e12748329b
Fixed bug reported by Johannes ( http://www.dynare.org/pipermail/dev/2012-May/002015.html ), see also trac#257.
2012-06-06 18:25:08 +02:00
fac9528014
Do not compute smoothed variables or forecasts if the model is
...
estimated with a particle filter (the non linear smoother is not yet
implemented).
2012-06-06 18:25:08 +02:00
ef1146f5a3
Fixed bug trac#202. Define the sigma_e_is_diagonal flag when no shocks block is declared in the mod file.
2012-06-06 18:25:08 +02:00
a341a4f8a3
Fixed bug in steady state check (issue with mean preserving spread corrections).
2012-06-06 18:25:07 +02:00
3cbd702b3e
Fixed bugs (initialization of the Kalman filter with the fixed point of the Riccatti equation).
2012-06-06 18:25:07 +02:00
0caaeddb46
Merge remote-tracking branch 'ferhat/master'
2012-06-06 17:09:27 +02:00
9bea42f411
order=2 in estimation command now triggers particle filter
2012-06-06 17:08:53 +02:00
40fc16e618
Remove MATLAB short-circuit operators
2012-06-06 17:08:53 +02:00
425aabbc41
Fix function name
2012-06-06 17:08:53 +02:00
b72dafcb82
Add options static to model_info command and fixes the ticket #134
2012-06-06 16:36:56 +02:00
a3e1d17b9e
Ramsey_policy is now compatible with bytecode option
2012-06-06 16:29:26 +02:00
e2315e587e
oo_.dr needs also to be updated when bytecode option is used
2012-06-06 16:26:47 +02:00
9a2e4cc6cf
config file: support GlobalInitFile option
2012-06-06 16:18:09 +02:00
bd9aeef1d0
Give the references to Dennis (2007) for discretionary_policy
2012-06-06 12:55:36 +02:00
a50e65fb6c
Rename set_stationary_variables_list to get_variables_list
...
This function has nothing to do with stationary variables now that
unit_root_vars has been removed.
Closes : #218
2012-06-06 12:27:46 +02:00
4395259b74
Fix MATLAB compatibility issue
2012-06-05 09:23:30 +02:00
05dca0e3ea
Change the default algorithm for stack_solve_algo = 0
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The old algorithm (LBJ) is now available under stack_stock_algo = 6
2012-06-04 17:23:14 +02:00
5dd9c844b3
Implement determistic simulation of purely backward models
2012-06-04 16:14:01 +02:00
b727aa1b92
Simplify sim1_purely_forward
2012-06-04 16:13:03 +02:00
4b2405a014
New function for deterministic simulation of purely forward models
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Deprecates simk.m which can now be removed
Closes : #143
2012-06-04 15:26:39 +02:00
bda8dd9505
Fix header of sim1a.m
2012-06-04 12:07:30 +02:00
6e555a1539
removed specialized code for solving purely forward models: it is true
...
that it is possible to derive the solution function by a simple
inversion, but this doesn't check that all eigenvalues are larger than
one. It is better to use the standard algorithm with QZ decomposition
2012-06-02 14:14:24 +02:00
ec05f302b7
Removing debugging code for extended path. Updating test cases.
2012-06-01 15:01:25 +02:00
dc7c0fa74d
Include prior info in penalty with Bayesian estimation.
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This can improve a bit optimization routines when parameter go beyond prior bounds during line search algorithms or when numerical gradient is computed.
2012-05-31 14:44:16 +02:00
32c6c50d9c
Fixed optimizer = 5 for dsge-vars and all other cases that do not allow computing the outer product of gradient (non-linear optimizers as well).
