420e80e538
discretionary_policy: Call steady_state-file to make sure that parameter dependence is correctly handled
...
Prevents cryptic crashes due to NaN in derivatives of objective function
2016-06-23 20:50:17 +02:00
317f958184
Ramsey: Test whether number of instruments matches number of missing equation
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Otherwise cryptic crashes can result
2016-06-23 20:48:01 +02:00
be758613f4
fixed bugs that prevented the computation of the asymptotic Hessian with ML.
2016-06-19 11:09:59 +02:00
25120e54f5
added check for singular values whose eigenvectors contains only ONE column
2016-06-19 11:08:37 +02:00
25243712ba
Fixed bug on non linux platforms + Cosmetic changes.
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The paths to mex files was wrong.
2016-06-17 22:02:34 +02:00
e214ec2976
Allow for parameter_set=mle_mode in conditional_forecast
2016-06-17 00:21:08 +02:00
1c420e6056
Allow for parameter_set=mle_mode in shock_decomposition
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Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
1dea10d478
Updated dynare_config wrt #c7e848948156fe8febca22276a77c9586c565d87
2016-06-17 00:16:06 +02:00
af9b069830
Moved isoctave routine in base directory.
2016-06-17 00:04:00 +02:00
d80f6d9a99
Minimize the number of calls to addpath.
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These calls have a prohibitive cost...
2016-06-16 23:55:07 +02:00
3ae44efbea
Merge pull request #1218 from rattoma/gsa
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Allow Screening with neighborhood_width sampling.
2016-06-16 22:18:39 +02:00
33d35bc3c5
Added quantile routine in missing.
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This is missing if the stats toolbox is not available. Integration test
TeX/fs2000_corr_ME.mod was failing because of its absence.
2016-06-16 14:33:57 +02:00
f86b0a5ad6
Make dyn_forecast.m account for trend_coeffs saving coefficients for all variables
2016-06-16 12:05:38 +02:00
3b09ab5424
Save Smoother.Trend and Smoother.Constant after MCMC
2016-06-16 12:05:38 +02:00
1c84ccdc34
Save trend and constant for all variables in smoother
2016-06-16 12:05:38 +02:00
3efe283bf0
Make oo_.Smoother.TrendCoeff have size of endogenous variables
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Sets coefficients with unspecified trends to 0, allowing to later use the trend_var command for setting trends
2016-06-16 12:05:38 +02:00
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
65ae97d37d
Fixed bug.
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For uniform priors use the prior mean when computing the prior
moments (prior mode is not defined).
2016-06-16 11:59:47 +02:00
789f21257e
Avoid side effects on globals (prior CLI and write_latex_prior_table commands).
2016-06-16 11:57:16 +02:00
2c074d7cd2
Check that a prior is defined in prior CLI command
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Behaviour consistent with the logic introduced in commit
64d01a806e
2016-06-16 11:16:23 +02:00
a91e4dec75
Bug fixes.
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Introduced when we increased the size of the mat files saved on
disk (see commit #e2942662479f822cd4ca1251158f0b5037c3a446).
2016-06-16 11:15:22 +02:00
64d01a806e
Fixed behaviour of write_latex_prior_table command
2016-06-16 10:38:40 +02:00
e94a698a9b
Implement write_latex_prior_table.m
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Fixes and replaces write_table_prior.m and uses consistent name. Also includes documentation
2016-06-15 16:47:39 +02:00
fcb738616c
Fixed bug in extened_path_mc.
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Wrong calling sequence to the routine defining the shocks.
2016-06-15 16:01:08 +02:00
1e7fc89e8d
Replaced filesep by hard coded slash.
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See 57501f802e
2016-06-15 13:14:55 +02:00
57501f802e
Revert "Cosmetic change."
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This reverts commit 544da84e73
2016-06-15 13:07:59 +02:00
473d335851
Fixed bug (wrong structure names).
2016-06-15 00:35:40 +02:00
029e9495ba
Fix bug in dsge_var_likelihood.m where constant was not considered for dof when Gamma function was computed
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Does not affect the maximum of the posterior as it only affects constant term
2016-06-15 00:30:28 +02:00
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
2cf882fec5
Remove comments on dynare_estimation_1.m after implementing store_smoother_results
2016-06-15 00:30:28 +02:00
d08fd37986
Do not set oo_.posterior.optimization-fields when mh_posterior_mode_estimation is used
2016-06-15 00:30:28 +02:00
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
329b91d717
Harmonize output of objective functions
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Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
0edd8e2025
Add penalty_hessian.m and penalty_objective_function.m
2016-06-15 00:30:28 +02:00
544da84e73
Cosmetic change.
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Systematically use filesep instead of '/'.
2016-06-14 22:49:01 +02:00
96128b32ab
Fixed bug (missing folder separator).
