7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
d5862f93bf
add comment explaining changes in 4e79d12e53
2018-05-28 14:32:11 +02:00
4e79d12e53
move declaration of default values from global_initialization to a separate function
2018-05-28 14:07:32 +02:00
97af53b82d
fix mkdir call in global_initialization
2018-05-28 14:07:32 +02:00
59ad26a3c9
Improve fallback code when mjdgges DLL is absent
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The new code relies on qz(..., 'real'), ordqz and ordeig, and returns a real
decomposition. The previous version was using Sims' qzdiv and returned a
complex decomposition.
As a consequence, we can drop options_.qzdiv, which was used to detect when
imaginary parts had to be dropped.
This code does not work on Octave for the time being, but this is acceptable
since it is only a fallback.
2018-05-16 17:12:48 +02:00
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
7be8f10e0e
Use cells of strings instead of char arrays.
2018-01-09 22:30:01 +01:00
d52f13114d
preprocessor: interface for generate_irfs block. Closes #1531
2017-10-06 15:00:55 +02:00
a1222a1d1b
Implement variance decomposition with measurement error
2017-10-05 11:33:17 +02:00
16a3e11034
Transform hard-coded plot tolerance into an undocumented option
2017-08-16 19:51:57 +02:00
7cd56e9687
Get rid of unused and superseded options_.colormap and make sure options_.plot_shock_decomp.colormap is set
2017-05-23 13:20:47 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
c467c92d29
shock_decomposition: move fig_names to fig_name (fixing typo)
2017-03-24 10:34:59 +01:00
7a6b4f3464
extra option about choosing the time periods for which to plot decompositions
2017-03-17 12:41:59 +01:00
ad55e1b085
initialize screen_shocks option of shock decomp
2017-03-17 12:41:59 +01:00
d2d6e19d87
fixes around default options in shock decompositions
2017-03-17 12:41:59 +01:00
3ed94b2e46
New realtime_shock_decomposition.m routine + provisions in global initialization
2017-03-17 12:41:59 +01:00
a092cc3b73
Set default graph options and extend graph_decomp.m accordingly.
2017-03-17 12:41:59 +01:00
e174d04579
- New option init_state [options_.shock_decomp.init_state] to compute the shock decomposition conditional to the state variables in period 1;
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- force plot_priors=0
- when grouping shocks, include the residual group Others, since user defined groups may not add up to the smoothed variable.
2017-03-17 12:41:59 +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
5b73d7d59c
Added new optimization routine (particleswarm).
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Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
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
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
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
01f1abb19a
Provide dedicated maxit option for Ramsey
2016-08-24 13:32:11 +02:00
46450c6f1f
Change textwidth depending on number of subplots
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Prevents overblown figures
2016-08-23 17:22:41 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
0ebef17df2
fix shocks_decomposition bug introduced in commit 75d699cbfa
2016-08-21 11:11:19 +02:00
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +02:00
e294266247
Increase default MaxNumberOfBytes to 100 MB
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Closes #330
2016-06-14 11:51:14 +02:00
392977d4ef
Changed default parameters for unscented transform (Particle filters).
2016-06-01 17:01:23 +02:00
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
fdbd4fa7a7
Code factorization.
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- Added routines for initializing and setting shocks in EP.
- Added a specialized routine for doing Monte Carlo around EP.
2016-05-24 17:28:24 +02:00
53747cb082
Fixed lmmcp option.
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This option may be used in extended_path and perfect_foresight_solver commands.
2016-05-24 17:26:06 +02:00
9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
1d6961cc4c
initialize mode field in slice sampler options
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
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
Sébastien Villemot
Houtan Bastani
Stéphane Adjemian(Charybdis)
Johannes Pfeifer
Marco Ratto
MichelJuillard