2012-05-31 14:42:52 +02:00
82e9336346
Fixed call to renamed bfgsi1.m
2012-05-31 14:41:41 +02:00
842f2ea875
fixed bug related to clear priordens;
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(manual cherry pick from 4.2 branch
Commit:a5ab2d0d4f2f0f5da3d79b13b90ac1754b12c2ea)
2012-05-31 14:40:23 +02:00
b55a96556d
Merge remote-tracking branch 'remotes/ratto/master'
2012-05-31 09:55:29 +02:00
7044c8da2b
Add new command "calib_smoother"
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Closes : #233
2012-05-30 16:28:29 +02:00
7991c3937c
Fixed output list of objective function (to cope with new list for analytic derivatives).
2012-05-30 11:26:07 +02:00
a070f5cb26
Fixed initialization of matrices for posterior irfs.
2012-05-30 11:24:35 +02:00
4480f5b494
Fixes around latex output: use of longtable for parameter estimates and various fixes for posterior analysis, also for parallel execution.
2012-05-30 11:22:59 +02:00
5af1effd8f
removed debugging code from nonlinear solver when Jacobian is near
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singular. The treatment of this case still needs to be further improved.
2012-05-30 10:25:10 +02:00
31f6831b09
Improve doc and error handling for shock_decomposition on calibrated model
2012-05-29 16:25:52 +02:00
bef55c1dd1
enhanced model_diagnostics to deal with bytecode and blocks
2012-05-26 20:50:17 +02:00
dc5a952bd9
Merge remote-tracking branch 'jpfeifer/master'
2012-05-21 18:33:25 +02:00
c6fd17bc30
print residuals when steady fails. Printing steady state or residuals
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is controlled by options_.noprint
2012-05-20 21:36:29 +02:00
57861e22d9
resid: print residuals even if a *_steadystate.m file reports an error
2012-05-20 21:35:34 +02:00
d81c2d61a0
fixing homotopy
2012-05-20 14:22:46 +02:00
d064db34ab
Cleaning homotopy1. Removing globals from homotopy3. Now it returns
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last successful values when it fails
2012-05-20 08:47:54 +02:00
1316bd9555
fixed issues relative to homotopy (type I) when the user wants to
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continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
cd0bc28e7c
Fixed bug in getPowerDeriv.m where the nth derivative of 0^n evaluated to 0 instead of n!
2012-05-17 09:10:54 +02:00
61aacd92e8
Fix crash in solver for purely forward models
...
Thanks to J. Pfeifer for pointing this
2012-05-15 18:37:17 +02:00
95e938e5fb
Add dummy dr.eigval and dr.rank in case of purely forward model
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This is necessary to avoid an outright crash in check.m
2012-05-15 18:31:53 +02:00
0ef23e5ae3
fixes bug for stochastic backward models. Still, only order==1 is
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currently possible.
2012-05-14 22:10:10 +02:00
c0ffcf7fd8
Fix problem with smoother where original data series was not plotted
2012-05-11 19:58:16 +02:00
6585b8ef17
Take care of cases where steady state file updates some but not all parameters that are NaN.
2012-05-11 18:16:23 +02:00
0402006530
Fixed bug in evaluate_steady_state.m that prevents parameter updating
2012-05-11 09:34:46 +02:00
c15123878f
fixed rare bug in Kalman filter when one should switch to steady state
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filter in last period of the sample
2012-05-10 11:09:06 +02:00
41def7caaa
Added the possibility of a user defined configuration file (only for linux users).
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At the end of global_initialization.m the existence of /home/USER/dynare_configuration.m is tested. In case of a positive answer this script is evaluated.
2012-05-09 15:39:58 +02:00
6103500543
Fixed bug related to the position of the info argument returned by non_linear_dsge_likelihood.
2012-05-04 11:36:27 +02:00
ac2fa68b86
Fixed bug related to the resampling of the particles.
