c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
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It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
28aeb9f308
bug fix
2016-05-17 08:40:32 +02:00
5723e7ea58
build system: remove support for 32-bit Matlab on OS X
2016-05-13 10:53:55 +02:00
89667ea8da
remove unused file. closes #1172
2016-05-11 15:12:27 +02:00
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
5e5157e375
loglinear: bug correction
2016-05-06 10:12:12 +02:00
67ea280773
adding missing semi-colon
2016-05-06 10:11:53 +02:00
ef232ac436
fixed log_variable function
2016-05-05 20:53:22 +02:00
3c7c2f46a4
more fixes for loglinear with lead/lagged exogenous variables
2016-05-05 20:41:02 +02:00
7e13fe5ef7
fix loglinear option with leaded or lagged exogenous variables
2016-05-05 20:41:02 +02:00
e07d97a16e
Merge pull request #1186 from rattoma/gsa
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gsa and identification fixes
2016-05-05 19:19:10 +02:00
1b769d1d5f
1) fixed bug with initialization of infox
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2) distinguish between no solution (iwrong index) and violation of prior restrictions (inorestriction)
3) smirnov tests for indeterminacy and explosive roots should be done EXCLUDING no solution cases
2016-05-05 16:53:18 +02:00
8e1d225832
Allow to perform neighborhood_width sampling around calibrated values;
2016-05-05 16:18:17 +02:00
0e402fa7e9
Filter out cases where too few samples are available for ANOVA estimation
2016-05-05 16:11:53 +02:00
8b54354a27
Make identification compliant with calibration parameter set [bug fix]
2016-05-05 16:08:14 +02:00
bebcfffe04
fix license, file copyright errors
2016-05-04 16:30:16 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
b364dd1d4c
Account for Matlab 2016a in installer and mex-folder
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Note that 32bit is not supported anymore
(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)
2016-05-04 11:12:35 +02:00
6593c433f3
Revert "Account for Matlab 2016a in installer and mex-folder"
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This reverts commit 6072aa0b46
2016-05-03 22:20:10 +02:00
6072aa0b46
Account for Matlab 2016a in installer and mex-folder
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Note that 32bit is not supported anymore
(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)
2016-05-03 15:24:23 +02:00
c48a2659e5
Fix warning message that confused structural shocks with measurement errors
2016-05-01 17:52:57 +02:00
6eb2e43432
Merge pull request #1171 from JohannesPfeifer/discretionary_policy
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discretionary_policy_1.m: keep state space fixed even if state variab…
2016-04-18 22:17:42 +02:00
d1735e1d9e
discretionary_policy_1.m: keep state space fixed even if state variable gets coefficient of 0 in solution by including appropriate 0 column. (Thanks to Junior Maih)
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Reverts 3b64c37cb3
2016-04-18 21:48:28 +02:00
e8c430a923
replaced transtion_matrix.m by kalman_transition_matrix.m
2016-04-16 17:21:42 +02:00
3d6c184566
Merge pull request #1168 from JohannesPfeifer/filter_tests
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Improve speed of filtering unit tests and clean up setting of options
2016-04-15 09:50:49 +02:00
a047b42dd3
Merge pull request #1167 from JohannesPfeifer/shock_decomp_fix
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Add missing deblank to fieldname setting in shock_decomposition.m
2016-04-15 09:50:39 +02:00
a21aa064c9
Merge pull request #1166 from JohannesPfeifer/kalman_fixes
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Kalman fixes
2016-04-15 09:50:25 +02:00
c509f6d463
Add missing deblank to fieldname setting in shock_decomposition.m
2016-04-15 09:41:38 +02:00
3542d086ae
Transform hard-coded bandpass filter order into option
2016-04-15 09:23:35 +02:00
800d79d6e5
add option colormap for shocks_decomposition
2016-04-15 09:02:53 +02:00
de567377c3
adding groups of shocks for shock_decomposition
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consistency checks, documentation and test case
are still missing
2016-04-15 09:02:53 +02:00
8908d46567
Initialize s to make sure univariate_kalman_filter_d.m does not crash if newRank is 0 initially
2016-04-14 20:11:49 +02:00
9a9b8f2a70
Account for smoother setting parameter count fields in dynare_estimation_init.m
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Otherwise, subsequent calls to the smoother will result in crashes
2016-04-14 20:11:22 +02:00
7c53ea1e96
Fixed unit tests.
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(cherry picked from commit 2cdfc0518350e4f26dd406b1730f2cf20ce29e07)
2016-04-14 17:21:37 +02:00
a8cc21eb97
Merge pull request #1163 from JohannesPfeifer/Smoother_fixes
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Various fixes and documentation improvements related to smoother, trends and selected_variables_only option
2016-04-12 14:22:19 +02:00
62efd9930e
Merge pull request #1148 from JohannesPfeifer/foresight_imaginary
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Add check whether real part of complex solution solves the model
2016-04-12 13:06:26 +02:00
8f1eb47a5e
Merge pull request #1104 from JohannesPfeifer/solve_algo_0
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Only accept steady state when fsolve retuns with normal return code 1
2016-04-12 13:05:28 +02:00
aa1a0b5e25
Merge pull request #1052 from JohannesPfeifer/lin_solve_robust
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Integrate robust linear solver for stack_solve_algo=0
2016-04-12 12:06:22 +02:00
d7e4469a28
Merge pull request #1153 from JohannesPfeifer/steady_check_flag
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Make evaluate_steady_state.m honor nocheck flag
2016-04-12 12:04:57 +02:00
Marco Ratto
Houtan Bastani
Johannes Pfeifer
Michel Juillard
Stéphane Adjemian