Stéphane Adjemian(Charybdis)
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
...
Default is to use csminwel optimizer (because it seems to do the job and does
not rely on the Mathworks toolbox).
2018-09-13 16:15:52 +02:00
Houtan Bastani
eb316d7e2d
update files for change of option name from `trends` to `targets`
2018-09-13 12:24:32 +02:00
Houtan Bastani
5ab8120780
get companion matrix using preprocessor output instead of get_ar_ec_matrices.m
2018-09-12 18:38:26 +02:00
Houtan Bastani
74094683de
get_companion_matrix: fix header
2018-09-12 18:29:21 +02:00
Houtan Bastani
a6150bae82
get_companion_matrix: simplify check (no need for allocation)
2018-09-12 18:29:14 +02:00
Houtan Bastani
a32e2f165a
get_companion_matrix: remove unnecessary conditional
2018-09-12 18:29:07 +02:00
Houtan Bastani
e9d7f6ca24
Merge branch 'master' into ecb-master
2018-09-12 18:28:47 +02:00
Stéphane Adjemian(Charybdis)
6815624a6a
Fixed bug.
...
Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
Sébastien Villemot
51416bf2ae
Always use "isoctave" for testing Octave context
2018-09-07 17:22:08 +02:00
Stéphane Adjemian(Charybdis)
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
...
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00
Stéphane Adjemian(Charybdis)
74ef4d2131
Cosmetic change.
2018-09-06 13:40:43 +02:00
Stéphane Adjemian(Charybdis)
5d8a1feda4
Fixed regular expression.
...
Data matrices were not correcty lagged for lags>1. This commit fixes the
inconsistencies (in terms of residuals) between Iterative OLS and NLS routines.
2018-09-06 13:40:27 +02:00
Stéphane Adjemian(Charybdis)
940c970ff3
Use same range in NLS and Iterative OLS.
...
The range option is the range of data considered for the right hand side variable.
2018-09-04 09:40:47 +02:00
Stéphane Adjemian(Charybdis)
6e1d06bddc
Display SSR in Iterative OLS.
2018-09-03 18:01:59 +02:00
Stéphane Adjemian(Charybdis)
8b1b1273c3
Fixed correction for growth neutrality.
...
Also added the possibility to use an endogenous variable for growth.
2018-09-03 17:57:10 +02:00
Stéphane Adjemian(Charybdis)
fde103d5f4
Removed debugging display.
2018-09-03 17:55:55 +02:00
Stéphane Adjemian(Charybdis)
a207550680
Fixed error correction term.
2018-09-03 17:53:01 +02:00
Stéphane Adjemian(Charybdis)
044f0f8de6
Added missing output required by some integration tests.
2018-09-03 17:38:09 +02:00
Stéphane Adjemian(Charybdis)
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
...
... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
Stéphane Adjemia (Scylla)
e1b2b80d64
Small efficiency change.
2018-08-29 17:42:49 +02:00
Stéphane Adjemia (Scylla)
d23d1a470b
Added the possibility to estimate PAC_EQUATION with iterative ols and non constant growth.
2018-08-29 17:42:04 +02:00
Stéphane Adjemia (Scylla)
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
Stéphane Adjemia (Scylla)
00498d19c8
Fixed ec matrix (rules out lag>1).
2018-08-28 19:25:05 +02:00
Stéphane Adjemia (Scylla)
36388ce28a
Fixed bug in PAC_EXPECTATION.
...
The selection of the target variable in the error correction term was still
wrong if the target variable was not an auxiliary variable.
2018-08-28 19:23:35 +02:00
Stéphane Adjemia (Scylla)
18a2626543
Fixed bugs in PAC_EXPECTATION.
...
- The selection of the target variable in the error correction term was wrong.
- Target variables in logs were still not working.
2018-08-28 12:12:21 +02:00
Stéphane Adjemia (Scylla)
6dc35c676b
Fixed bug in VAR_EXPECTATION with TREND_COMPONENT_MODEL.
...
The selection of the expected variable in the companion VAR was not correct.