2012-05-04 11:22:17 +02:00
650e67f6b7
fixing but in previous commit
2012-05-01 10:53:23 +02:00
19f939b1cc
when task==1, the function now returns as soon as the eigenvalues have
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been computed. This solves a bug when having used loglinear option
earlier in the *.mod file
2012-05-01 09:49:56 +02:00
d601f173d8
fixing bugs related to recent changes for analytic derivatives
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in estimation
2012-04-30 13:35:36 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
3332a7f794
Get rid of dsge_likelihood_hh.m in mode_compute=5
2012-04-29 21:18:33 +02:00
bb02c4d6df
Bug fix for univariate KF (nobs was not defined, replaced with pp) + provisions fro eliminating dsge_likelihood_hh function;
2012-04-29 21:18:33 +02:00
bef3377a81
Rename line search function as csminwel1
2012-04-29 21:18:33 +02:00
459744649d
bug fixes: output argument name "lik" and check of no more missing obs
2012-04-29 21:18:33 +02:00
bb94a39c85
When nodisplay=1, the figure has to be set visible before saving and closing, otherwise it is saved as not visible and when users try to open it, the saved figure is invisible (ticket 216).
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The process is so quick that the figure is closed before it is made visible on the screen, so complying with nodisplay requirements, keeping thew whole procedure behind the scenes.
2012-04-29 21:18:33 +02:00
8fec04dbf8
corrected but in plot of conditional forecast
2012-04-28 15:11:49 +02:00
4affab31fd
Fixed bugs introduced in 4c255cf2ae
2012-04-27 08:45:22 +02:00
3e5f92a683
Fixed typo and made error message more explicit
2012-04-26 09:01:33 +02:00
c0624738c9
Fixed bug introduced in bda0b1b228
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Created separate field options_.SpectralDensity.trigger to trigger Spectral Density
2012-04-26 08:48:31 +02:00
08894086b0
Revert "Move hardcoded options from UnivariateSpectralDensity.m to global_initialization."
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This reverts commit bda0b1b228
2012-04-26 08:22:15 +02:00
c59504adba
Added missing codes to print_info.m and fixed typo
2012-04-25 12:03:52 +02:00
9adc972945
Fix typo
2012-04-25 12:03:44 +02:00
39e55cad62
Corrected AIM error codes that got lost when moving to stochastic_solvers
2012-04-25 12:03:33 +02:00
bda0b1b228
Move hardcoded options from UnivariateSpectralDensity.m to global_initialization.
2012-04-25 11:49:01 +02:00
4c255cf2ae
Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures.
2012-04-25 11:47:40 +02:00
f7cf75a228
fixed problems with trying to make homotopy robust to problems in one run.
2012-04-23 16:57:46 +02:00
5990a87bbf
removed error messages form dynare_solve_block_or_bytecope and replace
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them with setting info=1. The error messages should be managed by a
calling function
2012-04-23 14:27:18 +02:00
f37f4d4b49
fixing bug in computing steady state of Ramsey policy
2012-04-23 13:39:50 +02:00
7ddab426b5
adding missing function to compute mean and covariance matrix of
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Metropolis sample
2012-04-23 13:36:37 +02:00
8d4834de38
added a comment for test of eigenvalues close to 0/0
2012-04-23 13:22:19 +02:00
408cce93cb
fixing bug related to computation of steady state introduced in commit f8ecc4d6ba
2012-04-22 10:11:29 +02:00
dd5cb335fb
changes to stochastic perfect foresight simulation (still doesn't work
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correctly with ZLB)
2012-04-21 21:41:07 +02:00
d497ba19f7
storing osr objective value in oo_.osr.objective_function
2012-04-21 21:39:06 +02:00
aa22cb56d1
computing shock_decomposition for calibrated models
2012-04-21 21:37:52 +02:00
e692185c6b
storing oo_.prior.mean oo_.prior.variance
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oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
61b4538644
fixing problems in risky steady state
2012-04-21 21:21:45 +02:00
a0ffa6a154
fixing bugs in Ramsey policy
2012-04-21 21:16:57 +02:00
d1120da658
fixing bugs in evaluation of steady state file introduced in last
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related commit
2012-04-21 11:39:21 +02:00
6131e597f3
changed option name discretion_tol -> discretionary_tol, added the option
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to the preprocessor, added to documentation
2012-04-21 10:40:24 +02:00
f8ecc4d6ba
reorganized code for evaluating steady state file
2012-04-21 10:12:00 +02:00
abc60b6037
Test if control toolbox is present if lyapunov=square_root_solver
2012-04-20 21:37:29 +02:00
4e537fcdcc
New function for testing an Octave Forge package
2012-04-20 21:36:49 +02:00
1dfba1b99f
Merge remote-tracking branch 'ferhat/master'
2012-04-20 21:15:09 +02:00
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
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- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
f4e3925860
Rename bfgsi.m to bfgsi1.m to avoid clash with the one provided by Tao Zha
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Closes : #215
2012-04-20 17:25:08 +02:00
edbf3bd175
Remove useless calls to set_default_option
2012-04-20 17:08:11 +02:00
6a23afdd48
RandStream: compatibility fix for MATLAB >= 7.12
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setDefaultStream has been renamed setGlobalStream
getDefaultStream has been renamed getGlobalStream
Closes : #198
2012-04-20 14:42:30 +02:00
ccc3c513fb
Fixed bug (initialization of zero_delta).
