763b0a2392
make check-{matlab,octave} now return a non-zero exit code if there is a failed test
2018-09-13 16:18:41 +02:00
8ba9918652
Improve style of read_trs_files bash script
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The script is now shellcheck-clean.
Incidentally, fix a bug in the counting of xfailed tests when there are several
such tests in a single .mod file.
2018-09-13 16:18:41 +02:00
2518cd9884
Raise error of an optimization algorithm is not available.
2018-09-13 16:16:07 +02:00
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
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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
eb316d7e2d
update files for change of option name from `trends` to `targets`
2018-09-13 12:24:32 +02:00
43fb70e5b6
Merge branch 'master' into ecb-master-targets
2018-09-13 12:24:22 +02:00
5c4efbda94
preprocessor: submodule update
2018-09-13 12:22:03 +02:00
6f12959dcd
Various CI build fixes
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- do not create symbolic links but rather a real copy for preprocessor/MEX
files, because gitlab serves a zip (which does not support artifacts)
- fix preprocessor artifact location
- disable MATLAB and Octave when building doc
2018-09-12 19:23:52 +02:00
2e547edd26
add test files for preprocessor AR/EC matrices
2018-09-12 19:00:28 +02:00
5ca31c8245
fix spacing in makefile
2018-09-12 19:00:28 +02:00
a92cd4dfc4
CI: checkout submodules
2018-09-12 18:53:44 +02:00
fdcf84e864
First try for CI build
2018-09-12 18:49:48 +02:00
5ab8120780
get companion matrix using preprocessor output instead of get_ar_ec_matrices.m
2018-09-12 18:38:26 +02:00
74094683de
get_companion_matrix: fix header
2018-09-12 18:29:21 +02:00
a6150bae82
get_companion_matrix: simplify check (no need for allocation)
2018-09-12 18:29:14 +02:00
a32e2f165a
get_companion_matrix: remove unnecessary conditional
2018-09-12 18:29:07 +02:00
e9d7f6ca24
Merge branch 'master' into ecb-master
2018-09-12 18:28:47 +02:00
3d2bc65df6
preprocessor: submodule update
2018-09-12 18:27:37 +02:00
9367981b58
preprocessor: submodule update
2018-09-12 18:02:25 +02:00
6815624a6a
Fixed bug.
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Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
62db2e59f5
preprocessor: submodule update
2018-09-12 12:07:51 +02:00
52b6618bae
Fixed paths.
2018-09-12 07:48:49 +02:00
2ba50d3b3b
preprocessor: submodule update
2018-09-11 12:08:18 +02:00
7b834bef29
Update URLs for the move to GitLab
2018-09-10 11:55:04 +02:00
61c2d600ac
Changed remote of preprocessor submodule.
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(cherry picked from commit 1f82fd8c72
2018-09-10 11:14:35 +02:00
1f82fd8c72
Changed remote of preprocessor submodule.
2018-09-10 11:13:04 +02:00
803acb3027
Changed remote for reporting submodule.
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(cherry picked from commit bcdca088d3
2018-09-10 10:41:28 +02:00
bcdca088d3
Changed remote for reporting submodule.
2018-09-10 10:23:21 +02:00
7438498acd
Changed remote for dseries submodule.
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Also changed branch to master.
2018-09-10 10:07:28 +02:00
740f5d3481
Changed remote for dates submodule.
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Also changed branch to master.
2018-09-10 09:49:14 +02:00
d3c618e8a1
Upgrade to Octave 4.4.1 for Windows installer
2018-09-07 18:44:40 +02:00
51416bf2ae
Always use "isoctave" for testing Octave context
2018-09-07 17:22:08 +02:00
f7ee76904d
Changed remote for m-unit-tests submodule.
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(cherry picked from commit 2a60e57dfc
2018-09-07 15:49:07 +02:00
2a60e57dfc
Changed remote for m-unit-tests submodule.
2018-09-07 15:45:15 +02:00
09945cae8f
Added integration tests for PAC model.
2018-09-06 23:42:30 +02:00
8d84d0b38b
Add 'tests/pac/' from commit '72dda0e3ebdb46b741e484f2e2f2155d02c59815'
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git-subtree-dir: tests/pac
git-subtree-mainline: 0f3678ec4a72dda0e3eb
2018-09-06 23:35:53 +02:00
72dda0e3eb
Added README file.
2018-09-06 23:13:14 +02:00
df0c15d418
Add LICENSE
2018-09-06 21:02:16 +00:00
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
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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
ea768b9ff9
Added new tests.
2018-09-06 18:03:19 +02:00
1a071915fa
Updated tests/examples with new ordering of error correction term.
2018-09-06 18:02:45 +02:00
74ef4d2131
Cosmetic change.
2018-09-06 13:40:43 +02:00
5d8a1feda4
Fixed regular expression.
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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
940c970ff3
Use same range in NLS and Iterative OLS.
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The range option is the range of data considered for the right hand side variable.
2018-09-04 09:40:47 +02:00
6e1d06bddc
Display SSR in Iterative OLS.
2018-09-03 18:01:59 +02:00
8b1b1273c3
Fixed correction for growth neutrality.
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Also added the possibility to use an endogenous variable for growth.
2018-09-03 17:57:10 +02:00
fde103d5f4
Removed debugging display.
2018-09-03 17:55:55 +02:00
a207550680
Fixed error correction term.
2018-09-03 17:53:01 +02:00
044f0f8de6
Added missing output required by some integration tests.
2018-09-03 17:38:09 +02:00
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
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... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
Sébastien Villemot
Stéphane Adjemian(Charybdis)
Houtan Bastani
Stéphane Adjemian