2018-08-28 11:06:20 +02:00
Stéphane Adjemia (Scylla)
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
Stéphane Adjemia (Scylla)
83c9b0d5b6
Make rool for trend_component_model in var_expectation.
...
Not yet working, a bug in the preprocessor remains to be fixed. The
preprocessor does not create the correct number of reduced form parameters
for VAR_EXPECTATION when the auxiliary model is a trend component model,
because it ignores the fact that the model has to be rewritten in levels.
2018-08-27 14:37:26 +02:00
Houtan Bastani
6ec9758313
update var_expectation code and tests for change in field name
2018-08-23 10:38:39 +02:00
Stéphane Adjemia (Scylla)
cd05b9ba8f
Cosmetic changes.
2018-08-22 11:49:30 +02:00
Stéphane Adjemia (Scylla)
2b6ee881a4
Efficiency changes.
2018-08-22 11:49:15 +02:00
Stéphane Adjemia (Scylla)
442a70e905
Added missing semicolon.
2018-08-21 21:56:01 +02:00
Stéphane Adjemia (Scylla)
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
Stéphane Adjemia (Scylla)
38b2593e31
Efficiency changes.
2018-08-21 21:02:20 +02:00
Houtan Bastani
322682635f
get_ar_ec_matrices: fix bug in ordering of ec matrix
2018-08-20 14:58:52 +02:00
Houtan Bastani
b27267da9b
get_ar_ec_matrices: changes for introduction of trend_component_model statement
2018-08-20 10:57:26 +02:00
Stéphane Adjemia (Scylla)
7d6296f7a6
Fixed bug introduced by 42bba08887
.
2018-08-17 21:42:09 +02:00
Stéphane Adjemia (Scylla)
e50bb1566e
Updated dseries submodule.
2018-08-16 16:42:25 +02:00
Stéphane Adjemian(Charybdis)
822446c043
Added missing copyright headers.
2018-08-15 22:05:47 +02:00
Stéphane Adjemian(Charybdis)
42bba08887
Make the code robust to the order of declaration of the estimated parameters.
2018-08-15 22:03:33 +02:00
Stéphane Adjemian(Charybdis)
15ad3cebcf
Fixed indexation bug (last autoregressive parameter was missing).
2018-08-15 22:03:01 +02:00
Stéphane Adjemian(Charybdis)
702e6d4cc7
Fixed lag number in PAC equation.
...
The number of autoregressive parameters has to be equal to the number of lags
in the PAC equation.
2018-08-13 12:41:37 +02:00
Stéphane Adjemian(Charybdis)
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
Stéphane Adjemian(Charybdis)
8a6d23f471
Merge branch 'master' into ecb-master
2018-08-10 15:37:26 +02:00
Stéphane Adjemian(Charybdis)
451385774b
Cosmetic changes.
2018-08-10 15:36:41 +02:00
Stéphane Adjemian(Charybdis)
86445832fd
Added routine returning true iff a variable is an auxiliary variable.
2018-08-10 14:52:22 +02:00
Stéphane Adjemian(Charybdis)
c28c8187e8
Fixed typo.
2018-08-08 16:23:15 +02:00
Stéphane Adjemian(Charybdis)
8033b2737e
Added routines for VAR_EXPECTATION_MODEL.
2018-08-08 15:53:55 +02:00
Stéphane Adjemian(Charybdis)
c9a38c4de7
Merge branch 'master' into ecb-master
...
Fixed conflicts:
- tests/run_block_byte_tests_octave.m
2018-08-04 21:08:08 +02:00
Stéphane Adjemian(Charybdis)
5b30ed34ae
Allow calls to get_companion_matrix routine with only one argument.
2018-08-04 20:15:52 +02:00
Stéphane Adjemian(Charybdis)
dc026329a7
Cosmetic change.
2018-08-04 20:14:28 +02:00
Sébastien Villemot
13526bcbce
Octave now has the same graphical waitbar as MATLAB (for MCMC progress)
2018-08-02 15:33:18 +02:00
Sébastien Villemot
d03cc56587
solve_algo=7 and stack_solve_algo=2 are now allowed under Octave
...