2012-04-19 14:17:02 +02:00
6180bc2212
Add TZcode submodule to repository
2012-04-19 12:27:39 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
41e027aee3
added steady option stop_on_error. stop_on_error = 0 permits to
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continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
1014bb038d
made loglinear option available for purely backward and purely forward
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models (for now only with order==1)
2012-04-15 14:06:37 +02:00
2f5d76dc8c
ms-sbvar: set A0, A+, Zeta, and Q based on output_file_tag passed to estimation
2012-04-13 16:12:24 +02:00
b96c35a1a4
ms-sbvar: remove unused code
2012-04-13 15:56:25 +02:00
a44fa426c4
Simplify logic of test since Octave 3.2 is now the minimal requirement
2012-04-04 22:16:39 +02:00
339d88220d
qz() has changed between Octave 3.2 and 3.4
2012-04-04 22:13:34 +02:00
9bcb1883bd
fixing bug related to use of QZ decomposition in Octave
2012-04-04 21:46:24 +02:00
d4723038be
1) fixed infinite loop
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2) fixed names of sylvester functions
2012-04-04 16:43:44 +02:00
32de0fd675
fixed typos
2012-04-04 16:41:49 +02:00
f455557376
compact all sylvester routines, with generic dimension of d argument
2012-04-04 16:38:22 +02:00
76093094a6
Force precision in sylvester equation solution, particularly useful for different behaviour of the function schur under octave
2012-04-04 10:39:19 +02:00
a49e550448
typo fixed
2012-04-04 10:36:54 +02:00
fe6aa88c27
1) check if AHess is positive semi-definite;
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2) fix memory issues related to chh
3) fix issue for the rare case of empty indok (octave)
2012-04-04 10:36:32 +02:00
3ca9485edd
bug fix when calling gsa
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set default order=1
set analytic derivation =1
2012-04-04 10:35:18 +02:00
28d985433b
bug fix: wrong index used in test
2012-04-03 18:33:24 +02:00
08bcf39fe7
estimation: clear subsamples substructure whenever a subsamples statement is encountered
2012-04-03 18:33:23 +02:00
7e6bd80f17
estimation: remove s from parameters substructure
2012-04-03 18:33:23 +02:00
31e0bc2e1e
estimation: simplify global_initialization
2012-04-03 18:33:23 +02:00
2057365143
Require at least Octave 3.2.2 (and therefore drop rcond.m and bicgstab.m)
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Octave 3.2 has been around for a long time, and is included in most
distributions.
2012-04-03 17:57:38 +02:00
90cb2ffb59
Under Octave >= 3.4, don't sleep for 2 seconds
2012-04-03 17:46:48 +02:00
3be6b610c8
Merge remote-tracking branch 'houtanb/master'
2012-04-02 15:18:12 +02:00
a35e0cb3e3
fixed bug in initial estimation checks when mode_compute == 5
2012-03-31 11:01:32 +02:00
9741b3b3ec
estimation: reorganize options output
2012-03-30 15:37:15 +02:00
93db8937ab
estimation: reorganize Matlab structure output
2012-03-30 15:37:14 +02:00
2be333da55
estimation: change name handling for correlation statements
2012-03-30 15:37:14 +02:00
be33621ca5
Fixed texinfo header + Cosmetic changes.
