Stéphane Adjemian (Charybdis)
fe0f19dc37
Fixed bug. Wrong size of the state vector...
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When dsge_likelihood enters (because of of a detected singularity) in
univariate_kalman_filter routine with correlated measurement errors.
2015-10-22 16:10:34 +02:00
Houtan Bastani
e6fa686566
fix typo
2015-10-22 11:07:59 +02:00
Houtan Bastani
e7bac9db02
fix typo in doc
2015-10-21 20:33:49 +02:00
Houtan Bastani
af0193fe41
submodule update: reporting
2015-10-21 17:50:26 +02:00
Houtan Bastani
ab893696eb
submodule update: dseries
2015-10-21 17:49:48 +02:00
Houtan Bastani
fbe57c0d08
submodule update: reporting
2015-10-21 12:02:49 +02:00
Johannes Pfeifer
554f3df659
Filter out datasets with missing values before particle filtering
2015-10-20 15:49:07 +02:00
Stéphane Adjemian (Charybdis)
2ec1579cd0
Fixed warnings in bytecode compilation.
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Removed unused variables.
2015-10-19 18:01:38 +02:00
Houtan Bastani
713fc3eae8
submodule update: reporting
2015-10-19 15:14:35 +02:00
Stéphane Adjemian (Charybdis)
f8efe5dec0
Updated dseries submodule.
2015-10-19 14:28:20 +02:00
Houtan Bastani
0b04804a73
submodule update: dseries
2015-10-19 11:10:10 +02:00
Stéphane Adjemian (Charybdis)
b01867c47e
Bug fix. Closes issue #1094 .
2015-10-17 17:44:25 +02:00
Stéphane Adjemian (Hermes)
dc20cac3e2
Updated dseries submodule.
2015-10-17 17:43:32 +02:00
Stéphane Adjemian
79a3427297
Merge pull request #1096 from JohannesPfeifer/NK_Baseline
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Replace fsolve by fzero to not use a Matlab toolbox
2015-10-17 09:34:17 +02:00
Johannes Pfeifer
0eb834ae25
Replace fsolve by fzero to not use a Matlab toolbox
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Closes #1095
2015-10-17 08:52:57 +02:00
Stéphane Adjemian (Charybdis)
cf17040915
Added integration test for PR #1062 (conditional forecasts).
2015-10-16 17:22:33 +02:00
Stéphane Adjemian
36992933d2
Merge pull request #1062 from FerhatMihoubi/cond_forecast_and_bytecode
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Allows to compute the extended path and the conditional forecasts wit…
2015-10-16 17:12:54 +02:00
Houtan Bastani
529ccd3773
submodule update: reporting
2015-10-16 15:38:20 +02:00
Houtan Bastani
f5043e11b0
update reporting path
2015-10-16 15:37:39 +02:00
Houtan Bastani
1d3b1ae6c3
submodule update: reporting
2015-10-15 12:33:23 +02:00
Stéphane Adjemian
c477d25fe2
Merge pull request #1086 from JohannesPfeifer/constant_moments
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Save posterior moments even if the distribution is degenerate
2015-10-14 22:15:09 +02:00
Stéphane Adjemian
f12a468bb3
Merge pull request #1085 from rattoma/optimizer_number_5
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enhancements to optimizer 5
2015-10-14 17:33:27 +02:00
Houtan Bastani
f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
Houtan Bastani
fd5ce1366e
preprocessor: change prior_posterior_function into two arguments. closes #1076
2015-10-14 11:02:35 +02:00
Stéphane Adjemian
b4bd896b89
Merge pull request #1087 from JohannesPfeifer/resid_fix
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Remove automatic error from resid.m when steady state does not solve.
2015-10-14 01:12:34 +02:00
Stéphane Adjemian
61abe6dfc7
Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
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Diffuse filter and smoother
2015-10-14 01:09:08 +02:00
Stéphane Adjemian
01329a4e0e
Merge pull request #1084 from rattoma/gsa
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Gsa and identification commits
2015-10-13 23:59:54 +02:00
Stéphane Adjemian (Charybdis)
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
Stéphane Adjemian (Charybdis)
a13c852feb
Removed calls to autocorr routine in integration test.
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This routine is part of the matlab's statistical toolbox which is not
required by Dynare (and not available on karaba). Use
sample_autocovariance routine instead.
2015-10-13 23:50:38 +02:00
Johannes Pfeifer
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
Houtan Bastani
8c44936846
prior_posterior_function: modify test to accord with preprocessor changes #1076
2015-10-13 17:41:45 +02:00
Houtan Bastani
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Marco Ratto
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
Marco Ratto
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
Houtan Bastani
f0e94d6475
fix typo
2015-10-13 17:21:32 +02:00
Houtan Bastani
b4aa21f018
preprocessor: interface for prior_posterior_function command. closes #1076
2015-10-13 17:16:10 +02:00
Marco Ratto
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
Houtan Bastani
9e28e796d5
preprocessor: simplify code
2015-10-13 15:13:40 +02:00
Houtan Bastani
447b01b0b0
fix typo
2015-10-13 15:13:40 +02:00
Houtan Bastani
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
Johannes Pfeifer
cb3804ab51
Remove automatic error from resid.m when steady state does not solve.
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Closes #573
2015-10-13 13:45:54 +02:00
Johannes Pfeifer
1043a019c2
Save posterior moments even if the distribution is degenerate
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Closes #1024
2015-10-13 11:47:35 +02:00
Marco Ratto
2d59920a70
- systematically check bounds for each parameter during optimization
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- make htol adaptive to each parameter to speed up computations
2015-10-13 11:07:01 +02:00
Marco Ratto
61d6e49dfd
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
2015-10-13 10:45:35 +02:00
Marco Ratto
bc8f546cbb
Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
2015-10-13 10:44:13 +02:00
Stéphane Adjemian
d3eca9338b
Merge pull request #1038 from JohannesPfeifer/kernel_density
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Allow computing posterior kernel density
2015-10-12 23:23:07 +02:00
Michel Juillard
8be2841582
fixing Makefile.am error
2015-10-12 22:39:03 +02:00
Johannes Pfeifer
2c63ca8843
Add unit tests for HP filter, bandpass filter, and spectral density
2015-10-12 21:18:51 +02:00
Johannes Pfeifer
40de494568
Document new filter option
2015-10-12 20:42:04 +02:00
Johannes Pfeifer
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00