Sébastien Villemot
d4217c02b0
Provisions for Octave 5
2019-02-25 15:28:24 +01:00
Sébastien Villemot
870d75857c
Simplification for missing nanmean
...
Handle it as other functions from the Statistics toolbox
2019-02-25 15:28:23 +01:00
Stéphane Adjemian (Charybdis)
d81545941e
Cosmetic changes.
2019-02-25 14:54:57 +01:00
Stéphane Adjemian (Charybdis)
d6e6b29620
Removed unused global it_.
2019-02-25 14:54:57 +01:00
Stéphane Adjemian (Charybdis)
84cdf6d142
Removed unnecessary square brackets.
2019-02-25 14:54:56 +01:00
Houtan Bastani
030737b9c0
sur: fix input checks
2019-02-25 14:23:48 +01:00
Houtan Bastani
4399972a2d
sur: add noniterative option
2019-02-25 14:23:48 +01:00
Stéphane Adjemian (Charybdis)
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
Stéphane Adjemian (Charybdis)
dfb62e4ebc
Fixed models with fewer targets than EC equations.
2019-02-21 12:52:12 +01:00
Stéphane Adjemian (Charybdis)
c96f55309d
Fixed typo.
2019-02-21 12:52:12 +01:00
Stéphane Adjemian (Charybdis)
6e7a2e2c20
Fixed ordering of the targets.
2019-02-21 12:52:12 +01:00
Sébastien Villemot
414b0a19b6
Fix error message of makedataset
2019-02-19 18:57:17 +01:00
Houtan Bastani
a7165e2c12
fix tests
2019-02-19 12:34:30 +01:00
Sébastien Villemot
1f84bc051d
Under Octave, the "statistics" Forge package is now a requirement
...
The gamrnd fallback under matlab/missing/stats/ does not work under Octave
because the +gamrnd/ folder is not accessible (it has the same name as the
function, which does not work under Octave).
Instead of fixing this, rather make the statistics toolbox a requirement, since
anyways it is very easy to obtain under Octave.
Accordingly:
- do not try to run the unit tests of matlab/missing/stats/ under Octave
- merge the matlab/missing/stats-matlab/ into matlab/missing/stats/, since this
directory is now MATLAB-only.
Also:
- move matlab/distributions/+gamrnd/ under matlab/missing/stats/ for
consistency
- in the manual: remove obsolete link to Octave downloads on the Dynare
website; update URL of Octave Forge
Closes #1638
2019-02-18 17:41:10 +01:00
Sébastien Villemot
0b1c465b38
Octave compatibility fix: intersect(..., 'stable')
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The 'stable' option of intersect(), which keeps the element order of the first
argument, is not available on Octave. Provide a fallback implementation, and
adapt the code.
2019-02-15 18:43:19 +01:00
Houtan Bastani
b89e3b2e85
steady: various simplifications
...
(cherry picked from commit 31ec5ac90abf3ece558b1c7d0fab3e5baea54e02)
2019-02-15 17:11:38 +01:00
Stéphane Adjemia (Scylla)
3cb3b4aee5
Allow models with leads in bgp.write().
...
Also added tests to check that we are able to identify the Balanced Growth
Path, note that it does not work with tests/bgp/fs2000.mod.
2019-02-15 16:59:26 +01:00
Sébastien Villemot
5011b94aa7
Update dseries submodule
2019-02-14 19:01:56 +01:00
Houtan Bastani
8f1aef3f57
get_companion_matrix: evalin base not necessary
2019-02-14 12:19:34 +01:00
Houtan Bastani
b92b342c7b
sur, pooled_fgls: user inv(chol()) instead of chol(inv())
2019-02-14 10:55:08 +01:00
Houtan Bastani
db8638ec97
pooled_fgls: use iterative method and fix bug in M_.Sigma_e
2019-02-13 15:57:06 +01:00
Houtan Bastani
9391a770b1
sur: fix bug in setting M_.Sigma_e entries
2019-02-13 15:57:06 +01:00
Houtan Bastani
29c3a86c81
sur: move to iterative method
2019-02-13 15:57:06 +01:00
Stéphane Adjemia (Scylla)
3e3f8fbfbc
Cosmetic changes.
2019-02-13 15:19:19 +01:00
Stéphane Adjemia (Scylla)
3cfd588d3f
Allow initialization with histval block.
...
[skip ci]
(cherry picked from commit e9688560f6
)
2019-02-13 15:19:18 +01:00
Houtan Bastani
98591af846
sur: update M_.Sigma_e using estimated parameters
2019-02-12 19:57:44 +01:00
Houtan Bastani
a110896483
Revert "sur: fix bug with M_.Sigma_e"
...
This reverts commit 9c76b1da51
.
