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14226 Commits (c24445e8e4c1fcb8298da7cf941cf11cdbf62a49)

Author SHA1 Message Date
Willi Mutschler c24445e8e4
📖 Added @Johannes review of MoM documentation 2021-08-16 10:41:07 +02:00
Willi Mutschler 4c0f8ec6be
📖Added documentation for method of moments 2021-08-16 10:41:07 +02:00
Stéphane Adjemian (Charybdis) 8d0241171b
Cosmetic change (remove trailing space). 2021-08-16 10:36:38 +02:00
Johannes Pfeifer 862b6d1387 manual: correct description of how to change HPI 2021-08-08 11:00:57 +02:00
Johannes Pfeifer 650e02d98a manual: remove misleading statement on prior truncation 2021-08-08 11:00:53 +02:00
Stéphane Adjemian (Ryûk) ebfa72740f
Changed default for initial step bound factor. 
Should fix simulation failure in pac/trend-component-10/example1, that
seems to be caused by a too large value of this parameter.
 2021-07-24 12:20:29 +02:00
Stéphane Adjemian (Ryûk) 873a9b1a38
Fix call to solve1 routine. 2021-07-23 22:16:43 +02:00
Stéphane Adjemian (Ryûk) 993872d5af
Update dseries submodule (track master branch). 2021-07-23 20:39:00 +02:00
Stéphane Adjemian (Ryûk) bdc95dd1d0
Add unit tests (trust_region algorithm). 
Using mex implementation (block_trust_region).
 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) e8cc23d3af
Bug fixes (typos). 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) a905539f60
Add test functions for nonlinear solvers. 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) 0d092a36a0
Acknowledge option trust_region_initial_step_bound_factor in matlab based trust_region routine. 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) e72dde69d3
Add option for trust region algorithm (mex). 
trust_region_initial_step_bound_factor is determinining thye initial
step bound. Default value is 100 (previous hard coded value was 1).
 2021-07-23 19:44:16 +02:00
Sébastien Villemot b34be496c5 Merge branch 'evaluate_planner' into 'master' 
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight

See merge request Dynare/dynare!1890
 2021-07-23 14:01:22 +00:00
Sébastien Villemot 5d5fefca25
Bump version numbers 2021-07-23 15:57:19 +02:00
Johannes Pfeifer 440a0e460b
Storage of results: use subfolder 
Ref. #1758
 2021-07-23 14:12:17 +02:00
Johannes Pfeifer e09d215964 evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight 
Also cosmetic changes to indentation
 2021-07-23 13:27:30 +02:00
Sébastien Villemot 263e97dabe Merge branch 'check_model' into 'master' 
check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks

Closes #1792

See merge request Dynare/dynare!1885
 2021-07-23 10:49:05 +00:00
Johannes Pfeifer 3d5601caec check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1792
 2021-07-23 11:25:43 +02:00
Sébastien Villemot 41814becf1 Merge branch 'moments_varendo' into 'master' 
dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...

Closes #1769

See merge request Dynare/dynare!1888
 2021-07-22 16:25:01 +00:00
Sébastien Villemot baa0fb6e70
Preprocessor update: cosmetic change 2021-07-22 17:58:19 +02:00
Johannes Pfeifer 4d43e1850d dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance: only do computations once 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1769
 2021-07-22 17:03:27 +02:00
Sébastien Villemot 3206ea9684 Merge branch 'evaluate_planner_objective' into 'master' 
Streamline evaluate planner objective

See merge request Dynare/dynare!1887
 2021-07-22 14:42:22 +00:00
Johannes Pfeifer a517c1f1de neo_growth_ramsey_k_order.mod: call evaluate_planner_objective 2021-07-22 15:20:30 +02:00
Johannes Pfeifer 66dcef2754 k_order_welfare.cc: remove gratuitous screen output 2021-07-22 15:12:59 +02:00
Johannes Pfeifer 11c75592fb evaluate_planner_objective.m: compute required moments directly 2021-07-22 15:01:15 +02:00
Sébastien Villemot 8b8f919a0f Merge branch 'smoother2histval' into 'master' 
Improvements for smoother2histval