The gmres() function has been implemented (actually since Octave 3.4.1!).
2018-08-02 15:20:39 +02:00
Sébastien Villemot
fda021855c
Fix forecast command with deterministic exogenous and linear option
...
Closes #1608
2018-08-02 14:20:51 +02:00
Stéphane Adjemian(Charybdis)
f830fb7d53
Updated dseries submodule.
2018-07-31 12:55:17 +02:00
Stéphane Adjemian(Charybdis)
ecb41ef4c0
Merge branch 'master' into ecb-master
2018-07-28 10:54:27 +02:00
Stéphane Adjemian(Charybdis)
6d79ca4f58
Return 0 if input is empty.
2018-07-28 10:48:43 +02:00
Michel Juillard
a5b97a28a0
adding missing any()
2018-07-27 20:24:13 +02:00
Stéphane Adjemian(Charybdis)
a144aad150
Merge branch 'master' into ecb-master
2018-07-27 09:47:22 +02:00
Johannes Pfeifer
433a68169d
TaRB: fix bug where incorrect last posterior was returned if last draw was rejected
2018-07-24 17:07:29 +02:00
Stéphane Adjemian(Charybdis)
157641ac91
Updated particles submodule.
2018-07-24 14:12:53 +02:00
Stéphane Adjemian(Charybdis)
7d7449c775
Merge branch 'master' into ecb-master
...
Fixed conflicts:
matlab/modules/dseries
2018-07-23 17:05:30 +02:00
Stéphane Adjemian(Charybdis)
0edebbe5d7
Added Iterative OLS routine for PAC equation.
2018-07-23 16:12:46 +02:00
Stéphane Adjemian(Charybdis)
cffff796f1
Added routine to test if an auxiliary variable is a lag of a variable.
2018-07-23 10:41:34 +02:00
Stéphane Adjemian(Charybdis)
f03a9b98e1
Fixed typo.
2018-07-20 17:09:15 +02:00
Stéphane Adjemian(Charybdis)
7421e6b5b2
Fixed copyright header.
2018-07-19 15:36:02 +02:00
Stéphane Adjemian(Charybdis)
44c49eaef8
Improved iterations display of Dynare's simplex routine.
2018-07-19 15:15:05 +02:00
Stéphane Adjemian(Charybdis)
2d321cb0e3
Increased default number of iterations in simplex.
2018-07-19 15:15:05 +02:00
Johannes Pfeifer
97229177b4
simplex_optimization_routine.m: account for penalty indicator being third output, not fourth one
...
Caused occasional crashes
2018-07-19 09:25:27 +02:00
Stéphane Adjemian(Charybdis)
5361325ba9
Fixed unit test (false negative in Octave testsuite).
2018-07-18 12:18:43 +02:00
Stéphane Adjemian(Charybdis)
ac3af2052a
Remove test from Octave testsuite.
...
The function is only called by Matlab if the statistics toolbox is not available.
2018-07-18 11:14:47 +02:00
Stéphane Adjemian(Charybdis)
1d2d7e0776
Updated dseries submodule (and matlab-fame-io).
2018-07-18 10:42:55 +02:00
Stéphane Adjemian(Charybdis)
064b270795
Updated dseries submodule (Octave testsuite fixes).
2018-07-17 18:41:25 +02:00
Stéphane Adjemian(Charybdis)
8b0d673458
Cosmetic change (Octave unit test).
...
(cherry picked from commit 48ee13646a072d0ad9466f901f2d048594717d71)
2018-07-17 17:44:42 +02:00
Stéphane Adjemian(Charybdis)
0d27bd8dea
Fixed unit tests on Weibull pdf (Octave testsuite).
...
(cherry picked from commit bc962a91c0749e6c9f108c867acde134e6bb80fc)
2018-07-17 17:44:15 +02:00
Stéphane Adjemian(Charybdis)
4154817acc
Added missin semicolons.
...
