024d9f
Manual: add that if several files differ only by the extension, the filaname must include the extension and be written between quotes
2016-10-09 22:28:29 +02:00
209f1b4a7c
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
2fe73fafdc
Implement and document keep_kalman_algo_if_singularity_is_detected option
2016-10-02 12:56:28 +02:00
f553f893c6
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
...
- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
245359a7df
doc: remove last reference to java package for octave
2016-09-27 16:03:45 +02:00
8edea5edb0
octave only supports .xlsx Excel extension (no longer supports .xls extension). #1293
2016-09-27 16:00:34 +02:00
3ace574d72
doc: fix typo
2016-09-16 14:57:35 +02:00
804d31e8af
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
e31f0a8d0f
macroprocessor: stop with error when division by zero is encountered. closes #1278
2016-09-05 17:36:40 +02:00
76e2112df9
Improve manual on lmmcp
2016-08-23 17:28:41 +02:00
2751ab08bb
Provide interface to original PATH files and document how to obtain them
2016-08-23 17:28:41 +02:00
dd22b9609e
Add function generate_trace_plots.m that plots trace plots for all estimated parameters
2016-08-23 17:22:41 +02:00
8341ac33f8
Document treatment of measurement error in forecasts
...
Also removes wrong info on HPDTotalsup/inf
2016-08-23 17:22:41 +02:00
ab35020e97
Merge pull request #1224 from JohannesPfeifer/ms_doc
...
Document options of MS code after interface change
2016-08-23 16:57:06 +02:00
75e52ed71d
Make sure fast_kalman_filter is only used with diffuse_periods=0
...
Closes #1234
2016-08-22 19:24:35 +02:00
818befd4eb
Document mh_init_scale
2016-08-22 16:27:32 +02:00
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
...
Closes #503
2016-08-22 16:27:32 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
...
Conf sig
2016-08-21 16:14:28 +02:00
d27bbe667f
Merge pull request #1230 from JohannesPfeifer/load_mh_file
...
Save chain's proposal density and make load_mh_file and mh_recover load it
2016-08-21 16:12:12 +02:00
cc5cafdd15
Merge pull request #1254 from JohannesPfeifer/log_density_save
...
Save log_density at the mode and document oo_.posterior-fields
2016-08-21 11:13:19 +02:00
688c812267
Merge pull request #1233 from JohannesPfeifer/doc_additions
...
Additional documentation for OSR and onlyclearglobals
2016-08-20 17:46:44 +02:00
5c69c789f6
Merge pull request #1261 from JohannesPfeifer/bvar
...
BVAR: Save prior and posterior information in oo_
2016-08-20 17:39:34 +02:00
e6a5b8f9b8
doc: clarify that latex code passed to reports must be valid
2016-08-17 14:42:02 +02:00
850411a990
doc: clarify graphLineName option to addSeries
2016-08-17 14:39:15 +02:00
c156a5907c
BVAR: Save prior and posterior information in oo_
2016-08-01 10:41:04 +02:00
8dadd1519e
Restore backward compatibility of OSR command with maxit and tolf options
...
Translates these options into optim_opt structure
2016-07-22 16:53:19 +02:00
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
08e63f1812
Document tolf and tolx options for perfect foresight and steady
...
Related to #1249
2016-07-21 09:40:35 +02:00
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
7621ebb5ea
Harmonize spelling and function arguments of collect_latex_files.m
...
All lower caps and no inputs
2016-07-01 19:09:29 +02:00
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +02:00
581198741f
Revert "Revert "preprocessor: allow for partitioning of variables along multiple dimensions""
...
This reverts commit b0e7f1cfd7
2016-06-24 17:38:54 +02:00
b0e7f1cfd7
Revert "preprocessor: allow for partitioning of variables along multiple dimensions"
...