2016-06-14 21:53:14 +02:00
2a65e7a85a
Merge branch 'master' into johannes-identification-fixes
2016-06-14 18:17:36 +02:00
fff88f1dc7
display_estimation_results_table.m: Move TeXEnd inside of if-clause to prevent crashes
2016-06-14 15:50:48 +02:00
b3877b3a9e
Save chain's proposal density and make load_mh_file and mh_recover load it
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Closes #504
2016-06-14 15:09:05 +02:00
faab010753
Change file ending from TeX to tex to prevent problems on Linux
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Related to b454c28096
2016-06-14 12:13:48 +02:00
5303d7079b
submodule update: particles
2016-06-14 12:02:15 +02:00
59cbee2b56
Provide output on posterior variance decomposition
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Closes #1219
2016-06-14 11:53:38 +02:00
5ca4204806
Only set texnames in McMCDiagnostics.m if TeX is requested
2016-06-14 11:53:38 +02:00
dc1c5f182c
Make gsa function correctly extract parameter (TeX) names
2016-06-14 11:53:38 +02:00
6be02ef086
Add caller function info to dyn_latex_table.m
2016-06-14 11:53:38 +02:00
55b2cd6f4c
Make sure underscores and backslashes are correctly handled in TeX-loaders of gsa
2016-06-14 11:53:38 +02:00
7325dbe54e
Expand collect_LaTeX_Files.m to gsa redform subfolders
2016-06-14 11:52:49 +02:00
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
42f47e0f55
Correctly indent filt_mc_.m
2016-06-14 11:52:49 +02:00
c3e1c01864
Enable TeX output in rmse-mapping of gsa
2016-06-14 11:52:49 +02:00
cb9095977e
Allow for underscores in TeX-output of gsa
2016-06-14 11:52:49 +02:00
59eec342d2
Allow for second header string in dyntable.m
2016-06-14 11:52:49 +02:00
d02f8d0377
Allow for text-command in math environment by using amsmath package in collect_LaTeX_Files.m
2016-06-14 11:52:49 +02:00
f76a353d65
Allow for underscores in first header element in dyn_latex_table.m
2016-06-14 11:52:49 +02:00
2c4c7558f4
Add TeX output to stab_map_2.m
2016-06-14 11:52:49 +02:00
11687d8c66
Expand collect_LaTeX_Files.m to gsa Output folder
2016-06-14 11:52:49 +02:00
74212ab199
Delete redundant legend input argument in filt_mc_.m that creates warning message in Matlab
2016-06-14 11:52:49 +02:00
ed1dbcac53
Fix setting of names and parameter names in stab_map_
2016-06-14 11:52:49 +02:00
cba10b0d90
Bugfix for setting tex-names in mcf_analysis.m
2016-06-14 11:52:49 +02:00
6f410f4cc1
Provide LaTeX output for model_comparison.m
2016-06-14 11:52:49 +02:00
f5c08fc0e8
Create LaTeX output for Smirnov tests
2016-06-14 11:52:49 +02:00
9b82c72e4f
Remove global options structure from dyntable
2016-06-14 11:52:17 +02:00
849505ec62
Fix display of NaN parameters in TeX-table in ident_bruteforce.m
2016-06-14 11:52:17 +02:00
f851252b25
Pass options_ to dyn_latex_table.m to make it honor noprint option
2016-06-14 11:52:17 +02:00
c6f98433d2
Reset colormap to jet in plot_identification.m
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Necessary after Matlab changed default
2016-06-14 11:52:17 +02:00
73ec852433
Deal with required naming after allowing for correlations in identification in #1200
2016-06-14 11:52:17 +02:00
00cdc05d58
Pass title texts to ident_bruteforce.m to make sure that previous TeX output is not overwritten by advanced option
2016-06-14 11:52:17 +02:00
e294266247
Increase default MaxNumberOfBytes to 100 MB
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Closes #330
2016-06-14 11:51:14 +02:00
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
7ff453846a
Fix passing of compflag in dyn_mex.m
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Fixes 83eeafa32c
2016-06-14 10:45:44 +02:00
83eeafa32c
fix mex file compilation with MSVC. Closes #1227
2016-06-14 10:34:14 +02:00
2bbfb8762b
fix copyright notices
2016-06-14 10:30:57 +02:00
f145a50a85
extend path: removed global options_
2016-06-09 12:02:48 +02:00
4a6e14ea95
extended path: removed option for lcppath
2016-06-09 12:02:48 +02:00
8fa29513f3
extended path: fixing bug for order > 2 and several shocks
2016-06-09 12:02:48 +02:00
335a188dac
Fixed bug in extended path.
...
Allow innovations with zero variance (ie do not force removal of the
variables from the varexo list).
