Commit Graph

7111 Commits (beb7d42d748f9f0f5216ed7aca93dceb4f73df2c)

Author SHA1 Message Date
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
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.
(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
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
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.
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
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)
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.
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.
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