(cherry picked from commit 4a0b1c2e93d23c85a7874b1bbea85819f56739f5)
2018-07-17 17:43:58 +02:00
Stéphane Adjemian(Charybdis)
9d01b17e03
Removed one unit test from Octave testsuite.
2018-07-17 11:30:20 +02:00
Stéphane Adjemian(Charybdis)
cd9410644f
Moved PAC estimation routine (NLS).
2018-07-16 16:30:07 +02:00
Stéphane Adjemian(Charybdis)
9468c5b61d
Bug fix in PAC equation simulation/estimation.
...
Fixed the definition of idns (must target the trend variable).
2018-07-16 15:38:04 +02:00
Stéphane Adjemian(Charybdis)
c46fe7fcfa
Added check routine for PAC equation.
2018-07-16 14:56:05 +02:00
Stéphane Adjemian(Charybdis)
0074561182
Updated dseries submodule (unit test fix).
2018-07-14 11:54:01 +02:00
Stéphane Adjemian(Charybdis)
2256acfa73
Fixed replacement of LHS variable if the equation has no lag.
2018-07-13 19:10:25 +02:00
Stéphane Adjemian(Charybdis)
9b51b1ee16
Fixed logic for replacing variables by views of the data array.
2018-07-13 19:07:38 +02:00
Sébastien Villemot
7685a0ccda
Octave compatibility fix
...
Now that the set_auxiliary_variables file is in a "+" directory, Octave fails
at str2func if the file does not exist.
2018-07-13 17:22:27 +02:00
Stéphane Adjemian(Charybdis)
7e7f9b2e2e
Updated dseries submodule.
2018-07-13 14:04:57 +02:00
Stéphane Adjemian(Charybdis)
710158ba3e
Updated dseries submodule.
2018-07-12 19:50:53 +02:00
Stéphane Adjemian(Charybdis)
30c41733bc
Updated dseries submodule.
2018-07-12 19:38:15 +02:00
Stéphane Adjemian(Charybdis)
d7e0c5b868
Merge branch 'master' into ecb-master+folder
2018-07-11 11:08:04 +02:00
Stéphane Adjemian(Charybdis)
ebad639546
Bug fix (parenthesis mismatch).
2018-07-11 11:03:15 +02:00
Stéphane Adjemian(Charybdis)
a31611a89b
Adapted codes to the json files new location.
...
(cherry picked from commit f0a5a2aac9
)
2018-07-10 20:19:43 +02:00
Stéphane Adjemian(Charybdis)
f0a5a2aac9
Adapted codes to the json files new location.
2018-07-10 20:17:43 +02:00
Stéphane Adjemian(Charybdis)
c5ebb2ca30
Adapted codes to the json files new location.
2018-07-10 20:15:53 +02:00
Stéphane Adjemian(Charybdis)
24e2a76c39
Remove condition.
...
The checkdatabase routine can be used on models with leads.
2018-07-10 18:50:15 +02:00
Stéphane Adjemian(Charybdis)
51332c6fd6
Fixes related to the new "+" subfolder.
2018-07-10 18:34:49 +02:00
Stéphane Adjemian(Charybdis)
85a585c73e
Merge branch 'master' into ecb-master+folder
...
Fixed conflicts in:
tests/block_bytecode/run_ls2003.m
2018-07-10 10:18:55 +02:00
Stéphane Adjemian(Charybdis)
e50d4fd41c
Added routine to update parameter values in base workspace.
2018-07-09 18:42:03 +02:00
Stéphane Adjemian(Charybdis)
bc54022da6
Fixed row ordering issue in the trend component model.
2018-07-09 18:41:35 +02:00
Stéphane Adjemian(Charybdis)
829849f4db
Fixed regular expression used to identify a PAC auxiliary model.
2018-07-05 11:50:50 +02:00
Stéphane Adjemian(Charybdis)
4a9c752fd1
Fixed the definition of a lag polynomial.
2018-07-04 14:57:54 +02:00
Sébastien Villemot
3863a74319
Fix bug introduced in 13ce91861
in graph decomposition under MATLAB
2018-07-04 12:33:51 +02:00
Stéphane Adjemian(Charybdis)
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +02:00
Stéphane Adjemian(Charybdis)
f248feb839
Fixed function handle name for sum of square residuals.