2019-02-12 19:07:55 +01:00
Houtan Bastani
fe4fb7df2d
sur: modify error message
2019-02-12 17:03:11 +01:00
Houtan Bastani
91d99fe645
if find returns empty this ended in a syntax error
2019-02-12 16:59:23 +01:00
Houtan Bastani
9c76b1da51
sur: fix bug with M_.Sigma_e
2019-02-12 16:55:20 +01:00
Stéphane Adjemia (Scylla)
e9688560f6
Allow initialization with histval block.
...
[skip ci]
2019-02-11 16:57:20 +01:00
Houtan Bastani
874ba9a641
put_in_sur_form: simplify function and make robust to potential future changes in dseries
2019-02-11 16:36:25 +01:00
Houtan Bastani
a3867a0b34
put_in_sur_form: fix bug in cross equation restriction
2019-02-11 16:32:04 +01:00
Houtan Bastani
ac171747cd
sur: clean up error messages
2019-02-11 15:23:36 +01:00
Houtan Bastani
c8d04e93b9
sur: fix bug in lhssub when param_names was specified and simplify code
2019-02-11 15:17:10 +01:00
Stéphane Adjemia (Scylla)
219d2bb31b
Updated dseries submodule.
2019-02-10 00:02:14 +01:00
Houtan Bastani
fd880a9387
gui: other simplifications/aesthetic changes
2019-02-07 19:02:35 +01:00
Houtan Bastani
922536e4ea
gui: rework transitory shocks
2019-02-07 19:02:35 +01:00
Houtan Bastani
aef31e25e8
gui: rework permanent shocks
2019-02-07 19:02:35 +01:00
Houtan Bastani
6b4a9b300c
gui: initialize M_.det_shocks to []
2019-02-07 19:02:35 +01:00
Houtan Bastani
ae5dbdee9f
gui: no need to specify indices
2019-02-07 19:02:34 +01:00
Houtan Bastani
0352e9025a
ols style parsing: allow division in node to be subtracted from LHS
2019-02-06 12:34:13 +01:00
Houtan Bastani
106976e6d5
print info about node on error
2019-02-06 12:16:27 +01:00
Houtan Bastani
f9239d5347
remove unnecessary conversion to string
2019-02-06 12:14:07 +01:00
Houtan Bastani
de573890b7
fix bug in handling unary minus node as uminus is not a valid dseries operation
2019-02-05 19:52:12 +01:00
Houtan Bastani
8fdf805f1f
handle case when node is not passed to error function
2019-02-05 19:36:11 +01:00
Houtan Bastani
a6549397a0
change folder name as `-` prevented recognition of the file
2019-02-05 18:08:34 +01:00
Houtan Bastani
0ad8bfbd16
gui: clean up file
2019-02-05 18:04:09 +01:00
Houtan Bastani
ce3be98aa0
gui: potentially return output as JSON string
2019-02-05 17:49:08 +01:00
Houtan Bastani
67a7e43573
gui: pass JSON as string
2019-02-05 17:49:08 +01:00
Houtan Bastani
99060b0f80
gui: small improvements
2019-02-05 17:49:08 +01:00
Houtan Bastani
fd09ba1fca
ols_style parsing: remove regressors that are equal to zero
2019-02-05 16:38:25 +01:00
Sébastien Villemot
b2fa7dd3c1
Merge branch 'discret_error_message' into 'master'
...
discretionary_policy_1.m: check for NaN before checking for non-zero derivatives
See merge request Dynare/dynare!1644
2019-02-05 14:42:33 +00:00
Johannes Pfeifer
d5e25c8f43
mr_hessian.m: prevent infinite loop
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Make sure hessian is not 0 and add counter.
Fixes #1636
2019-02-05 10:00:54 +01:00
Johannes Pfeifer
8cb99bfe9d
discretionary_policy_1.m: check for NaN before checking for non-zero derivatives
...
Prevents false error message
2019-02-05 09:14:20 +01:00
Stéphane Adjemia (Scylla)
5c75c30104
Fixed matlab warning.
...
[skip ci]
2019-02-04 16:26:48 +01:00
Stéphane Adjemian
768555b523
Merge branch 'fixes_4.6' into 'master'
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Fixes 4.6
See merge request Dynare/dynare!1641
2019-02-04 10:19:05 +00:00
Stéphane Adjemia (Scylla)
b7c60ddf59
Added a routine for writing the problem to be solved to compute the BGP of a model.
...
- Only works with backward models.
- Probably doesn't work if the model includes auxiliary variables.
- Assumes that the trends are multiplicative.