2012-03-30 12:08:13 +02:00
9bfc3f6ec6
Fixed bugs and typos.
2012-03-30 12:00:08 +02:00
2db0c98b9b
Fixed texinfo header.
2012-03-30 11:55:01 +02:00
795d0fce16
Cosmetic changes.
2012-03-30 11:48:23 +02:00
6c6b62937f
Added smooth resampling.
2012-03-30 11:47:24 +02:00
294dbdc52c
Fixed bug in the evaluation of the likelihood.
2012-03-30 11:21:24 +02:00
9cc4661942
Fixed bug in initial_estimation_checks + Cosmetic changes.
2012-03-30 11:12:59 +02:00
7feb27fe1c
estimation: rewrite options output
2012-03-29 16:45:46 +02:00
d54e4c4b17
estimation: rewrite prior output
2012-03-29 16:07:01 +02:00
46a655fbd5
estimation: rewrite subsamples statement as an actual statement
2012-03-28 18:51:52 +02:00
90e5c6e7c6
Replace str2mat (deprecated in MATLAB, removed in Octave 3.6) by char
2012-03-21 10:11:17 +01:00
a899594f3d
initializing globals ys0_ ex0_ ex_det0_
2012-03-17 20:34:58 +01:00
41db06f5ae
removing dr1.m
2012-03-15 16:50:41 +01:00
8fa6a9883a
replacing call to dr1() by call to stochastic_solvers()
2012-03-15 16:45:25 +01:00
d6f8e252e5
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-15 16:18:37 +01:00
5d4d318bc7
fixing bug in estimation by maximum likelihood
2012-03-15 15:33:02 +01:00
5954cf2011
Disable more warnings under Octave
2012-03-14 16:39:34 +01:00
e62613e6cb
Fix string warnings for Octave 3.6
2012-03-14 16:35:20 +01:00
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
ebfeae2ccf
Provisions for MATLAB 7.14 (R2012a)
2012-03-13 17:43:30 +01:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
4aedf7e9c0
Added a commented line to print the effective number of particles if needed.
2012-03-12 10:29:25 +01:00
1fcf708b80
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-10 18:21:14 +01:00
4ba016cc16
Merge remote-tracking branch 'ferhat/master'
2012-03-09 20:13:22 +01:00
323e6fdf4f
Added a second gstep option used as a parameter for the routine computing the hessian matrix.
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In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:
h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
13eb218513
Fixed bug (ub is unknown but defined as a field in bayestopt_).
2012-03-09 15:06:04 +01:00
1ac55d8be8
Fixed bug.
2012-03-09 12:57:58 +01:00
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
ec2528ae9b
estimation: fixes to options statement
2012-03-09 11:47:25 +01:00
75331d7a4f
The global oo_.steady_state should also be updated in the homotopy loop
2012-03-09 11:47:13 +01:00
dd67a81e57
estimation: place parameter priors in their own substructure
2012-03-09 11:46:09 +01:00
7889ac21b2
Merge remote-tracking branch 'ferhat/master'
2012-03-09 10:30:01 +01:00
ad580b8cc6
MS-SBVAR: clean up plotting functions
2012-03-08 18:25:37 +01:00
d212772212
MS-SBVAR: change state to regime to coincide with name previous name change
2012-03-08 17:55:40 +01:00
402363bab2
MS-SBVAR: rewrite ms_variance_decomposition
2012-03-08 17:54:35 +01:00
5f60f1bd27
MS-SBVAR: rewrite ms_forecast
2012-03-08 17:54:05 +01:00
11c63e5050
MS-SBVAR: clean up plot_ms_*.m
2012-03-08 17:54:05 +01:00
4e41ad7285
MS-SBVAR: remove unused argument to plot_ms_irf.m
2012-03-08 17:54:05 +01:00
864e0b7c7e
MS-SBVAR: rewrite ms_irf
2012-03-08 17:53:58 +01:00
f12e8a3754
Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
2012-03-08 16:36:31 +01:00
8184ff3fdd
Fixed bug (wrong calling to the resample routine: missing inputs).
