636d23fa49
Release notes for 4.6.2
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[skip ci]
2020-09-07 12:35:56 +02:00
7d0f8aa116
Merge branch 'exogenouslag' into 'master'
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Exogenouslag
See merge request Dynare/dynare!1759
2020-09-04 14:02:04 +00:00
0391dbbeb1
fix bug with lag on exogenous variables on more than one period
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(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
2020-09-04 14:02:04 +00:00
9b946ca0af
macOS package: fix compilation of x13as against gfortran 10
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Add -std=legacy to FFLAGS.
Do the same for the Windows package, even though we don’t yet use version 10 of
gfortran (but that will of course happen at some point).
2020-09-04 10:47:43 +02:00
fa87c296cb
Preprocessor, use_dll: add the “restrict” C99 keyword to all pointers to double
2020-09-03 18:10:19 +02:00
26597bf093
Remove more utilities related to conversion of oo_ between Dynare versions
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Ref. #915
2020-09-03 16:45:21 +02:00
2840526034
Merge branch 'parallel' into 'master'
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AnalyseComputationalEnvironment.m: define missing command string used in error message
See merge request Dynare/dynare!1758
2020-09-03 14:41:18 +00:00
34f66d3db8
Windows package: GCC 10 now depends on zstd
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Closes: preprocessor#55
By the way, bump other dependencies.
2020-09-03 15:58:05 +02:00
d7b7ce8940
AnalyseComputationalEnvironment.m: define missing command string used in error message
2020-09-02 12:41:31 +02:00
94adca9aad
Preprocessor: remove matched_moments_ as input argument as it is now a field of M_
2020-09-01 15:15:21 +02:00
b891695680
Merge branch 'JohannesPfeifer/dynare-MoM'
2020-09-01 15:14:43 +02:00
7738ea0a25
macOS: use GCC 10 for building, since GCC 9 is no longer in Homebrew
2020-09-01 14:39:17 +02:00
f31aefccf6
Preprocessor update
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– Make preprocessor recognize default order=2 of stoch_simul
— Fix faulty logic in checks for mh_tune_jscale
— Fix handling of multiple PAC models
— PAC/MCE: improve informative message about # of aux. vars/eqs by adding the
model name
— Fixes to include_eqs/exclude_eqs
— PAC model: rewrite the algorithm for detecting the target, to make it more
robust
— PAC/MCE model: fix timing of target in PAC expectation term
— Add new “matched_moments” block
2020-09-01 14:36:38 +02:00
695dc8834f
Merge branch 'affiliation' into 'master'
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Update Johannes's affiliation
See merge request Dynare/dynare!1756
2020-09-01 12:17:05 +00:00
96be513ecf
Remove matched_moments_ as input argument as it is now a field of M_
2020-08-05 15:58:58 +02:00
91563e50ac
Update Johannes's affiliation
2020-08-04 18:09:40 +02:00
f6c2471eef
New MEX for solving discrete Lyapunov equations with doubling algorithm
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This is a Fortran 2008 rewrite of disclyap_fast.m.
Closes : #1737
2020-07-30 16:34:35 +02:00
3f53a94981
Add dpotrf to Fortran 2008 BLAS/LAPACK bindings
2020-07-30 16:34:35 +02:00
ea18431230
Various improvements to mjdgges MEX
2020-07-30 16:34:33 +02:00
f4a31a0d1f
Various improvements to Fortran 2008 interface to MATLAB MEX functions
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— add interface for more functions (cell, logical, struct)
— add new mexPrintf wrapper that trims and prints a newline
— functions that take indices of type mwIndex now 1-based indices
— improve the wrapper for mxArrayToString so that it returns a character scalar
2020-07-30 14:45:50 +02:00
367daa8664
CI: switch to new code signing certificate for Windows
2020-07-29 17:48:58 +02:00
c9a58a443b
CI: switch to new code signing certificate for Windows
2020-07-29 16:27:26 +02:00
470d8ef079
Emacs mode: update for method of moments routines
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[skip ci]
2020-07-28 18:10:46 +02:00
Stéphane Adjemian (Odysseus)
579fb9e685
Fixed bug introduced in edede274f2.
2020-07-24 22:30:51 +02:00
Stéphane Adjemian (Charybdis)
771055c0a9
Updated preprocessor submodule.
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Fixes timing of target's growth rates in the expected term of the PAC
equation (Model Consistent Expectation). All the growth rates were
wrongly shifted backward by one period.
2020-07-24 18:28:17 +02:00
Stéphane Adjemian (Charybdis)
edede274f2
Make the detection of the target in PAC equation more robust.