2016-06-09 10:32:25 +02:00
fbc71aa95c
Allow Screening with neighborhood_width sampling.
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Allow calibrated values for neighborhood_width sampling to violate prior bounds.
2016-06-07 12:22:39 +02:00
3d16707dd9
Updated particles submodule (bug fixes).
2016-06-01 19:56:09 +02:00
dc1cfb4509
Updated particles submodule (bug fix).
2016-06-01 17:12:39 +02:00
392977d4ef
Changed default parameters for unscented transform (Particle filters).
2016-06-01 17:01:23 +02:00
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
272e3c96f8
Updated particles submodule.
2016-06-01 16:29:53 +02:00
e0475fd4ef
extended path: use deterministic_simulation.status instead of maxerror
2016-05-31 12:10:12 +02:00
0ce2834281
extended path: fixed boundaries for linear problem
2016-05-31 12:10:12 +02:00
5024af0099
extended path: fixed calibrated shocks
2016-05-31 12:10:12 +02:00
c14125d585
PATH: fixing bugs
2016-05-31 12:10:12 +02:00
76f008e4e4
PATH: remove calls to lcppath that doesn't work with perfect foresight models
2016-05-31 12:10:12 +02:00
d106b20b69
perfect foresight: set boundaries with PATH
2016-05-31 12:10:12 +02:00
ddb9c0657c
fixing linear complementarity problem
2016-05-31 12:10:12 +02:00
450d7b099a
fixing error status for PATH hook
2016-05-31 12:10:12 +02:00
11161063d4
removing debugging output
2016-05-31 12:10:12 +02:00
c49332df43
add support for PATH for steady state
2016-05-31 12:10:12 +02:00
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
b8132eb556
extended path: adding support for calibrated shock.
...
This commit is not satisfactory because it uses M_.det_shocks
for unexpected shocks. We need to improve on it soon.
2016-05-31 12:10:12 +02:00
96098a17d2
Cosmetic fix to set_all_parameters.m
2016-05-30 13:31:22 +02:00
118b3ccb74
catstruct.m: remove call to nargchk, which will be removed in future Matlab versions
2016-05-28 19:32:11 +02:00
dfbad0404d
Fixed crash in sim1_linear when periods=1.
...
Closes #1176 .
2016-05-26 22:19:36 +02:00
fb4dfc6da6
Fixed typo.
2016-05-24 22:32:02 +02:00
cd55ed749c
extended_path: fixing inititalization for PATH
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(cherry picked from commit 7d29e917f77e7e20211e5be01544d86c64af8c65)
2016-05-24 18:08:33 +02:00
28c0c92ae8
fixing typos
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(cherry picked from commit 86995a3bd478a3dc02919424aeb77e2a550a84c5)
2016-05-24 17:57:26 +02:00
3fa6a96bfb
Added homotopy.
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Fixes the issue of paths containing spurious solutions for (stochastic)
perfect foresight models.
2016-05-24 17:28:24 +02:00
cfc6957625
Cosmetic changes.
2016-05-24 17:28:24 +02:00
8b5b7921f6
Improved solver for (S)EP.
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Use previous solution as an initial condition for the perfect foresight problem.
2016-05-24 17:28:24 +02:00
80f1baad7e
Changed solver in simul_backward_nonlinear_model.
2016-05-24 17:28:24 +02:00
6c7f3f1932
Added input to pass sequence of shocks.
2016-05-24 17:28:24 +02:00
7d1d860a53
Fixed ep.init option.
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Initialization of the perfect foresight solver (in extended path) with
the solution of the first order approximation of the model was broken.
If the value of options_.ep.init is "true"" (1) then the solution of the
first order approximation is used as an initial guess for the newton
lilke solver. If the value of options_.ep.init is "false" (0) the solver
is initialized with the steady state.
2016-05-24 17:28:24 +02:00
dabdda0506
Fixed wrong definition of a logical variable.
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The second outputr returned by perfect_foresight_solver_core is the
max. abs. residual, not a dummy variable indicating success or failure
of the perfect foresight solver.
2016-05-24 17:28:24 +02:00
fbf2fae036
Changed option value for unscented integration nodes.
2016-05-24 17:28:24 +02:00
fdbd4fa7a7
Code factorization.
...
- Added routines for initializing and setting shocks in EP.
- Added a specialized routine for doing Monte Carlo around EP.
2016-05-24 17:28:24 +02:00
3bbac629ed
Cosmetic change.
...
Removed maximum_lead and maximum_lag in extended_path routines.
2016-05-24 17:28:24 +02:00
d74f315bfb
Fixed bug in (Stochastic) Extended Path algorithm.
...
Innovations were not correctly passed to the non linear solver. Closes #1128 .
2016-05-24 17:28:24 +02:00
4926b6c6ff
Added a routine the residuals of a model.
