Johannes Pfeifer
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a7ed27b889
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Document lik_init=5 and add unit test for lik_init
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2015-10-18 18:55:33 +02:00 |
Stéphane Adjemian (Charybdis)
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b01867c47e
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Bug fix. Closes issue #1094.
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2015-10-17 17:44:25 +02:00 |
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Stéphane Adjemian (Hermes)
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dc20cac3e2
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Updated dseries submodule.
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2015-10-17 17:43:32 +02:00 |
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Stéphane Adjemian
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36992933d2
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Merge pull request #1062 from FerhatMihoubi/cond_forecast_and_bytecode
Allows to compute the extended path and the conditional forecasts wit…
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2015-10-16 17:12:54 +02:00 |
Houtan Bastani
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529ccd3773
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submodule update: reporting
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2015-10-16 15:38:20 +02:00 |
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Houtan Bastani
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f5043e11b0
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update reporting path
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2015-10-16 15:37:39 +02:00 |
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Houtan Bastani
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1d3b1ae6c3
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submodule update: reporting
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2015-10-15 12:33:23 +02:00 |
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Stéphane Adjemian
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c477d25fe2
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Merge pull request #1086 from JohannesPfeifer/constant_moments
Save posterior moments even if the distribution is degenerate
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2015-10-14 22:15:09 +02:00 |
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Stéphane Adjemian
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f12a468bb3
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Merge pull request #1085 from rattoma/optimizer_number_5
enhancements to optimizer 5
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2015-10-14 17:33:27 +02:00 |
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Houtan Bastani
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f583add550
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prior_posterior_function: save results to different structures, depending on which command was called
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2015-10-14 11:19:12 +02:00 |
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Stéphane Adjemian
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b4bd896b89
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Merge pull request #1087 from JohannesPfeifer/resid_fix
Remove automatic error from resid.m when steady state does not solve.
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2015-10-14 01:12:34 +02:00 |
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Stéphane Adjemian
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61abe6dfc7
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Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
Diffuse filter and smoother
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2015-10-14 01:09:08 +02:00 |
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Stéphane Adjemian
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01329a4e0e
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Merge pull request #1084 from rattoma/gsa
Gsa and identification commits
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2015-10-13 23:59:54 +02:00 |
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Stéphane Adjemian (Charybdis)
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6ea5bdde34
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Merge branch 'johannes_bandpass'
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2015-10-13 23:56:22 +02:00 |
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Johannes Pfeifer
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f7175745ac
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Add one-sided HP filter
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2015-10-13 20:50:03 +02:00 |
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Houtan Bastani
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145e2d5542
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preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
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2015-10-13 17:41:31 +02:00 |
Marco Ratto
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93e7be66e7
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proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
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2015-10-13 17:28:29 +02:00 |
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Marco Ratto
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0aa7e15d58
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- 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.
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
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2015-10-13 17:26:39 +02:00 |
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Marco Ratto
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05fc096569
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Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
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2015-10-13 17:15:01 +02:00 |
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Houtan Bastani
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c45a054c6f
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modify calling structure of execute_prior_posterior_function and update doc
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2015-10-13 15:13:35 +02:00 |
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Johannes Pfeifer
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cb3804ab51
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Remove automatic error from resid.m when steady state does not solve.