This reverts commit 7a29f50d99
2016-06-23 15:59:35 +02:00
7a29f50d99
preprocessor: allow for partitioning of variables along multiple dimensions
2016-06-23 15:36:42 +02:00
1c420e6056
Allow for parameter_set=mle_mode in shock_decomposition
...
Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
00dcc1b543
Clarify Dynare behavior of using clear all for Octave and Matlab
...
Closes #1232
2016-06-16 20:50:11 +02:00
20ae7069cf
Document new OSR fields of M_
2016-06-16 20:49:02 +02:00
1c84ccdc34
Save trend and constant for all variables in smoother
2016-06-16 12:05:38 +02:00
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
64d01a806e
Fixed behaviour of write_latex_prior_table command
2016-06-16 10:38:40 +02:00
b70fe62503
Minor change in user reference manual.
...
The write_latex_prior_table has not to follow the estimation command but
the estimated_params block.
2016-06-15 17:15:53 +02:00
e94a698a9b
Implement write_latex_prior_table.m
...
Fixes and replaces write_table_prior.m and uses consistent name. Also includes documentation
2016-06-15 16:47:39 +02:00
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
1084a2d452
Document new behavior of mh_recover and mh_replic
2016-06-14 15:18:05 +02:00
d02f8d0377
Allow for text-command in math environment by using amsmath package in collect_LaTeX_Files.m
2016-06-14 11:52:49 +02:00
954b0fe987
Document options of MS code after interface change
...
Closes #879
2016-06-12 13:07:05 +02:00
fe9ef566a6
Fix duplicate texinfo anchor introduced in previous commit.
2016-06-02 14:01:14 +02:00
ea4ec224e1
preprocessor: add all_values_required option to histval. closes #261
2016-06-02 12:57:11 +02:00
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
14c4a5c131
Fix copy and paste mistake in manual
2016-05-30 17:20:26 +02:00
cd128cb563
Document configuration file setting for Windows
...
Closes #337
2016-05-30 13:58:38 +02:00
b58c8274dd
Manual: clarify that name tags are not required for all equations for display of residuals with tags
2016-05-28 19:34:07 +02:00
f5fd699149
Update documentation on equation tags and LMMCP
...
Also documents solve_algo=10
2016-05-28 18:02:57 +02:00
06ed7ad83f
Update manual on slice mode_files option to reflect 3e8dbcfc7e
2016-05-28 15:45:39 +02:00
96ca17623b
Fix URL fir equation tags
2016-05-28 15:25:03 +02:00
635d5b704b
Added description of options lmmcp and stack_solve_algo==7 in reference manual.
2016-05-24 17:28:24 +02:00
97d094b6dd
Added mention to equation tags in Ref. manual.
2016-05-24 17:26:06 +02:00
03563e012b
Allow for pass OSR parameter bounds to optimizer
2016-05-22 11:41:54 +02:00
010787ba8d
Document inefficiency factor computation
2016-05-19 16:33:06 +02:00
048fbcc698
Add reference for slice sampler
2016-05-19 15:38:43 +02:00
ddaada1a16
Cosmetic changes to manual
2016-05-19 15:12:21 +02:00
6241a834e1
Document recent posterior sampler interface changes
2016-05-19 15:02:58 +02:00
6b7a77d5a9
preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187
2016-05-18 12:26:19 +02:00
253e6c8dfb
Revert "Revert "preprocessor: add option no_2nd_order_params_derivs. #1187""
...
This reverts commit c496d6f5ca
2016-05-18 10:34:45 +02:00
c496d6f5ca
Revert "preprocessor: add option no_2nd_order_params_derivs. #1187"
...
This reverts commit 024586fbb1
2016-05-17 15:37:46 +02:00
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
024586fbb1
preprocessor: add option no_2nd_order_params_derivs. #1187
2016-05-12 14:40:28 +02:00
Stéphane Adjemian
Johannes Pfeifer
Houtan Bastani
Marco Ratto
MichelJuillard
Michel Juillard
Sébastien Villemot