7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
f53be721c1
Added new option mh_tune_jscale.
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Works only with the Random Walk Metropolis Hastings algorithm.
Closes #1598
2018-05-16 16:37:22 +02:00
127a543b65
prior bounds: make sure that lower and upper bounds only affect mode-finding
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99dbc8c74d
2018-02-01 10:16:47 +01:00
7be8f10e0e
Use cells of strings instead of char arrays.
2018-01-09 22:30:01 +01:00
ce7cfccddb
Cosmetic changes.
2017-10-10 10:14:59 +02:00
da063b2e18
bug fix in optimizer 5 [newrat] for dsge_var_likelihood objective function. Fixes #1494
2017-10-09 17:53:19 +02:00
818a07a4ef
Fix get_posterior_parameters
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Get rid of setting variables from the base workspace in the function, making the function read-only (as the name suggests)
2017-10-05 09:54:08 +02:00
16a3e11034
Transform hard-coded plot tolerance into an undocumented option
2017-08-16 19:51:57 +02:00
4cd259baa6
Fix plotting of measurement errors in non-MCMC case
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Number of plots was wrongly computed
2017-08-16 19:51:57 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
00299a92c1
Make sure options_.first_obs is properly set
2017-04-05 11:44:27 +02:00
732aa8c30c
Merge remote-tracking branch 'rattoma/slice'
2017-03-24 16:19:04 +01:00
e5f1d20221
change dyn_figure to take a nodisplay and graph_format arguments as opposed to options_. closes #1415
2017-03-23 17:59:05 +01:00
2aa85f978a
change dyn_figure to take a nodisplay argument as opposed to options_. #1415
2017-03-23 14:30:16 +01:00
99dbc8c74d
bug fix with redundant call to prior_bounds
2017-03-22 23:08:18 +01:00
1e3e2f70a9
set posterior sampler options when load_mh_file
2017-03-18 00:06:15 +01:00
cc34e16458
Set temporarily mode_compute and mh_replic to zero if estim_params_ is empty.
2017-03-16 15:45:08 +01:00
9fbef0c107
Removed penalty_hessian routine.
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+ 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
7b4fc9ec4a
Moving loading of MCMC_jumping_covariance to after display of standard errors and computation of Laplace approximation
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Closes #1255
2016-12-27 12:07:22 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
1f0c2e3b1c
Make sure that options_.qz_criterium is not affected by calls to dynare_estimation.m
2016-10-02 10:51:47 +02:00
eae0828a40
make computations around invhess more robust numerically.
2016-09-05 12:16:07 +02:00
08d53206a9
Port textwidth figure format change to dynare_estimation_1.m
2016-08-23 17:22:41 +02:00
73afe7d02f
Change fixed LaTeX figure width into \textwidth scaling
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Improves readability
2016-08-23 17:22:41 +02:00
fa3a71bcae
Make warning message in dynare_estimation_1.m more informative
2016-08-22 19:24:35 +02:00
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
8aaca040b3
Expand check of fast_kalman_filter for presence of block-option
2016-08-22 19:24:35 +02:00
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
2cf882fec5
Remove comments on dynare_estimation_1.m after implementing store_smoother_results
2016-06-15 00:30:28 +02:00
d08fd37986
Do not set oo_.posterior.optimization-fields when mh_posterior_mode_estimation is used
2016-06-15 00:30:28 +02:00
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
329b91d717
Harmonize output of objective functions
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Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
6ad876cc18
Rename write_smoother_results to store_smoother_results.m to avoid confusion about its purpose
2016-04-12 11:37:12 +02:00
6f8ca74490
Factorize saving of smoother results
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Also takes care of prefilter and loglinear option for calib_smoother
Closes #803 and #804
2016-03-23 10:31:11 +01:00
Sébastien Villemot
Stéphane Adjemian(Charybdis)
Johannes Pfeifer
Marco Ratto
Houtan Bastani
Marco Ratto
Johannes Pfeifer