2018-07-04 09:38:19 +02:00
Stéphane Adjemian(Charybdis)
33d752bad3
Fixed filtering out of non exact matches.
...
Patch proposed by Anatole, see:
https://gitlab.com/McModelTeam/McModelProject/issues/76
2018-07-04 08:57:07 +02:00
Sébastien Villemot
13ce918612
Octave compatibility fixes in graph decomposition
2018-07-02 16:06:11 +02:00
Sébastien Villemot
b2c554623f
Various fixes related to the new layout of generated files
2018-06-28 18:14:40 +02:00
Sébastien Villemot
87bb0c6997
Fix mistake in previous commit w.r.t. steadystate file
2018-06-27 17:15:13 +02:00
Sébastien Villemot
a1b8bd39b2
Move the location of various generated files on the filesystem
...
- M and MEX files are now under +${MODELNAME}/
- bytecode, C source and JSON now under ${MODELNAME}/model/
2018-06-27 17:03:39 +02:00
Stéphane Adjemian(Charybdis)
37bd4a1fea
Added routine for estimating a PAC equation by NLS.
...
This is not a final version. The routine does not print the estimation result, and does not
compute the variance of the estimator. The routine updates the content of M_.params with the
vector of PAC parameters minimizing the sum of squared residuals.
2018-06-21 18:48:58 +02:00
Stéphane Adjemian(Charybdis)
8d1664898e
Merge remote-tracking branch 'github/master' into ecb-master
2018-06-21 18:48:16 +02:00
Stéphane Adjemian(Charybdis)
45115e1172
Replaced pac.update.equation() by pac.update.expectation().
2018-06-21 18:47:57 +02:00
Stéphane Adjemian(Charybdis)
93bb326cc2
Added routines for dealing with extraction of a single equation from JSON output.
2018-06-21 18:46:38 +02:00
Stéphane Adjemian(Charybdis)
f84a6fefb7
Efficiency changes.
2018-06-19 15:40:17 +02:00
Stéphane Adjemian(Charybdis)
4710e68555
Fixed bug.
...
The get_companion_matrix routine was crashing if the model block contained
variables exogenous w.r.t the auxiliary model used for the PAC expectations (in
the trend component model case), before the equations of the auxiliary model.
2018-06-19 14:11:10 +02:00
Stéphane Adjemian(Charybdis)
5e1c872610
Merge remote-tracking branch 'ecb/master' into ecb-master (fix for JSON output).
2018-06-15 15:02:07 +02:00
Stéphane Adjemian(Charybdis)
e3727db6a4
Updated particles submodule.
2018-06-14 11:50:55 +02:00
Stéphane Adjemian(Charybdis)
701633769d
Removed hack that is not needed anymore.
2018-06-11 18:22:31 +02:00
Houtan Bastani
36f7111c0f
modify get_ar_matrices for change in lag info
2018-06-11 16:18:24 +02:00
Houtan Bastani
c7fe3770df
Merge branch 'master' into ecb-master
2018-06-11 15:35:24 +02:00
Stéphane Adjemian(Charybdis)
eacb6eb498
Updated dseries submodule (bug fix).
2018-06-09 18:34:09 +02:00
Stéphane Adjemian(Charybdis)
8270386d0b
Updated dseries submodule.
2018-06-09 18:32:40 +02:00
Johannes Pfeifer
6607d3907a
disp_identification.m: Account for jweak_pair generally being a matrix
2018-06-09 08:59:43 +02:00
Stéphane Adjemian(Charybdis)
447d4ff561
Allow for non diagonal A0 matrix in Error Correction Models.
2018-06-08 12:17:29 +02:00
Johannes Pfeifer
b8094a2e84
Correct display of identification message if parameters are only collinear
...
