c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
cf8213f7a0
fix to the Kitigawa transformation that allows to reduce the computing time of the likelihood in large models, with a lot of static variables, by 30-50%.
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This fixes the bug in e97e5c34072f9dc09285#1312 .
2018-01-26 11:47:39 +01:00
8ccebd9e23
DsgeSmoother.m: provide informative error instead of crashing when model cannot be solved
2017-08-16 19:26:24 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +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
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
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Closes #1161
2016-04-12 11:36:43 +02:00
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
0fd76e0c6f
Assigning unique function for each input argument of lyapunov_symm.m
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The old way of redefining input arguments to satisfy different options was too error-prone. See 69daaa0460b0ddee97292c39d40355201e316622 of tholden
2015-07-22 15:11:39 +02:00
22b1aa7a0d
Filter out case where estimated_params block is present but smoother on calibration is requested
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In this case, xparam1 will be empty while estim_params_ does not have conformable dimensions.
2015-06-09 14:51:32 +02:00
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
7c838b133f
Use local variables for restrict var list, to avoid overwriting the global and messing likelihood evaluations later on.
2015-04-03 18:02:03 +02:00
ed8b47bbf4
Add info to header about additional output argument
2014-12-11 20:59:31 +01:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
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- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
7b089ec2b3
Cosmetic change. Renamed nobs as vobs.
2014-07-17 22:05:07 +02:00
66d08ac3bf
Merge branch 'master' into use-dynSeries
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Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
4e789452b2
Allows to use alternative algorithms to solve lyapunov equation
2014-01-14 17:32:01 +01:00
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
e60d438e86
Fixed bug.
2013-06-28 16:59:47 +02:00
b281830983
Added new initialization mode ofr the Kalman filter and smoother.
2013-06-28 16:26:53 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
013c599ec9
Removed globals from dynare_resolve. Removed unused first input argument. Adapted routines calling dynare_resolve.
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Added texinfo header to dynare_resolve.
2011-09-19 16:41:53 +02:00
fa9f6ac90b
Added option lik_init=4. Initialization of the Kalman filter/smoother with the fixed point of the Riccati equation.
2011-06-23 23:39:15 +02:00
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
5f8b5fa467
removing useless 'd' output argument from the Kalman smoother functions. Removed global initialization of options_.diffuse_d. Fixed minor bugs in Kalman smoother functions.
2011-03-24 18:38:01 +01:00
b247c329d8
replaced expressions X == 0 by more efficient and robust isequal(X,0) when X is a matrix
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porting earlier changes from DsgeLikelihood.m to DsgeLikelihood_hh.
cleaning code
2011-02-09 06:23:27 +01:00
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
757a9067c0
Global reindentation of MATLAB files
2011-02-04 17:17:48 +01:00
bff8de837b
modifying dynare_resolve() calling sequence
2011-01-26 21:24:46 +01:00
e2a1d77f6e
- added schur_statespace_transformation.m to factor it out of DsgeLikelihood.m and DsgeSmoother.m
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and corrected a bug in the code
- added missing functions missing_DiffuseKalmanSmootherH1_Z.m (multivariate version) and
missing_DiffuseKalmanSmootherH3_Z.m (univariate version)
- use only these two versions of the Kalman smoother in DsgeSmoother.m
2011-01-13 21:50:26 +01:00
32bf5e9a0e
Diffuse smoother: bug correction when singularity occurs
2010-10-04 21:59:22 +02:00
3db736f31d
corrected bugs in estimation of models with measurement errors
2010-08-06 17:54:56 +02:00
Stéphane Adjemian (Charybdis)
Marco Ratto
Johannes Pfeifer
Michel Juillard
Houtan Bastani
Johannes Pfeifer
ferhat
Sébastien Villemot
Michel Juillard