2019-02-04 10:04:33 +01:00
Houtan Bastani
553f1d3068
fix bug: line argument was being ignored
2019-02-01 17:05:10 +01:00
Houtan Bastani
b2fcd86c35
print parts of model where there are evaluation errors
2019-02-01 17:05:10 +01:00
Houtan Bastani
18b006d46f
fix comments
2019-02-01 16:45:13 +01:00
Houtan Bastani
f29d974410
add copyright and fix spacing
2019-02-01 16:42:32 +01:00
Houtan Bastani
c36db13bee
dseries: submodule update
2019-02-01 16:25:52 +01:00
Sumudu Kankanamge
31d59d6be3
-add file to read JSON gui perfect-foresight
2019-02-01 14:54:52 +01:00
Houtan Bastani
eace56ce49
use switch statement instead of eval
2019-02-01 14:28:27 +01:00
Houtan Bastani
8ddcccf18e
ols-style parsing: modify parsing to accommodate a larger set of expressions
2019-02-01 14:25:35 +01:00
Houtan Bastani
c9423fe3ab
ols parsing: fix bug in check
2019-02-01 13:21:59 +01:00
Houtan Bastani
ff2ca5fc17
remove unnecessary function
2019-02-01 12:04:46 +01:00
Houtan Bastani
f4b8735431
pooled_ols: only save certain variables oo_ structure when passing back to pooled_fgls
2019-02-01 11:50:01 +01:00
Houtan Bastani
0121e709fe
pooled_ols/pooled_fgls: fix bug in call to function
2019-02-01 11:45:16 +01:00
Houtan Bastani
e758d5bdc9
ols parsing: fix bug: node value is not stored as string in AST
2019-02-01 11:37:41 +01:00
Houtan Bastani
1f3e027a09
fix typo
2019-02-01 11:12:25 +01:00
Houtan Bastani
a68f3fc082
remove unused output from functions
2019-01-31 16:11:35 +01:00
Houtan Bastani
4c64b9108a
Revert "Revert "handle constant equations in preprocessor""
...
This reverts commit 850d1dcc95
.
2019-01-30 12:29:33 +01:00
Houtan Bastani
c544f4a02c
small improvement
2019-01-30 12:29:08 +01:00
Houtan Bastani
850d1dcc95
Revert "handle constant equations in preprocessor"
...
This reverts commit bcce997112
.
2019-01-29 00:38:01 +01:00
Houtan Bastani
bcce997112
handle constant equations in preprocessor
2019-01-28 17:56:10 +01:00
Houtan Bastani
d32de4deae
preprocessor, reporting: submodule update
2019-01-28 15:47:40 +01:00
Sébastien Villemot
cfc81bc5ff
Update preprocessor and dseries submodules
2019-01-28 15:16:37 +01:00
Stéphane Adjemia (Scylla)
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
Houtan Bastani
668e641a6a
create report for SUR estimation
2019-01-25 18:11:27 +01:00
Houtan Bastani
6d447f195a
sur: add model_name option
2019-01-25 18:11:26 +01:00
Houtan Bastani
35cabed989
reporting: submodule update
2019-01-25 18:11:26 +01:00
Houtan Bastani
d15c998804
reporting: submodule update
2019-01-25 18:02:16 +01:00
Houtan Bastani
73ea0c2fe3
fix typo in comment
2019-01-24 12:42:08 +01:00
Houtan Bastani
9bc1833a36
sur: fix bug in returned fitted value
2019-01-24 12:21:36 +01:00
Houtan Bastani
ab5a19f08a
sur: fix bug in check of returned matrices
2019-01-24 11:38:40 +01:00
Houtan Bastani
a402554083
fix bug in b219a99a16
2019-01-24 11:30:53 +01:00
Houtan Bastani
b219a99a16
olsgibbs: fix bug in returned fitted value
2019-01-24 11:23:23 +01:00
Houtan Bastani
d52ee5d290
fix comment
2019-01-24 11:20:39 +01:00
Stéphane Adjemia (Scylla)
3690dc2e6f
Updated dseries submodule.
2019-01-23 17:26:08 +01:00
Stéphane Adjemia (Scylla)
2482eafdb7
Fixed dseries class initialization in Octave.