Closes #1614
2018-06-07 19:29:24 +02:00
Houtan Bastani
ec0f5ad701
fix indexing bug
2018-06-07 18:48:32 +02:00
Houtan Bastani
e9c631de7d
Merge branch 'master' into ecb-master
2018-06-07 18:47:36 +02:00
Sébastien Villemot
79484607a7
Fix various issues with stack_solve_algo=7 and lags on exogenous > 1
...
Complete the fix started in 8913791ff0
.
Change the test case to prevent regressions.
2018-06-07 16:14:02 +02:00
Johannes Pfeifer
09ac7f6249
identification_analysis.m: make sure that increase in options_.ar is passed back via options_ident
2018-06-07 13:17:42 +02:00
Michel Juillard
8913791ff0
fixes bug for solve_algo = 10 and lags on exogenous variables
2018-06-07 12:21:58 +02:00
Sébastien Villemot
a71e0ebee4
Add a compile-time check for MATLAB version, as we already do for Octave
2018-06-06 14:31:25 +02:00
Sébastien Villemot
88e89dfb21
Refactor test for Octave version
...
Distinguish between a minimal version required (from a source code perspective,
applicable on all platforms) and an exact version requirement (from a binary
package perspective, in practice used only for our Windows package).
2018-06-06 14:27:53 +02:00
Sébastien Villemot
57f6183d2f
Move some functions out of missing/stats/, since they are only needed for MATLAB
2018-06-06 13:02:42 +02:00
Sébastien Villemot
9211d902a0
Update dseries
2018-06-05 19:56:42 +02:00
Sébastien Villemot
933ed45ead
Octave 4.4 no longer includes statistics functions
...
Those have been moved to the statistics package. If that package is not there,
use a fallback.
2018-06-05 19:53:06 +02:00
Sébastien Villemot
7cbac0c989
Fix user_has_octave_forge_package
...
Packages are no longer autoloaded, so testing whether they are "Loaded" does
not work in all cases.
The function now ensures that the package is loaded.
2018-06-05 19:53:02 +02:00
Houtan Bastani
6f6ef8fb30
Merge branch 'master' into ecb-master
2018-06-05 18:47:55 +02:00
Sébastien Villemot
0b2828af8a
Fix typo
2018-06-05 17:27:22 +02:00
Sébastien Villemot
e8ade6a187
Fix display of Dynare command arguments
2018-06-05 17:27:03 +02:00
Sébastien Villemot
8cadb2ac59
Silence Octave:classdef-to-struct warning
2018-06-05 17:24:52 +02:00
Sébastien Villemot
c7a57e5906
corrcoef is included in Octave 4.4
2018-06-05 17:14:41 +02:00
Stéphane Adjemian(Charybdis)
1730269e80
Fixed bug.
2018-06-01 18:36:42 +02:00
Houtan Bastani
5a515aa3c4
update get_ar_ec_matricies for changes to preprocessor
2018-05-31 19:24:31 +02:00
Houtan Bastani
f9b3f7571e
Merge branch 'master' into ecb-master
2018-05-31 18:55:32 +02:00
Stéphane Adjemian(Charybdis)
e435a34d90
Tempoarary fix for bug in get_ar_matrices routine.
...
The number of lags returned in models with diff(dif((x))) is wrong.
2018-05-31 12:14:36 +02:00
Stéphane Adjemian(Charybdis)
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
Sébastien Villemot
7b546ba696
Compatibility fix for MATLAB < R2010b (7.11)
2018-05-30 17:44:46 +02:00
Houtan Bastani
5273ab0e7d
remove statement erroneously inserted into abd1627ce7
2018-05-30 14:55:17 +02:00
Houtan Bastani
abd1627ce7
adjust get_ar_ec_matrices for preprocessor changes
2018-05-30 14:46:59 +02:00
Stéphane Adjemian(Charybdis)
d96d039a8a
Added VECM as auxiliary model for PAC.
2018-05-29 15:51:31 +02:00
Stéphane Adjemian(Charybdis)
fa5bfbde44
Merge remote-tracking branch 'github/master' into ecb-master
2018-05-29 15:50:17 +02:00
Stéphane Adjemian(Charybdis)
474556e0ca
Added routines related to auxiliary variables.