See merge request Dynare/dynare!1886
 2021-07-22 12:03:59 +00:00
Johannes Pfeifer 3fb41e075f Matlab implementation of the consider_all_endogenous_and_auxiliary option 2021-07-22 13:12:27 +02:00
Johannes Pfeifer a04c348d73 smoother2histval.m: provide warning when smoothed variables are missing 2021-07-22 12:22:18 +02:00
Sébastien Villemot 0e793faeb2 Merge branch 'pf_options' into 'master' 
Particle filter: enable passing of option values and prepare for other samplers

Closes preprocessor#59

See merge request Dynare/dynare!1884
 2021-07-22 09:50:10 +00:00
Johannes Pfeifer 80cad32068 Particle filter: enable passing of option values and prepare for other samplers 2021-07-21 23:00:32 +02:00
Sébastien Villemot dc45ac6361 Merge branch 'master' into 'master' 
occbin fixes and two small new features

See merge request Dynare/dynare!1883
 2021-07-21 18:21:16 +00:00
Sébastien Villemot 8881f0ecf9
Windows package: bump dependencies 2021-07-21 20:18:36 +02:00
Marco Ratto 4caebd76c9 added 2 new occbin.simul options (defaults preserve current behavior): 
1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
 2021-07-21 18:03:23 +02:00
Stéphane Adjemian (Ryûk) cd2ed823b6
Fix constant in VAR and PAC expectations... 
When the VAR auxiliary model has a constant.
 2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk) a69f68bb7c
Modify companion matrix if VAR model has a constant. 2021-07-21 18:02:04 +02:00
Marco Ratto ebdfcc80ec fixed bug introduced in 229282a1c4 2021-07-21 17:59:01 +02:00
Marco Ratto c48f737633 make header names compatible with earlier versions of MATLAB (e.g. it would crash with MATLAB 2017b) 2021-07-21 17:51:05 +02:00
Marco Ratto 85e35b1654 1) if not using relaxation, initial guess regime in verify step(occbin simul) is set equal to the guess regime used to updated states and shocks 
2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
 2021-07-21 17:51:03 +02:00
Marco Ratto d3e5e7b8ef Initialize state space matrices with occbin smoother, when realtime regimes are computed, otherwise they are set to 0 for t<first_period_occbin_update! 2021-07-21 17:51:00 +02:00
Marco Ratto bec52fe731 with occbin smoother do not overwrite updated variables that have been already computed with reduced state space 2021-07-21 17:50:58 +02:00
Sébastien Villemot 1d5d46e150
Windows package: bump to Octave 6.3.0 2021-07-21 17:32:02 +02:00
Sébastien Villemot 4c94da514e
CI: bump to Octave 6.3.0 2021-07-21 17:29:12 +02:00
Sébastien Villemot 1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1882
 2021-07-21 16:42:00 +02:00
Sébastien Villemot 6b70846c58
Merge branch 'occbin_test' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1881
 2021-07-21 16:38:44 +02:00
Sébastien Villemot a142907e44
Particles / Alternative samplers: header fixes and indentation 2021-07-21 16:37:56 +02:00
Sébastien Villemot ad390be3c7
Preprocessor update 
— Fix preprocessor crash when a [static] equation contains a “var_expectation” operator
– Occbin: handle external functions in “occbin_constraints”
— Occbin: add more sanity checks on expressions in “occbin_constraints” block
 2021-07-21 16:35:48 +02:00
Johannes Pfeifer 944bf2b68e occbin: work with non-demeaned data and in constraints 2021-07-21 13:42:38 +02:00
Johannes Pfeifer ac3f04c2ff borrcon*.mod: nostrict option is not needed anymore 2021-07-20 22:38:21 +02:00
Sébastien Villemot c4e1d1e802
Occbin: new syntax for constructing multi-regime equations 
Ref. #569
 2021-07-20 18:19:19 +02:00