2019-01-23 15:49:55 +01:00
Houtan Bastani
99d770382b
change indexing into X.name
2019-01-23 15:48:46 +01:00
Houtan Bastani
7632c4f071
use vobs instead of length(X.name)
2019-01-23 15:48:46 +01:00
Sébastien Villemot
f484942154
Update dseries submodule
2019-01-22 18:10:16 +01:00
Houtan Bastani
d1afd56134
small fixes (comments, argument checks)
2019-01-22 16:11:03 +01:00
Houtan Bastani
e1b01d9225
common parsing: jsonmodel not necessary as tag info is in AST
2019-01-22 16:10:42 +01:00
Houtan Bastani
078e1ab99e
fix bug in ols common parsing routines causing ordering of regressor columns to change
2019-01-22 15:25:17 +01:00
Houtan Bastani
9d413e2f8f
use vobs() instead of length(ds.name)
2019-01-22 15:23:42 +01:00
Houtan Bastani
f514d443b6
aesthetic fix
2019-01-22 00:40:57 +01:00
Houtan Bastani
63054a5728
olsgibbs: fix checks of input arguments
2019-01-22 00:08:09 +01:00
Houtan Bastani
0406a2ae15
handle zeroed out equations in SUR
2019-01-21 15:57:11 +01:00
Houtan Bastani
875381379f
sur: fix bug in creation of SUR matrices; handle random walk equation regardless of order in model equations
2019-01-18 15:07:24 +01:00
Houtan Bastani
cf0d8f319e
remove extra whitespace
2019-01-18 14:09:40 +01:00
Houtan Bastani
3293ff62c1
handle nested UnaryOpNodes in OLS-style equations
2019-01-18 11:50:10 +01:00
Houtan Bastani
0badb00687
handle AR(1) with no parameter
2019-01-17 18:57:24 +01:00
Houtan Bastani
cfd9eff6fb
simplify common parsing
2019-01-17 18:06:43 +01:00
Houtan Bastani
b62ec7dc55
handle hard-coded constant*variable in AR(1)
2019-01-17 18:06:36 +01:00
Marco Ratto
a798889fe1
fix crashes of the expand interactive mode of shock decomp plots, requiring to store and use more info on the plot itself (manual cherry-pick from 2914805e0803165eb324081483b6e85e288c3ce0)
2019-01-17 11:37:41 +01:00
Marco Ratto
aeceafbec2
fixed error in formula of annualized steady state
...
(cherry picked from commit 696800b277dadd164244771ccfce8e39f1146472)
2019-01-17 10:57:39 +01:00
Marco Ratto
6e033a800b
trap possible cases where the option is type dates (manual cherry pick from commit 392ee4ae8a200a82003acd0c9b70c47c542f6b32)
2019-01-17 10:56:12 +01:00
Marco Ratto
47900a5909
trap slice sampler when doing mh_recover
...
(cherry picked from commit 4ba9c9296f1939fa14b1401886d9e9b86541e5e3)
2019-01-17 09:50:07 +00:00
Marco Ratto
beb165c002
bug fix with definition of steady state of plotted var when realtime is not zero
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(manual cherry picked from commit 5badd34380f20e511e91b455482931c107a8f73b)
2019-01-17 10:47:39 +01:00
Marco Ratto
8713e46c4e
fixed bug with non-increasing time declarations of moment restrictions. Modified example to get more sensible graph of ACF.
...
(cherry picked from commit b0e7c47a000a679420970f1d05e4f2ed7d60764c)
2019-01-17 09:26:37 +00:00
Houtan Bastani
4c133ac23a
olsgibbs: small fixes
2019-01-16 14:53:22 +01:00
Houtan Bastani
556b5b6e88
small change to avoid an extra conditional
2019-01-16 14:53:22 +01:00
Houtan Bastani
4dbbdb2c09
move common dates to parsing function
2019-01-16 14:53:22 +01:00
Houtan Bastani
ee8e8c4282
small simplification
2019-01-16 14:53:22 +01:00
Houtan Bastani
0fb88114c1
rename functions and change error message to be more general is parsing is shared between several different functions
2019-01-16 14:53:22 +01:00
Houtan Bastani
bb9418a473
dyn_ols: only one output from function, remove varargout
2019-01-16 14:53:21 +01:00
Houtan Bastani
03eaac8b6d
make plot_contributions use get_ast_jsonmodel
2019-01-16 14:53:21 +01:00
Houtan Bastani
9a61c57102
remove functions that are no longer used
2019-01-16 14:53:21 +01:00
Houtan Bastani
f755cfdcd4
surgibbs: small fixes
2019-01-16 14:53:21 +01:00
Houtan Bastani
3247b1aa02
pooled_fgls: fix and update
2019-01-16 14:53:21 +01:00
Houtan Bastani
e4dc7c403e
parse residual information
2019-01-16 14:53:21 +01:00
Houtan Bastani
72081e640e
pooled_ols: fix dates
2019-01-16 14:53:20 +01:00
Houtan Bastani
efe0a15e0e
comment out code
2019-01-16 14:53:20 +01:00
Houtan Bastani
9ed97b88c1
account for potentially differing number of observations per equation when creating SUR matrices
2019-01-16 14:53:20 +01:00
Houtan Bastani
a7181a8151
fix common parsing function to impose same dates per equation
2019-01-16 14:53:20 +01:00
Houtan Bastani
3427d93c09
add comment to function
2019-01-16 14:53:20 +01:00
Houtan Bastani
5d80fc903b
pooled_ols: fix up and use common parsing
2019-01-16 14:53:20 +01:00
Houtan Bastani
1e41235b6b
common parsing: small fixes
2019-01-16 14:53:19 +01:00
Houtan Bastani
934a22c3a7
sur: small fixes
2019-01-16 14:53:19 +01:00
Houtan Bastani
ef391b1304
surgibbs: fix up and make work with sur changes
2019-01-16 14:53:19 +01:00
Houtan Bastani
f8c0282b01
sur: fix up and use common code to create matrices
2019-01-16 14:53:19 +01:00
Houtan Bastani
d8f26525b0
olsgibbs: fix up and use common parsing functions
2019-01-16 14:53:19 +01:00
Houtan Bastani
a477075825
ols: further simplifications
2019-01-16 14:53:19 +01:00
Houtan Bastani
a35fd291c5
ols: move json file parsing to a separate file
2019-01-16 14:53:19 +01:00
Houtan Bastani
013124eedf
ols: move parsing to a helper function
2019-01-16 14:53:18 +01:00
Houtan Bastani
093dd493d8
ols: catch unexpected case
2019-01-16 14:53:18 +01:00
Houtan Bastani
7d35cb5c5a
fix typo
2019-01-14 15:02:32 +01:00
Houtan Bastani
e8333421e7
remove unnecessary file
2019-01-10 10:44:19 +01:00
Stéphane Adjemia (Scylla)
3bc6b34161
Bug fix.