2018-05-29 15:44:41 +02:00
Stéphane Adjemian(Charybdis)
e48fee90e7
Added missing semicolon.
2018-05-29 12:14:53 +02:00
Stéphane Adjemian(Charybdis)
966d9797dd
Fixed columns ordering in VAR AR matrices.
2018-05-29 12:08:37 +02:00
Houtan Bastani
d5862f93bf
add comment explaining changes in 4e79d12e53
2018-05-28 14:32:11 +02:00
Houtan Bastani
4e79d12e53
move declaration of default values from global_initialization to a separate function
2018-05-28 14:07:32 +02:00
Houtan Bastani
97af53b82d
fix mkdir call in global_initialization
2018-05-28 14:07:32 +02:00
Houtan Bastani
689a9880f4
Merge branch 'master' into ecb-master
2018-05-17 17:07:49 +02:00
Sébastien Villemot
02084ce310
Remove qzcomplex Oct-file
...
It's actually not needed. The QZ complex decomposition can be obtained in
Octave on real matrices by casting them to the complex type.
2018-05-17 12:11:15 +02:00
Stéphane Adjemian(Charybdis)
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
Stéphane Adjemian(Charybdis)
e62c2272b4
Merge remote-tracking branch 'github/master' into ecb-master
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Fixed conflicts:
matlab/modules/dates
2018-05-16 17:32:39 +02:00
Stéphane Adjemian(Charybdis)
ac5fcbe231
Use new approach for setting aux variables in model inversion routine.
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(cherry picked from commit f1ed81aae2
)
2018-05-16 17:27:51 +02:00
Sébastien Villemot
14fbfa028b
Move qzdiv.m and qzswitch.m to partial_information/ subdir
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They are no longer used in the main codebase.
2018-05-16 17:12:48 +02:00
Sébastien Villemot
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
Sébastien Villemot
c180777818
Move check about Octave version to the same place as check for MATLAB
2018-05-16 17:12:48 +02:00
Sébastien Villemot
42b82087d5
Remove codepaths for unsupported Octave versions
2018-05-16 17:12:48 +02:00
Stéphane Adjemian(Charybdis)
afbac2e8eb
Added strsplit routine in missing.
2018-05-16 16:41:43 +02:00
Stéphane Adjemian(Charybdis)
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
Sébastien Villemot
e2c2f2d966
Remove fallbacks for ilu, linsolve and ordschur under Octave
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These functions are all included in Octave 4.2.
2018-05-16 10:48:44 +02:00
Houtan Bastani
1929a07d71
clean up get_ar_ec_matrices
2018-05-16 10:23:19 +02:00
Houtan Bastani
397a850ce5
add support for N nested diffs
2018-05-15 17:06:34 +02:00
Houtan Bastani
6384c9636c
var: fix AR, EC matrices
2018-05-15 16:30:53 +02:00
Sébastien Villemot
473b2f59ef
Provisions for MATLAB 9.4 (R2018a)
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Take into account the API break in the MEX interface (new interleaved complex API).
But do not split MEX directories on MacOS X for the time being.
2018-05-14 15:16:03 +02:00
Stéphane Adjemian(Charybdis)
3fe758c2b2
Cosmetic change in doc headers.
2018-05-05 21:58:52 +02:00
Stéphane Adjemian(Charybdis)
8f53be2a6f
Impose the consistency of the count of unstable eigenvalues...
...
... Between stoch_simul and check. Added sdim (the number of stable
eigenvalues) and edim (the complementary number of explosive eigenvalues) in dr
structure. The test is always done with sdim (or edim) returned by mjdgges.
2018-05-05 19:53:13 +02:00
Stéphane Adjemian(Charybdis)
fa15c3dbc7
Updated dates submodule. Closes #1601 .
2018-05-05 14:56:56 +02:00
Stéphane Adjemian(Charybdis)
fa67aeb7a6
Fixes issue #1607 .
2018-05-05 10:29:37 +02:00
Stéphane Adjemian(Charybdis)
891e3ba7be
Cosmetic change in doc headers.