2012-03-08 15:53:20 +01:00
7f1ab166f5
Fixed bug.
2012-03-08 15:44:14 +01:00
dfbd6c8f2a
Adds the index of equations (M_.blocksEQU) for a block decomposed model without bytecode option and use this index in resid.m to retrieve the residuals
2012-03-08 15:29:56 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
f932fc8c78
Return the whole simulated paths instead of only the contemporaneous reaction of the endogenous variables.
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Otherwise we can not test the number of periods and we cannot use the previous solution
to initialize the following (stochastic) perfect foresight problem.
2012-03-08 12:49:04 +01:00
464dcb651e
Changed defaults related to extended path. Removed some unused options.
2012-03-08 12:45:53 +01:00
895b58cec4
Merge remote-tracking branch 'ferhat/master'
2012-03-07 09:22:42 +01:00
de07d3b1d7
Removed useless else statement.
2012-03-06 22:54:21 +01:00
93fa8a6c94
Bug fix. Definition of the penalty when the updated parameters are complex.
2012-03-06 22:54:21 +01:00
746fb8ca56
Fixed bug related to the update of the deep parameters in the steady state model.
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When a deep parameter was initialized to NaN (this is the default) any update of this parameter
done in the steady state model block was not propagated to M_.params. The problem was caused by
the definition of updated_params_flag.
2012-03-06 22:54:20 +01:00
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
6c091015eb
Fixed texinfo header.
2012-03-05 23:11:49 +01:00
cf19df92ef
Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode.
2012-03-05 15:03:55 +01:00
cf9e8a6714
Bug fix. When the estimation command is used, do not issue an error message if options_.order>1. In this
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case reset the options_.order equal to one (except if options_.particle.status==1).
2012-03-05 14:56:02 +01:00
0d58e1855d
Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands
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to set the seed of the random number generators).
2012-03-05 14:37:55 +01:00
59d3d30c90
Fixed typo. Do not use the non linear filter automatically when order==2, otherwise the non linear filters are used if the estimation command is used after a stoch_simul command with order==2. The non linear filter is used only if options_.particle.status is explicitely set to 1 (before the estimation command). A new estimation option is needed...
2012-03-05 14:21:52 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
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and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
e1a5e0de53
Objective function needs to be passed as a string to CMAES optimization routine.
2012-03-04 22:13:00 +01:00
83b536c618
Moved CMAES options in global_initialization, so that the options of this routine can be modified by
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the user by writting in options_.cmaes.
2012-03-04 22:13:00 +01:00
cc281897e0
Added new routine for non linear filter (auxiliary particle filter).
2012-03-04 22:13:00 +01:00
8de93c21f2
Fixed bug (cost_flag->exit_flag).
2012-03-04 22:13:00 +01:00
724b99412f
Added option for kitagawa/stratified approach in traditional resampling.
2012-03-04 22:12:59 +01:00
3b471e3a99
Bug fix. Added missing input (method specification) to the resampling routine.
2012-03-04 22:12:59 +01:00
6b736cf622
Bug fix. Added missing input to the non linear likelihood routine (DynareOptions).
2012-03-04 22:12:59 +01:00
fb4def04bd
Fixed bug related to the name of the sub-structure for the non linear filters.
2012-03-04 22:12:59 +01:00
bbf63f0da9
Deleted trailing white spaces.
2012-03-04 22:12:59 +01:00
978f29f59d
Added missing field in bayestopt_ (restrict_var_list, indices for the state and observed variables).