...
Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
Houtan Bastani
c94401ea66
remove spurious semicolon
2019-01-02 18:00:21 +01:00
Houtan Bastani
42ad1a85ba
remove unnecessary find in statement
2019-01-02 17:56:45 +01:00
Houtan Bastani
24eb3bcb34
remove unnecessary brackets from strings
2019-01-02 17:56:35 +01:00
Stéphane Adjemia (Scylla)
6d5f86b464
Updated dseries submodule (fix for macOS).
...
X13 binary was not detected.
[ci-skip]
2018-12-27 10:59:38 +01:00
Stéphane Adjemian (Hermes)
c7988c0717
Updated dseries submodule (moved dates class into dseries submodule).
2018-12-24 10:37:26 +01:00
Sébastien Villemot
f546eb67ed
Update preprocessor and dseries submodules
2018-12-20 17:10:22 +01:00
Sébastien Villemot
f363c3da6b
Restore behavior of 'nolog' option
...
The option had been broken by 0e77815ece
.
This option cannot be entirely handled at the preprocessor level, since the
main log file is created at the MATLAB/Octave level. Handle it via a dedicated
regular expression.
2018-12-20 17:10:22 +01:00
Stéphane Adjemian (Hermes)
14305851a9
Updated dates submodule.
2018-12-19 17:24:00 +01:00
Sébastien Villemot
0e77815ece
Options list at the top of the mod-file now parsed by the preprocessor
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Closes #1630
2018-12-19 16:15:48 +01:00
Stéphane Adjemia (Scylla)
c829e7968d
If possible define boundaries for the share of optimizing agents in PAC/NLS.
...
The parameter is constrained to be in (0,1) for the following algorithms
- lsqnonlin (without Levenberg-Marquardt)
- fmincon
- annealing
- particleswarm
Other algorithms do not allow the definition of boundaries... We should add a
penality function to the objective for these algorithms.
2018-12-19 16:05:34 +01:00
Stéphane Adjemia (Scylla)
df57bf7eb9
Fixed bug.
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PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
Stéphane Adjemia (Scylla)
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
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Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
Stéphane Adjemia (Scylla)
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
Stéphane Adjemia (Scylla)
23e37e45c4
Cosmetic change.
...
create a namespace for each {VAR/PAC} expectation model.
2018-12-19 11:43:26 +01:00
Stéphane Adjemia (Scylla)
351da3b865
Do not update a dseries object, but instantiate a new object.
2018-12-19 10:53:09 +01:00
Johannes Pfeifer
5db86aaf7f
Use global instead of local variable
2018-12-18 12:44:08 +01:00
Sébastien Villemot
fc74dded42
Increase tolerance in quantile.m unit test
...
The failure appeared because of (seemingly unrelated) changes in gamrnd, which
have modified the random seed when entering this test.
2018-12-17 12:38:41 +01:00
Stéphane Adjemia (Scylla)
f2b5a909f3
Update dseries submodule.
2018-12-17 10:50:39 +01:00
Johannes Pfeifer
6460a3a1e5
Document prior moments(distribution) option
2018-12-15 19:23:06 +01:00
Johannes Pfeifer
68d3852cbf
Correctly update covariance matrix of exogenous shocks during prior simulation
2018-12-15 19:23:06 +01:00
Johannes Pfeifer
b333f6bf2b
Correctly update covariance matrix of shocks for posterior draws
2018-12-15 19:23:05 +01:00
Johannes Pfeifer
2ba9a8e10b
Prevent inconsistent specification in estim_params-block
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Also documents the behavior
2018-12-15 18:49:53 +01:00
Johannes Pfeifer
1880a34d2f
Provide error message if unsupported endogenous prior restriction is used
2018-12-15 18:44:53 +01:00
Johannes Pfeifer
fec7455555
Make prior.m function account for endogenous prior restrictions
2018-12-15 18:44:53 +01:00
Stéphane Adjemia (Scylla)
d5bdc19e19
Added unit tests for gamrnd algorithms.
