Stéphane Adjemian (Ryûk)
fe63082c42
Add lagged information set in VAR based expectations.
2021-07-06 23:06:46 +02:00
Johannes Pfeifer
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
Sébastien Villemot
43607acf38
Merge branch 'resolveheader' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1875
2021-06-16 17:41:40 +02:00
Sébastien Villemot
18a172bd45
Merge branch 'mcp_ramsey' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1874
2021-06-16 17:41:40 +02:00
Sébastien Villemot
820df39ff7
Compatibility fix for MATLAB < R2019b
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MATLAB < R2019b does not accept “bar(1, [2 3])”.
2021-06-16 17:41:40 +02:00
Johannes Pfeifer
1d10659b59
get_complementarity_conditions.m: fix equation numbering with ramsey_model
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M_.equation_tags already contains the correct equation number
2021-06-16 13:21:49 +02:00
Johannes Pfeifer
32e1f34579
dynare_resolve.m: correct header and change naming of globals
2021-06-16 13:17:29 +02:00
Stéphane Adjemian (Ryuk)
8611143409
Updated particles submodule (fix for the online filter).
2021-06-15 22:09:35 +02:00
Normann Rion
3d27672c58
kth-order approximation of conditional welfare
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Partially addresses issue #1680 :
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
2021-06-15 15:04:31 +02:00
Stéphane Adjemian (Ryuk)
edeb7911f3
Fix bug (initial period in extended path).
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extended_path was crashing in preceeded by a call to the set_time command.
2021-06-15 14:24:38 +02:00
Sébastien Villemot
be38866487
Fix handling of heteroskedastic_shocks block with several declared periods
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Closes : #1791
2021-06-15 12:54:54 +02:00
Johannes Pfeifer
e5b51f3257
DsgeSmoother.m: header cosmetics
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[skip CI]
2021-06-15 11:16:41 +02:00
Sébastien Villemot
6258699060
Merge branch 'disclyap' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1872
2021-06-14 15:29:01 +02:00
Sébastien Villemot
68bca0cd2a
Merge branch 'pruned_state_space' into 'master'
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pruned_state_space: handle shocks with 0 variances
See merge request Dynare/dynare!1871
2021-06-14 10:37:45 +00:00
Johannes Pfeifer
e8c3758fc7
disclyap_fast.m: fix check for convergence with NaN
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[skip CI]
2021-06-11 14:22:10 +02:00
Johannes Pfeifer
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
Sébastien Villemot
45933779a4
Merge branch 'simult_' into 'master'
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simult_.m: fix error message at order>3
See merge request Dynare/dynare!1870
2021-06-10 15:24:45 +00:00
Johannes Pfeifer
907066ae95
simult_.m: fix error message at order>3
2021-06-10 14:40:19 +02:00
Sébastien Villemot
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
Sébastien Villemot
4733d97ceb
dseries: fix concatenation with empty dates objects
2021-06-09 17:33:25 +02:00
Sébastien Villemot
04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1869
2021-06-09 14:41:03 +02:00
Johannes Pfeifer
f38a1edaee
posterior_sampler.m: trap case where record.ProposalCovariance is not filled (slice sampler)
2021-06-08 21:03:08 +02:00
Johannes Pfeifer
e546d686eb
dynare_solve.m: allow calling function directly
2021-06-04 21:24:53 +02:00
Johannes Pfeifer
4e0f2bf695
dynare_solve.m: have csolve honor selected options
2021-06-02 16:21:16 +02:00
Johannes Pfeifer
f4c0781f45
calibrate_mh_scale_parameter.m: Expand header
2021-06-01 11:34:39 +02:00
Johannes Pfeifer
f51a57374a
mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur.
2021-06-01 11:23:07 +02:00
Johannes Pfeifer
fad86785da
evaluate_planner_objective.m: do not evaluate non-existing terms for linear models
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1781
2021-05-28 17:00:44 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
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Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
MichelJuillard
5ab724d38f
Following a change in the calling sequence. Fixes #1789
2021-05-28 13:49:58 +02:00
Stéphane Adjemian
77612e6bb7
Merge branch 'particle' into 'master'
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non_linear_dsge_likelihood.m: filter out explosive initial simulation
See merge request Dynare/dynare!1861
2021-05-28 11:42:24 +00:00
Johannes Pfeifer
f97c138685
sim1_purely_backward.m: for purely static model, do not use past value for first iteration
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Index 0 does not exist.