2012-03-04 22:12:59 +01:00
5458492674
Fixed bug.
2012-03-04 22:12:59 +01:00
f3e27e82d6
Fixed typo (misspelled EstimatedParameters structure).
2012-03-04 22:12:59 +01:00
1ab6aae56e
Fixed typo (number of observed variables).
2012-03-04 22:12:59 +01:00
f798118902
Updated test on options_.order (current version can estimate dsge models with non linear filters considering a second order approximation of the model).
2012-03-04 22:12:59 +01:00
6a8095303e
Added particle filter flag.
2012-03-04 22:12:59 +01:00
2f3c8f910f
Fixed bug related to the dynare implementation of the simplex algorithm.
2012-03-04 22:12:58 +01:00
8aea0bf14c
Updated copyright year.
2012-03-04 22:12:58 +01:00
13f1e62de8
Deleted trailing white spaces.
2012-03-04 22:12:58 +01:00
859335b34f
Fixed bug in extended path routine (appearing when some innovations have zero variance).
2012-03-04 22:12:58 +01:00
e882a2ea36
Added unitary test.
2012-03-04 22:09:18 +01:00
192b5c7113
Fixed bugs in routines related to the extended path algorithm.
2012-03-04 22:09:18 +01:00
0aaa7a8a13
Fixed bug in internal tests of local_state_space_iteration_2 routine.
2012-03-04 22:07:27 +01:00
100ff94644
Fixed bug related to the path to the testes routine.
2012-03-04 22:07:27 +01:00
40329e3e29
Added routine to compute one step ahead state space iteration (mex and m). The state space
...
equations are approximated at order two around the deterministic steady state.
2012-03-04 22:07:27 +01:00
8f95711445
Fixed texinfo header. Added two internal tests.
2012-03-04 22:07:27 +01:00
f9671be3d2
Deleted trailing white space.
2012-03-04 22:07:27 +01:00
939318a380
Added a comment about the timming tests done in the third section of the internal tests.
2012-03-04 22:07:27 +01:00
0a9daa519a
Updated copyright year.
2012-03-04 22:07:27 +01:00
78fe29eeef
Cosmetic changes in texinfo headers. Deleted trailing white spaces. Changed the value of show_time in the third internal test.
2012-03-04 22:07:27 +01:00
2a88e49f9f
Cosmetic changes in texinfo header. Deleted trailing spaces.
2012-03-04 22:07:26 +01:00
ce40f0ebfc
Add CMAES (Ticket #245 ) for mode optimization
2012-03-04 22:07:26 +01:00
bad8746e77
corrected bugs in extended path. The code works now with
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./tests/ep/linear.mod
2012-03-04 20:59:57 +01:00
2234cdc5bd
g0 has to be initialized
2012-02-17 10:41:42 +01:00
441e58cd01
Need to evaluate the recursive blocks to compute the temporary terms
2012-02-17 10:38:39 +01:00
09a3f3a084
Updates M_params only if estim_params_ has a field param_vals (not the case for a kalman_smoother)
2012-02-17 10:36:21 +01:00
e184c1f368
ghx matrix has to be stored as soon as the block contains lagged or mixed variables
2012-02-17 10:24:31 +01:00
c848b3337a
added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
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nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
f09c10e2d3
Merge remote-tracking branch 'ratto/master'
2012-02-13 11:15:24 +01:00
22e76c8ac8
correcting dimension bugs in solve_stochastic_perfect_foresight_model;
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doesn't work yet; now Jacobian is singular
2012-02-11 15:42:45 +01:00
3564eca525
new version of solve_stochastic_perfect_foresight_model; doesn't work yet
2012-02-11 14:59:51 +01:00
d5628a277e
Fixed i_cols iterations.