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Only tests first order moemnt, second order moment and Cumulative Distribution
Function (should also add some tests for independance).
2018-12-15 16:48:25 +01:00
Stéphane Adjemia (Scylla)
e32b87d4b3
Streamlined gamrnd routine.
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Give access to all the implemented algorithms through the third argument. The
last argument is a structure with two fields `large` and `small`. The first
field specifies the algorithm to be used for α>1 while the second field defines
the algorithm to be used for α ∈ (0,1).
Default algorithms are:
- Cheng (1977) for α>1,
- Johnk (1964) α ∈ (0,1).
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
d628b078ab
Fixed typo.
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
4206cabe52
Streamlined gamrnd algorithms.
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
8ac4860150
Fixed Weibull rejection algorithm.
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The description given by Devroye (1986) is clearly wrong, this implementation
is based on the original paper Väduva (Series Statistics, 1977).
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
79ad4e952b
Bug fixes in Cheng (1977)'s gamrnd algorithm.
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- Definition of Y was wrong (error in Devroye's book).
- Definition of X was wrong.
Also simplified the code w.r.t. update of the vector of indices.
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
162c8ab7d0
Set default value for the second hyperparameter.
2018-12-15 16:48:24 +01:00
Stéphane Adjemia (Scylla)
426c63a735
Created namespace for gamrnd routines.
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Also fixed implementation of Jonk's algorithm.
2018-12-15 16:48:23 +01:00
Stéphane Adjemia (Scylla)
4775bca073
Fixed ordering of the columns of the Companion matrix...
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For the level representation of the trend component model.
2018-12-14 17:37:35 +01:00
Stéphane Adjemia (Scylla)
2cff485113
Fixed bug in the routine evaluating the (PAC/VAR) expectations.
2018-12-14 17:29:46 +01:00
Stéphane Adjemia (Scylla)
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +01:00
Sébastien Villemot
552c40cfc4
Update dseries and m-unit-tests submodules
2018-12-12 14:48:50 +01:00
Sébastien Villemot
139e922c0f
No longer downoald x13 binary within CI
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The binary is now picked from the Debian package.
2018-12-12 11:06:20 +01:00
Sébastien Villemot
d2c10f216b
Update dseries submodule
2018-12-12 10:36:17 +01:00
Stéphane Adjemian (Hermes)
8f5ba227d1
Updated dseries submodule.
2018-12-11 19:38:29 +01:00
Stéphane Adjemian (Hermes)
89a8331eb6
Updated dseries submodule.
2018-12-10 23:00:52 +01:00
Houtan Bastani
44e5a88ddd
dyn_ols: use AST instead of regex to parse equations
2018-12-07 19:54:32 +01:00
Stéphane Adjemia (Scylla)
cb4384bb27
Create on the fly a routine for evaluating the (VAR/PAC) expectations.
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The routine takes a dseries object as unique argument and return an updated
object with the expectation term.
If the mod file is named `example.mod` and if the (VAR/PAC) expectation model is
named `toto`, then after
var_expectation.print('toto');
the expectation term can be evaluated:
ts = example.var_expectations.evaluate_varexp(ts);
where ts is a dseries object containing all the time series appearign in the
auxiliary (var or trend_component).
2018-12-03 15:07:43 +01:00
Stéphane Adjemia (Scylla)
53ab321de8
Added the possibility to use linear expressions in VAR_EXPECTATION_MODEL.
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See tests/var-expectations/9/example.mod for a self documented example.
Also updated all the integration tests using the option `expression` instead of
`variable` (which is deprecated and will be removed at some point).
2018-11-30 23:36:06 +01:00
Stéphane Adjemia (Scylla)
650c78f99d
Merge branch 'master' into ecb-master
2018-11-30 21:34:56 +01:00
Stéphane Adjemia (Scylla)
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
Stéphane Adjemia (Scylla)
c79be57447
Fixed definition of h (PAC expectation reduced form).
2018-11-27 10:05:40 +01:00
Stéphane Adjemia (Scylla)
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
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Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
Stéphane Adjemia (Scylla)
139c58dd76
Added Gauss Newton algorithm for minimizing sum of squared residuals.
2018-11-26 09:48:50 +01:00
Sébastien Villemot
efec664667
Preprocessor update + corresponding change in parameters derivatives
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In the *_params_derivs.m files, in the "hp" matrix, the preprocessor now fully
outputs the symmetric elements, so getH needs to be adapted.
By the way, also clean up code for "rpp" and "gpp", were full symmetric
elements were also already present (and therefore do not need to be duplicated
in getH).
