ce4d8c3544
Cosmetic fix to error message
2017-11-28 10:27:43 +01:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
f9a462bf07
Added option nonlinear_filter_initialization.
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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
dbffe2a841
Do not check boundaries if the model is not estimated.
2017-03-16 15:50:44 +01:00
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
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
39e7c39243
Filter out infinite likelihoods
2016-08-22 19:24:35 +02:00
72b8c650e5
Add missing logical operator from likelihood functions introduces when removing global penalty
2016-07-18 11:11:43 +02:00
0c00e28799
Remove objective_function_penalty_base
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
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
efee7b1a47
Remove duplication of restrict_var_list in bayestopt_
2016-04-12 10:43:28 +02:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
f28a7a62bb
Only test non-zero measurement error covariance entries for positive definiteness
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Otherwise, not having measurement error on one variable is not allowed during estimation
2015-12-15 22:37:08 +01:00
d513d38f73
Filter out failure of k_order_pert in likelihood computation
2015-10-11 17:55:27 +02:00
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
2015-10-09 14:23:31 +02:00
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
2015-10-09 14:23:31 +02:00
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
e5e9bdb892
Adding missing exception...
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For cases where a generalized eigenvalue is too close to 0/0.
2015-09-04 11:02:39 +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
ccd4e40b49
Merge branch 'master' into rewrite-nonlinear-filters
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Conflicts:
.gitmodules
tests/particle/dsge_base2.mod
2015-05-27 12:18:33 +02:00
481c470ac9
Make sure non_linear_dsge_likelihood.m and dsge_var_likelihood.m return correct error codes if prior or likelihood are Inf or NaN
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Closes #284
2015-05-09 08:03:55 +02:00
84cef49584
Fixed bug (oo_ must be replaced by DynareResults).
2015-01-14 11:38:36 +01:00
647d7b9761
Do not detrend the data (nonlinear filters).
2015-01-07 16:27:41 +01:00
1927f6181f
Updated particles module.
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This commit breaks the codes except for sequential importance particle filter.
2014-12-12 17:57:58 +01:00
f48566aeae
Fixed prior bounds (according to the doc in master branch).
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* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
6d42ec66d5
Account for error code 10 (Inf in Jacobian of the dynamic model) in likelihood functions.
2014-09-10 17:49:33 +02:00
77a29e95c1
Fixed bugs:
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(1) The non_linear_dsge_likelihood routine was not adapted to the last changes related to the way data are handled.
(2) The removal of the trend was missing.
2014-09-08 22:36:40 +02:00
ca6803b531
Add forgotten case to likelihood functions
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Code 25 was not filtered out, leading to cryptic crashes
2014-06-02 14:10:43 +02:00
00cfec8fb6
Issue an error message if loglinear option is equal to 1 in non linear likelihood routine.
2014-01-30 14:39:06 +01:00
fddee8e1db
Bugfixes for correlated shocks
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Uses preprocessing capabilities introduced in 07137e804bFixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
bb8fdce127
Fixed bug reported by Johannes (presample option was non active in nonlinear filters).
2013-06-25 09:45:34 +02:00
24b0b22e4d
Factorized code using ispd routine and fixed bugs in models with measurement errors.
2013-06-20 13:00:01 +02:00
6dc7325c9f
Fixed seed in non linear filters.
2013-06-20 11:49:10 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
7094a45f6d
Revert "Make error message for prior violation more explicit by adding second argument to info()"
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This reverts commit 2815d5fbd4
2013-05-02 14:31:29 +02:00
2815d5fbd4
Make error message for prior violation more explicit by adding second argument to info()
2013-04-26 20:20:23 +02:00
22956ea4a4
Removed useless instruction (default value of exit_flag is 1).
2012-11-21 10:11:30 +01:00
2ee1ebbe47
fix a bug in the output order
2012-11-21 09:00:43 +01:00
edf9955c09
fix bug when comparing xparam with upper and lower bounds.
2012-11-16 12:23:18 +01:00
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
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objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
2012-08-28 12:17:07 +02:00
a05b9d6a8a
Removed globals from simult.
2012-07-03 11:29:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
40fc16e618
Remove MATLAB short-circuit operators
2012-06-06 17:08:53 +02:00
8de93c21f2
Fixed bug (cost_flag->exit_flag).
2012-03-04 22:13:00 +01:00
6b736cf622
Bug fix. Added missing input to the non linear likelihood routine (DynareOptions).
2012-03-04 22:12:59 +01:00
5458492674
Fixed bug.
2012-03-04 22:12:59 +01:00
f3e27e82d6
Fixed typo (misspelled EstimatedParameters structure).
2012-03-04 22:12:59 +01:00
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer
Michel Juillard
Sébastien Villemot
Frédéric Karamé
Sébastien Villemot