2012-02-11 00:01:22 +01:00
e2b7848f6c
security checks before removing remote folders
2012-02-10 22:44:09 +01:00
1129e29ceb
bug fix for octave
2012-02-10 22:43:11 +01:00
31feb32bd3
bug fix for remote unix called by windows master
2012-02-10 22:42:29 +01:00
ff5a802f65
allow the possibility to close all slaves from a condition found in one single thread (e.g. in a while loop where all threads look for the verification of a condition in a loop)
2012-02-10 22:41:54 +01:00
77e84c5328
removed left keyboard line + cosmetics.
2012-02-10 22:38:41 +01:00
060dc74cf5
Fixed computation of the expectations (it==2 case).
2012-02-10 19:05:50 +01:00
ad2f9574e5
Copy of solve_perfect_foresight_model.m --> stochastic version (with ,gaussian quadrature).
2012-02-10 19:05:50 +01:00
6c9eeec7e5
Removed codes related to stochastic extended path.
2012-02-10 19:05:50 +01:00
ec022385c0
added info about each parameter for the sequence of univariate iterations.
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manually cherry picked from 4.2. branch:
1a5a294c5f93d5368052095e138f852aab1d3177
2012-02-10 17:37:02 +01:00
44b03e5f19
modifying extended-path for parallel toolbox
2012-02-07 16:31:57 +01:00
bc6042fbe2
Improved display of bivariate projections when pprior=0,
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specially useful when neighborhood_width is used
2012-02-06 16:01:09 +01:00
9dfc0d5c08
Added calls to matlab implementation of the perfect foresight solver in homotopic routine (extended path approach).
2012-02-04 18:52:03 +01:00
87f4dad51a
Changed default value of use_bytecode option. By default, the bytecode solver is not used.
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Note that, even for small models, there is a (very) substantial gain in using the use_dll option.
2012-02-04 16:56:09 +01:00
704b0c9659
Added an option specifying if the bytecode solver has to be used first.
2012-02-04 16:26:22 +01:00
8a35ee7363
Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
2012-02-04 16:19:15 +01:00
3f2d2b3497
Oups! I forgot to add this routine in commit ac54f7f528. This routine provides a matlab implementation of the perfect foresight model solver.
2012-02-03 15:50:45 +01:00
43f46f2886
Removed stability test over the last periods of the perfect foresight solution.
2012-02-03 14:06:35 +01:00
64ebd1d0d7
Changed the default value of options_.ep.fp. Test the stability of the solution only for the first period (when the value of periods is increased).
2012-02-03 14:05:06 +01:00
7978070814
Fixed bug.
2012-02-03 12:52:37 +01:00
fed2e229e5
Try first Ferhat's code and if it fails try the matlab's implementation of the the perfect foresight model solver.
2012-02-03 12:39:48 +01:00
ac54f7f528
Added comments and the possibility to use a matlab implementation of the perfect foresight model solver.
2012-02-03 11:25:03 +01:00
dd1a48c7c7
MS-SBVAR: support non 4 digit years (fix thanks to Margarita Zabelina)
2012-02-02 12:30:50 +01:00
837451c724
MS-SBVAR: support annual data (fix thanks to Margarita Zabelina)
2012-02-02 12:30:50 +01:00
e4546ba32f
change file format to unix
2012-02-02 12:30:49 +01:00
f44db9370d
fixing problem with Ramsey policy and auxiliary variables
2012-02-02 12:04:41 +01:00
4ac4fdb2f0
matlab: add missing error code
2012-01-30 18:04:24 +01:00
adedd7d37f
matlab: add missing error message
2012-01-30 18:04:15 +01:00
32054371b8
new algorithm for deterministic simulations. Not yet integrated into
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Dynare (no function calls it).
2012-01-28 16:17:59 +01:00
6328a44f33
Streamlined extended paths routines.
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* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
d86daa0169
fixing bug in recent commit 919c2f8fb4
2012-01-23 16:24:47 +01:00
Stéphane Adjemian (Charybdis)
Sébastien Villemot
Ferhat Mihoubi
Houtan Bastani
Michel Juillard
Marco Ratto
Michel Juillard
Johannes Pfeifer
Ferhat
Johannes Pfeifer