2021-05-27 22:37:45 +02:00
Johannes Pfeifer
cac6f82e34
non_linear_dsge_likelihood.m: filter out explosive initial simulation
2021-05-27 21:04:35 +02:00
Sébastien Villemot
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
Sébastien Villemot
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
Marco Ratto
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
Johannes Pfeifer
7541b1b116
prior_draw.m: cosmetic fix
2021-05-27 16:46:40 +02:00
Johannes Pfeifer
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
2021-05-27 16:46:28 +02:00
Sébastien Villemot
ae574fff78
Merge branch 'diagnostics' into 'master'
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model_diagnostics.m: only provide message if imaginary component reaches tolerance level
See merge request Dynare/dynare!1855
2021-05-27 14:23:55 +00:00
Stéphane Adjemian (Charybdis)
3e7cd877d3
Fix error message consistently with 2743ca8fd
.
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[skip ci]
2021-05-26 19:11:01 +02:00
Stéphane Adjemian (Charybdis)
2743ca8fdb
Fix workspace if dynare is called from a function.
2021-05-26 19:07:44 +02:00
Marcoo Ratto
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
Sébastien Villemot
ba3522a9ba
Merge branch 'compute_decision_rules' into 'master'
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Use of the compute_decision_rules function to factorize code
See merge request Dynare/dynare!1856
2021-05-25 16:18:43 +00:00
Selma Malmberg
9c6cc04b0d
Use of the compute_decision_rules function to factorize code (Ref.#1173)
2021-05-20 11:36:29 +02:00
Johannes Pfeifer
7e72b52677
model_diagnostics.m: only provide message if imaginary component reaches tolerance level
2021-05-20 11:23:48 +02:00
Johannes Pfeifer
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
Johannes Pfeifer
7d4b01883d
get_identification_jacobians.m: remove unnecessary reordering of equations
2021-05-14 13:35:01 +02:00
Johannes Pfeifer
c8bc12ab6c
forcst.m: fix case with measurement error
2021-05-12 17:44:35 +02:00
Sébastien Villemot
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
Marco Ratto
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
Johannes Pfeifer
cc045caa6f
loglinear: Take care of non-logged lagged/leaded exogenous variables
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Closes : #1783
2021-05-11 17:47:25 +02:00
Johannes Pfeifer
5a2fbe2f89
dynare.m: remove non-working line feed
2021-05-11 14:24:02 +02:00
Sébastien Villemot
bdb743eaa7
Merge branch 'rattoma/dynare-fast_realtime_shock_decomp'
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Closes !1842
2021-05-10 15:55:28 +02:00
Marco Ratto
2d39991a0a
allow for a more accurate (and more expensive) fast realtime modality, triggered by fast_realtime=INTEGER_VECTOR and where vector fast_realtime controls periods for which the smoother is run. If max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual updated accordingly.
2021-05-10 15:55:03 +02:00
Sébastien Villemot
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
Marco Ratto
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
Sébastien Villemot
088fd64114
Merge branch 'rattoma/dynare-smoother_fixes'
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Ref. !1847
2021-05-07 16:35:36 +02:00
Marco Ratto
551917581f
Bug fixes in fitered variances of smoother
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- kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
- kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
2021-05-07 16:34:53 +02:00
Marco Ratto
d43a057af3
store_smoother_results: fix header explanation of output arguments
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Variances are now in declaration order.
2021-05-07 16:34:35 +02:00
Sébastien Villemot
ca43df16e0
Merge branch 'dot_error' into 'master'
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Filter out "Dot indexing is not supported for variables of this type." error...
See merge request Dynare/dynare!1846
2021-05-06 14:49:39 +00:00
Sébastien Villemot
58db4a4c21
Merge branch 'rattoma/dynare-parallel_without_psexec'
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Ref. !1843
2021-05-06 16:31:15 +02:00
Marco Ratto
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
Johannes Pfeifer
f43ee91ed8
Filter out "Dot indexing is not supported for variables of this type." error if variable conflicts with namespace
2021-05-06 10:59:19 +02:00
Sébastien Villemot
f9fb3bb386
Octave compatibility fix: xlswrite() from the io package does not return a 2nd output
2021-05-05 15:47:14 +02:00
Sébastien Villemot
96ad0fbec5
SUR / pooled OLS: workaround for Octave bug in dbstack(N)
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See https://savannah.gnu.org/bugs/?60531
By the way, also add a safety check in pooled OLS for the case where the
function is directly called from the top-level.