2018-11-22 17:53:39 +01:00
Stéphane Adjemia (Scylla)
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
Stéphane Adjemia (Scylla)
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
Sébastien Villemot
635aa65665
Merge branch 'ident_plot_bug' into 'master'
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identification_analysis.m: Fix bug introduced in 60d95b65f2
See merge request Dynare/dynare!1637
2018-11-16 16:21:14 +00:00
Johannes Pfeifer
b615d2d795
identification_analysis.m: Fix bug introduced in 60d95b65f2
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We already used a variable called offset
2018-11-16 16:20:27 +01:00
Johannes Pfeifer
4ecbcbb136
evaluate_steady_state_file.m: Remove redundant setting of auxiliary variables
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The original problems seems to have been fixed by #1133
Essentially reverts 3c7e60b744
and closes #1175
2018-11-16 14:12:55 +01:00
Johannes Pfeifer
f947a31b80
evaluate_steady_state_file.m: fix two bugs in debugging mode
2018-11-16 09:24:43 +00:00
Johannes Pfeifer
60d95b65f2
Identification strength: make plotting consistent
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1. Rely on actually computed standard deviations in bayestopt_ instead of potentially unset estim_params_
2. Remove arbitrary normalizations/omitted normalization in case of division by 0 in normalization
3. Distinguish between 0 identification and division by 0 due to normalization in plots
(cherry picked from commit 7341e21a381850c47fbed018bf6a7acdda4fa92e)
2018-11-16 10:17:30 +01:00
Sébastien Villemot
ad451ad224
Merge branch 'prior_dens_info' into 'master'
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Deal with info returned by priordens being a vector
See merge request Dynare/dynare!1629
2018-11-15 09:39:11 +00:00
Sébastien Villemot
513f3ec68e
Merge branch 'evaluate_steady_state' into 'master'
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evaluate_steady_state.m: consistently use params
Closes #1627
See merge request Dynare/dynare!1630
2018-11-15 09:22:09 +00:00
Johannes Pfeifer
30361ccb49
GSA scatter plots: Correctly pass LaTeX-names to figure
2018-11-14 18:37:54 +01:00
Johannes Pfeifer
022913579a
map_calibration.m: Fix bug that prevented display of restrictions
2018-11-14 18:37:05 +01:00
Johannes Pfeifer
c16c2fb894
evaluate_steady_state.m: consistently use params
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Prevents erroneously relying on stale parameters from M.params (thanks to Tom Holden); closes #1627
2018-11-14 16:01:55 +01:00
Johannes Pfeifer
09a166f4e7
Revert "adding missing any()"
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This reverts commit a5b97a28a0
.
2018-11-14 15:04:27 +01:00
Johannes Pfeifer
c1b0bb5ee3
initial_estimation_checks.m: Turn vector info into scalar
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Related to a5b97a28a0
that needs to be reverted
2018-11-14 15:02:15 +01:00
Sébastien Villemot
18faa9733c
Further updates related to minimal MATLAB version bump
2018-11-13 18:29:20 +01:00
Sébastien Villemot
7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
Sébastien Villemot
ce49cd95df
Add missing iscolumn and ismatrix for MATLAB < R2010b
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Also fix a bug in isrow (it was not checking the rank of the array).
2018-11-13 16:59:27 +01:00
Sébastien Villemot
736d43c4e6
Bump minimal MATLAB version requirement to 7.9 (R2009b)
2018-11-13 15:59:16 +01:00
Sébastien Villemot
096936be9c
The preprocessor now compiles the MEX when use_dll is specified
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Update documentation accordingly (except on macOS where the solution has not
yet been implemented).
Also include MinGW in the Windows installer.
2018-10-29 14:41:34 +01:00
Sébastien Villemot
cc4183d3a5
Fix for recent MATLABs under Windows
2018-10-26 15:02:26 +02:00
Sébastien Villemot
8cb51e26e6
options_.instruments is now a cell array
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This fixes crashes under Octave (while MATLAB seems to accept array-indexing
with cell arrays).
2018-10-25 15:01:53 +02:00
Stéphane Adjemia (Scylla)
dcea7514d9
Merge branch 'master' into ecb-master
2018-10-24 18:31:31 +02:00
Houtan Bastani
8a2c38cf6c
olsgibbs: save fitted values in dataset; allow use of dictionary as in dyn_ols
2018-10-24 17:17:01 +02:00
Stéphane Adjemia (Scylla)
510bc2e299
Removed unused variable.
2018-10-24 12:08:00 +02:00
Stéphane Adjemia (Scylla)
1c1a3ea0a4
Removed tests on targets.
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A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
Stéphane Adjemia (Scylla)
a53c63d6d5
Added routines to print PAC_EXPECTATION and VAR_EXPECTATION in files.
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Each new routine pac.print() and var_expectation.print(), creates two files
that can be included (using the macro language) in a mod file. The first
file, {pac,var}expectationmodename-parameters.inc saved under
{M_.fname}/model/{pac,var}expectationmodel, contains the declaration of the
parameters created for the expanded (var or pac) expectation model, with
calibrated values. The second file, {pac,var}expectationmodename-parameters.inc
saved in the same subfolder, contains the expanded version of the (pac or var)
expectation term as a linear combination of the variables in the companion
representation of the expectatino model.