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In a PAC equation, the error correction term must be written as:
β×(yₜ₋₁-xₜ₋₁)
where x is the endogenous variable determined by the equation and y
the target for x. The ordering matters, if not respected the
preprocessor wll not identify the error correction term (hence the
target) and will throw an error. The target must be an endogenous
variable or the log of an endogenous variable. For a more general
target, ie an expression, one can create an auxiliary variable.
We impose the ordering, target comes first in the error correction
term, so that the stability condition is always β>0 (this constraint
can be enforced when estimating the PAC equation).
2020-07-24 17:36:31 +02:00
Stéphane Adjemian (Charybdis)
142e58576d
Updated preprocessor submodule.
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Various fixes:
- PAC/MCE allow more than one PAC equation in a model.
- PAC/MCE detection of the target (WIP)
- Equation exclusion
2020-07-23 11:49:10 +02:00
Stéphane Adjemian (Charybdis)
7f50b02910
Added test where the PAC equation doesn't have lags on the endogenous variable.
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This example is currently failing.
2020-07-22 12:25:05 +02:00
Stéphane Adjemian (Charybdis)
897e2fc63b
Added test with two PAC equations in the same mod file.
2020-07-22 12:21:23 +02:00
daea99d1b0
Merge branch 'parameter_setting' into 'master'
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Move setting of parameters out of check_bounds_and_definiteness_estimation.m
See merge request Dynare/dynare!1754
2020-07-21 08:30:57 +00:00
6cf8f27d94
Merge branch 'RBC_mom' into 'master'
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RBC_MoM: filter out additional pathological cases with try-catch
See merge request Dynare/dynare!1755
2020-07-17 20:57:55 +00:00
9fa24aa7be
RBC_MoM: filter out additional pathological cases with try-catch
2020-07-17 20:35:53 +02:00
032357f864
Merge branch 'RBC_MoM_steady' into 'master'
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RBC_MoM-test: filter out pathological cases
See merge request Dynare/dynare!1753
2020-07-17 13:18:04 +00:00
791e5e9d97
RBC_MoM-test: filter out pathological cases
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[skip CI]
2020-07-17 15:16:05 +02:00
3b85fea02e
Move setting of parameters out of check_bounds_and_definiteness_estimation.m
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Increases transparency
2020-07-17 15:02:12 +02:00
4d22c4c0c0
Drop 32-bit binaries from Windows package
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Closes : #1713
2020-07-17 12:52:58 +02:00
1dbbef9f2e
Merge branch 'moment_estimation' into 'master'
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First implementation of moment estimation
See merge request Dynare/dynare!1750
2020-07-16 15:41:15 +00:00
19b7d202d2
testsuite: Add test cases
2020-07-16 14:54:04 +02:00
b273a2792b
Fix iterated method of moments
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Also improve fprintf descriptions and comments and other cosmetical changes
2020-07-16 14:47:20 +02:00
cda3253d2c
Merge branch 'ME_traceplots' into 'master'
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Fix trace plots with measurement errors and their correlations
See merge request Dynare/dynare!1752
2020-07-16 09:39:47 +00:00
499451d50a
Merge branch 'pruned_state_space' into 'master'
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Speed up pruned_state_space_system.m by e.g. using persistent variables
See merge request Dynare/dynare!1749
2020-07-16 09:39:01 +00:00
9c99eac55c
Move more options to substructure options_mom_.mom
2020-07-16 11:38:41 +02:00
552b995215
Remove stuff and checks that are already done in the preprocessor
2020-07-16 11:38:41 +02:00
540f0454d2
Code Review of GMM routines
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- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
a40807caa9
plot_priors.m: Allow for optional title
2020-07-16 11:38:39 +02:00
e14e9641e8
Factorize checking of positive definiteness
2020-07-16 11:38:38 +02:00
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
77dbeab98a
Preprocessor update
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— add syntax for methods of moments estimation
— allow empty shocks(overwrite) blocks
— PAC MCE: fix incorrect detection of the target variable
— Do not print aux. var. for PAC expectation in dynamic_set_auxiliary_series routine.
— PAC MCE expectations: add corresponding auxiliary variables in
dynamic_set_auxiliary_series.m and set_auxiliary_variables.m
— Unary ops substitution: bugfix, actually restrict the substitution to the
chosen equations
2020-07-16 10:58:05 +02:00
8a00ee3dff
AnSchorfheide_pruned_state_space.mod: remove test part that only showcases that in Andreasen's code there is an error
2020-07-15 15:37:49 +02:00
f717712ed6
Fix trace plots with measurement errors and their correlations
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Problem was introduced when transitioning to cell arrays
2020-07-15 14:34:04 +02:00
Sébastien Villemot
MichelJuillard
Johannes Pfeifer
Stéphane Adjemian (Odysseus)
Willi Mutschler