...
Takes a path for the endogenous variables and returns the residuals of
the dynamic equations. This routine is useful for solving the model with
the PEA approach.
2016-05-24 17:28:24 +02:00
ea1ebfa911
Added argument to simul_backward_nonlinear_model.
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First input argument is a vector for the initial condition of the
endogenous variables. If empty, the steady state of the model is used.
2016-05-24 17:28:24 +02:00
e507a6d0a9
Fixed copyright header.
2016-05-24 17:28:24 +02:00
8958b7ef98
Cosmetic changes.
2016-05-24 17:28:24 +02:00
3a1f74d7a7
Fixed typo.
2016-05-24 17:28:24 +02:00
13ca15a278
Allow (S)EP with arbitrary sequence of innovations.
...
The third input argument of extended_path Matlab/Octave's routine is the
sequence of shocks (T*n array, where n is the number of exogenous
variables and T is the size of the sample). If the third argument is
empty, the (stochastic) extended path is run with gaussian
innovations (this corresponds to the previous behaviour).
TODO:
- Fix the compatibility with ep.replic_nbr
- Check the 'calibrated' mode.
2016-05-24 17:28:24 +02:00
b60bd7b36b
Removed globals from extended_path routine.
2016-05-24 17:28:24 +02:00
ee78ad2049
Improved execution speed.
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Removed some calls to bsxfun which is not optimal on sparse matrices. I
only removed the calls where I identified bottlenecks (with a Smets and
Wouters model), more tests are needed to decide if we have to remove other
occurences of bsxfun on sparse matrices.
2016-05-24 17:26:06 +02:00
be0f6230ad
Cosmetic changes.
...
- Use a switch-case block.
- Added a warning when the user tries to solve a linear(ized) model
with solve_algo different from 0 (for a linear model).
- Added an error message if the user try to solve a linearized model
with stack_solve_algo=6 (not implemented).
2016-05-24 17:26:06 +02:00
1815eb8e56
Code factorization.
2016-05-24 17:26:06 +02:00
8a163842d0
Removed oo_ from sim1_linear routine.
2016-05-24 17:26:06 +02:00
53747cb082
Fixed lmmcp option.
...
This option may be used in extended_path and perfect_foresight_solver commands.
2016-05-24 17:26:06 +02:00
e0be60710c
Removed oo_ from sim1_purely_{backward,forward} routines.
2016-05-24 17:26:06 +02:00
290ce5db68
Removed oo_ from sim1_lbj routine.
2016-05-24 17:26:06 +02:00
674c9ab286
Removed oo_ from sim1 routine.
2016-05-24 17:26:06 +02:00
3e8dbcfc7e
Set mode_files in such a way that it can be handled with key-value pair.
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We need a single mode file that contains variable xparams = [x1 x2 x3] all multiple modes, one per column.
Fixes #1199
2016-05-22 23:15:18 +02:00
d8fea3ff13
Correlations and measurement errors in identification:
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1) Filter out measurement errors with error message that suggests to explicitly write measurement errors in model definition
2) allow identification checks with correlations, by switching to numerical derivatives
2016-05-22 23:10:01 +02:00
389f43019d
Put fields of OSR in M_ into workspace to restore compatibility with 4.4.3
2016-05-22 11:41:54 +02:00
d10f8b42d7
Fix bug in convert_dyn_45_to_44.m if bayestopt_ is empty
2016-05-22 11:41:54 +02:00
03563e012b
Allow for pass OSR parameter bounds to optimizer
2016-05-22 11:41:54 +02:00
9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
3df1a1275f
Merge pull request #1185 from JohannesPfeifer/bytecode_fixes
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Bytecode fixes
2016-05-22 10:32:56 +02:00
13d42e05a5
Add missing else-clause in simulated_moment_uncertainty.m
...
Fixes crash in unit tests
2016-05-22 10:03:56 +02:00
0521aa4e09
Merge pull request #1188 from JohannesPfeifer/slice_marco
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Add slice and factorization of posterior samplers
2016-05-22 01:45:14 +02:00
161f674dd9
Fix two TeX loaders where apostrophe was missing
2016-05-20 12:43:52 +02:00
7c97d7c662
Allow displaying 0 rows in disp_dr.m
2016-05-20 12:42:43 +02:00
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
89fd14f026
Filter out unit root cases that lead to crashes
2016-05-19 18:57:47 +02:00
1f71331e58
Fix dynareParallelGetFiles.m call to random_walk_metropolis_hastings
2016-05-19 17:43:48 +02:00
12ee5b7276
Fix copyrights and references to random_walk_metropolis_hastings headers
2016-05-19 17:15:31 +02:00
781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
Marco Ratto
Stéphane Adjemian (Hermes)
Houtan Bastani
Michel Juillard