2018-10-14 16:57:51 +02:00
Stéphane Adjemia (Scylla)
e5317b17de
Cosmetic change.
2018-10-06 17:52:58 +02:00
Stéphane Adjemia (Scylla)
108854a484
Bug fix. verbosity option was not honoured in simplex algorithm (8).
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Thanks to Reuben for reporting.
2018-10-06 17:50:37 +02:00
Stéphane Adjemia (Scylla)
dfafe86246
Save teh posterior mean of the slope parameters as a column vector.
2018-10-06 16:55:42 +02:00
Stéphane Adjemian (Charybdis)
82187f9d41
Fixed olsgibbs routine.
2018-10-06 16:08:28 +02:00
Stéphane Adjemian (Charybdis)
798aaaa968
Cosmetic change.
2018-10-04 23:17:49 +02:00
Houtan Bastani
ee2ad1ee15
olsgibbs: linear regression with Gibbs sampler
2018-10-04 17:12:47 +02:00
Houtan Bastani
57bf291c00
add comment
2018-10-04 17:12:47 +02:00
Stéphane Adjemian(Charybdis)
ae71599292
Switch to new get_companion_matrix routine.
2018-09-28 19:27:17 +02:00
Stéphane Adjemian(Charybdis)
bbbaabc702
Cosmetic change.
2018-09-28 12:26:59 +02:00
Michel Juillard
3ad654b9b8
Allowing for different number of periods in conditional_forecast_path.
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Updated preprocessor submodule.
2018-09-27 18:58:24 +02:00
Stéphane Adjemian(Charybdis)
07141a8681
Various optimizations.
2018-09-26 22:51:05 +02:00
Stéphane Adjemian(Charybdis)
7c83ba7ea7
Fixed documentation header.
2018-09-26 22:51:05 +02:00
Houtan Bastani
973c3955f0
adjust for ‘targets’ keyword instead of ‘trends’
2018-09-25 14:58:36 +02:00
Houtan Bastani
974bcd92ae
Merge branch 'ecb-master' into ecb-master-targets
2018-09-25 14:41:11 +02:00
Houtan Bastani
c6d5b09c29
fix typo
2018-09-25 14:39:48 +02:00
Stéphane Adjemian(Charybdis)
b3a8062b46
Added missing output.
2018-09-19 17:39:58 +02:00
Stéphane Adjemian(Charybdis)
031e2c87c6
New version of get_companion_matrix + new integration test.
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The routine is still buggy. In PAC and VAR_EXPECTATION models we
use get_companion_matrix_legacy routine instead.
2018-09-19 17:39:48 +02:00
Stéphane Adjemian(Charybdis)
2cf6ccdaa5
Updated dseries submodule.
2018-09-18 17:37:37 +02:00
Stéphane Adjemian(Charybdis)
3e6e448134
Updated dates and dseries submodules.
2018-09-14 23:13:13 +02:00
Stéphane Adjemian(Charybdis)
99aadf7d1a
Updated m-unit-tests submodule.
2018-09-14 15:37:30 +02:00
Houtan Bastani
62301fa1e9
dyn_ols: fix typo
2018-09-14 15:09:31 +02:00
Stéphane Adjemian(Charybdis)
2518cd9884
Raise error of an optimization algorithm is not available.
2018-09-13 16:16:07 +02:00
Stéphane Adjemian(Charybdis)
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
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Default is to use csminwel optimizer (because it seems to do the job and does
not rely on the Mathworks toolbox).
2018-09-13 16:15:52 +02:00
Houtan Bastani
eb316d7e2d
update files for change of option name from `trends` to `targets`
2018-09-13 12:24:32 +02:00
Houtan Bastani
5ab8120780
get companion matrix using preprocessor output instead of get_ar_ec_matrices.m
2018-09-12 18:38:26 +02:00
Houtan Bastani
74094683de
get_companion_matrix: fix header
2018-09-12 18:29:21 +02:00
Houtan Bastani
a6150bae82
get_companion_matrix: simplify check (no need for allocation)
2018-09-12 18:29:14 +02:00
Houtan Bastani
a32e2f165a
get_companion_matrix: remove unnecessary conditional
2018-09-12 18:29:07 +02:00
Houtan Bastani
e9d7f6ca24
Merge branch 'master' into ecb-master
2018-09-12 18:28:47 +02:00
Stéphane Adjemian(Charybdis)
6815624a6a
Fixed bug.
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Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
Sébastien Villemot
51416bf2ae
Always use "isoctave" for testing Octave context
2018-09-07 17:22:08 +02:00
Stéphane Adjemian(Charybdis)
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
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PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00