Closes #573
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2015-10-13 13:45:54 +02:00 |
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Johannes Pfeifer
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1043a019c2
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Save posterior moments even if the distribution is degenerate
Closes #1024
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2015-10-13 11:47:35 +02:00 |
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Marco Ratto
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2d59920a70
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- systematically check bounds for each parameter during optimization
- make htol adaptive to each parameter to speed up computations
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2015-10-13 11:07:01 +02:00 |
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Marco Ratto
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61d6e49dfd
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Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
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2015-10-13 10:45:35 +02:00 |
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Marco Ratto
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bc8f546cbb
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Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
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2015-10-13 10:44:13 +02:00 |
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Stéphane Adjemian
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d3eca9338b
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Merge pull request #1038 from JohannesPfeifer/kernel_density
Allow computing posterior kernel density
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2015-10-12 23:23:07 +02:00 |
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Johannes Pfeifer
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40877685f2
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Add LaTeX-output option to table from stoch_simul.m
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2015-10-12 20:42:04 +02:00 |
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Johannes Pfeifer
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38d293b864
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Replace globals in disp_th_moments.m by function arguments
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2015-10-12 20:42:03 +02:00 |
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Johannes Pfeifer
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f7ae5e4f60
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Adjust table titles to accommodate new filter options
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2015-10-12 20:42:02 +02:00 |
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Johannes Pfeifer
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281e87f807
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Add simulated variance decomposition
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2015-10-12 20:42:01 +02:00 |
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Johannes Pfeifer
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a524681e40
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Replace globals in disp_moments.m by function arguments
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2015-10-12 20:42:00 +02:00 |
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Johannes Pfeifer
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9459ff5d8f
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Add bandpass filtering to simulated moments
Also takes precautions for future implementation of one-sided hp filter
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2015-10-12 20:42:00 +02:00 |
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Johannes Pfeifer
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a4b04ca9b4
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Fix UnivariateSpectralDensity.m for filtered variables
- Adds bandpass filter
- Writes results to oo_
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2015-10-12 20:41:59 +02:00 |
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Johannes Pfeifer
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25df325899
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Add bandpass filter to th_autocovariances.m
Also adds documentation
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2015-10-12 20:41:58 +02:00 |
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Johannes Pfeifer
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e9f2be0c1a
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Cosmetic changes to UnivariateSpectralDensity.m
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2015-10-12 20:41:57 +02:00 |
MichelJuillard
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6d23db41d0
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Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
Check whether steady state file returns column vector
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2015-10-12 16:33:29 +02:00 |
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Johannes Pfeifer
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8ef96c46ca
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Check whether steady state file returns column vector
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2015-10-12 16:17:56 +02:00 |
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Stéphane Adjemian (Charybdis)
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203455d2a1
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Updates particles submodule (mainly bug fixes).
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2015-10-12 15:51:16 +02:00 |
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Johannes Pfeifer
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7ebbc41d8a
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Get rid of eval statements by using indirect indexing of structures
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2015-10-12 15:36:42 +02:00 |
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Johannes Pfeifer
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b7cbb563d6
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Allow suppressing density of smoother and forecast objects
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2015-10-12 15:34:52 +02:00 |
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Johannes Pfeifer
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1ef1f9c75d
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Transform hard-coded kernel density options to real options
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2015-10-12 15:34:51 +02:00 |
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MichelJuillard
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aa894f8613
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Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
Condition check for stochastic singularity on maximum of non-missing …
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2015-10-12 09:12:31 +02:00 |
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MichelJuillard
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c2565e803f
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Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
Filter out failure of k_order_pert in likelihood computation
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2015-10-11 20:45:51 +02:00 |
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Johannes Pfeifer
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fd9f2db79d
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Allow resuming previous run of CMAES
Also enables saving of intermediate results, consistent with the manual.
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2015-10-11 19:13:48 +02:00 |
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Johannes Pfeifer
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e3e34e1c7d
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Reduce default accuracy criterion in cmaes.m
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2015-10-11 18:50:05 +02:00 |
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Johannes Pfeifer
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df47be4076
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Properly set bounds and H0 for CMAES
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2015-10-11 18:21:25 +02:00 |
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Johannes Pfeifer
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d513d38f73
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Filter out failure of k_order_pert in likelihood computation
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2015-10-11 17:55:27 +02:00 |
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Johannes Pfeifer
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33aa22a80f
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Condition check for stochastic singularity on maximum of non-missing observations
closes #1071
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2015-10-11 10:49:15 +02:00 |
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MichelJuillard
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866ab33575
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Merge pull request #1042 from JohannesPfeifer/discretionary
Various fixes for discretionary_policy
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2015-10-10 22:25:46 +02:00 |
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MichelJuillard
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b51b037ef2
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Merge pull request #871 from JohannesPfeifer/prior_posterior_function
Add functionality Prior posterior function
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2015-10-10 22:17:53 +02:00 |