2018-05-05 10:24:01 +02:00
Stéphane Adjemian(Charybdis)
eb042b145e
Removed debugging display.
2018-04-26 17:46:22 +02:00
Stéphane Adjemian(Charybdis)
d6a20af5f3
Added companion matrix corresponding to the VECM in levels.
2018-04-26 16:42:04 +02:00
Stéphane Adjemian(Charybdis)
e8829eab8e
Check that stationary and/or non stationary components exist.
2018-04-26 16:35:32 +02:00
Stéphane Adjemian(Charybdis)
57bb6f3fe9
Fixed typo.
2018-04-12 12:23:50 +02:00
Stéphane Adjemian(Charybdis)
61c643a91f
Updated the preprocessor submodule (new PAC interface).
2018-04-12 10:11:09 +02:00
Stéphane Adjemian(Charybdis)
cee6dda44d
Fixed check for octave version.
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We should not issue a warning if version() is greater than supported_octave_version().
2018-03-24 22:48:45 +01:00
Stéphane Adjemian(Charybdis)
aa4cabcbeb
Fixed bug (simulation of backward models).
...
Was crashing with three inputs (last one is for innovations) when the first input was an empty array.
2018-03-12 09:45:15 +01:00
Stéphane Adjemian(Charybdis)
8263bbba8a
Use new mechanism for setting auxiliary time series.
2018-03-12 09:34:56 +01:00
Houtan Bastani
c92cb398a6
dyn_ols: add parameter indices to oo_
2018-03-09 13:22:43 +01:00
Stéphane Adjemian(Charybdis)
04cbaec9ba
Merge branch 'diff' into ecb-master
...
Fixed conflicts in:
matlab/backward/checkdatabase.m
2018-03-05 14:33:03 +01:00
Houtan Bastani
5077b38a7e
get_ar_matrices: fix error in maxlag
2018-03-05 13:09:59 +01:00
Houtan Bastani
8403911e64
get_ar_matrices: fix typo
2018-03-05 13:09:50 +01:00
Stéphane Adjemian(Charybdis)
35865d1e37
Cosmetic changes (plot_contributions).
2018-03-05 12:40:32 +01:00
Stéphane Adjemian(Charybdis)
904a11d962
Fixed case where all parameter values are hard coded (plot_contributions).
2018-03-05 12:37:28 +01:00
Stéphane Adjemian(Charybdis)
a62c167146
Fixed issues with new implementation of the diff operator (plot_contributions).
2018-03-05 12:35:49 +01:00
Stéphane Adjemian(Charybdis)
4a646e4ab3
Fixed check on equation tag (plot_contributions).
2018-03-05 12:32:35 +01:00
Stéphane Adjemian(Charybdis)
71ad2cf13b
Removed useless chunk of code...
...
Since the introduction of the new mechanism for setting the auxiliary variables.
2018-03-04 19:30:09 +01:00
Stéphane Adjemian(Charybdis)
b7dcf96905
Use new checkdatabase interface.
2018-03-04 19:16:46 +01:00
Stéphane Adjemian(Charybdis)
f1ed81aae2
Use new approach for setting aux variables in model inversion routine.
2018-03-04 19:15:43 +01:00
Stéphane Adjemian(Charybdis)
06e6db580c
Cosmetic change.
2018-03-04 19:15:27 +01:00
Stéphane Adjemian(Charybdis)
d7f87ba29f
Use new approach for setting aux variables in checkdatabase.
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Also specialize the routine for simulation/inversion problems.
2018-03-04 19:12:46 +01:00
Houtan Bastani
d6305d598f
remove time t matrix of ecm matrices
2018-03-02 17:56:49 +01:00
Stéphane Adjemian(Charybdis)
f848bdfcf8
Fixed typo.
...
(cherry picked from commit 86be2cb998
)
(cherry picked from commit dd9f3fc411
)
2018-03-02 14:45:50 +01:00
Stéphane Adjemian(Charybdis)
dd9f3fc411
Fixed typo.
...
(cherry picked from commit 86be2cb998
)
2018-03-02 10:28:52 +01:00