2021-05-05 15:27:15 +02:00
Sébastien Villemot
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
Sébastien Villemot
0a7d60e7a6
Stochastic solution under block decomposition: minor simplification
2021-05-04 16:33:15 +02:00
Sébastien Villemot
f617631b68
Merge branch 'mode_compute6' into 'master'
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gmhmaxlik.m: show mode value in addition to change in mode
See merge request Dynare/dynare!1845
2021-05-04 09:12:27 +00:00
Johannes Pfeifer
9a4bbfef09
gmhmaxlik.m: show mode value in addition to change in mode
2021-05-03 20:33:21 +02:00
Sébastien Villemot
1e4d2f5aef
dseries: fix double() method for dates at yearly frequenc
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Ref. dseries#47
2021-05-03 15:03:42 +02:00
Sébastien Villemot
ec28179043
Perfect foresight: add warning when lmmcp and linear option are used together
2021-04-20 16:53:54 +02:00
Sébastien Villemot
0cef790498
Preprocessor: fix treatment of “series” option of “initval_file”
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As a consequence, adapt histval_initvalf.m to the new format.
2021-04-20 10:44:18 +02:00
Stéphane Adjemian (Charybdis)
6fe97182da
Deactivate unit tests for gamrnd if statistical toolbox is available.
2021-04-09 12:44:59 +02:00
Stéphane Adjemian (Charybdis)
237aa465d2
Fix precision in perfect_foresight_solver for backward models.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
a03b65bab7
Honour option solve_algo with backward models in perfect_foresight_solver.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
8683790927
Throw error if solve_algo={12,14} is used without JSON output.
2021-04-08 20:31:40 +02:00
Sébastien Villemot
d5c8e8115e
Preprocessor update
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— Properly escape some characters in JSON. As a consequence, remove the
workaround that was in matlab/loadjson_.m
— Fix JSON output for load_params_and_steady_state
— Add maximum lead/lag and varobs to JSON output
2021-04-08 14:51:49 +02:00
Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
Johannes Pfeifer
3c11ee9581
posterior_sampler.m: make sure proposal density fields are set in parallel
2021-03-25 17:11:48 +01:00
Sébastien Villemot
a42a9fff75
Merge branch 'foresight_debug' into 'master'
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perfect foresight: provide debugging information for singular Jacobian
Closes #1732
See merge request Dynare/dynare!1834
2021-03-22 09:41:24 +00:00
Sébastien Villemot
baa6c8dbbd
Provisions for MATLAB R2021a
2021-03-17 17:47:27 +01:00
Johannes Pfeifer
b5a4c0695f
perfect foresight: provide debugging information for singular Jacobian
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1732
2021-03-17 15:02:30 +01:00
Sébastien Villemot
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Stéphane Adjemian (Charybdis)
3859ea0de0
Fix read_key_value_string if commas are followed by spaces.
2021-02-26 17:50:47 +01:00
Stéphane Adjemian (Charybdis)
6752426809
Bug fixes in particles submodule.
2021-02-26 10:40:37 +01:00
Stéphane Adjemian (Charybdis)
9e37e07075
Updated dseries submodule (time aggregation routines).
2021-02-26 09:44:24 +01:00
Normann Rion
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
Sébastien Villemot
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
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Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
Sébastien Villemot
75882bcc11
Improve command suggestion for installing statistics package from Octave Forge
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The “io” package is a dependency, hence must be explicitly installed first.
[skip ci]
2021-02-19 14:24:32 +01:00
Sébastien Villemot
3939544498
Remove remnants from estimation DLL
2021-02-18 14:26:10 +01:00
Normann Rion
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
Normann Rion
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
Sébastien Villemot
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
Sébastien Villemot
6d95abdb95
Merge remote-tracking branch 'origin/JohannesPfeifer-master-patch-11225'
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Ref. !1830
2021-02-16 16:58:04 +01:00
Sébastien Villemot
9ddad32e4e
Merge branch 'shock_decomp_fixes' of git.dynare.org:rattoma/dynare
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Ref. !1829
2021-02-16 16:56:52 +01:00
Sébastien Villemot
9d06016dc3
Merge branch 'fixes_4.7' of git.dynare.org:rattoma/dynare
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See !1827
2021-02-16 16:55:31 +01:00
Nikola Bokan
592cd69e25
Bug-fix: staticmodel type.
2021-02-16 15:06:43 +01:00
Johannes Pfeifer
99c7d88c53
dyn_forecast.m: set first_obs and allow for Bayesian smoother input
2021-02-16 11:26:35 +01:00
Johannes Pfeifer
6b2555f0ad
smoother2histval: fix computation of data length
2021-02-16 09:00:11 +00:00
Marco Ratto
50e80fe496
write xls output in Output subdir
2021-02-16 09:56:22 +01:00
Johannes Pfeifer
a0d0270679
smoother2histval.m: suppress output
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[skip CI]
2021-02-16 08:11:13 +00:00