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
62fc244576
Merge branch 'singularity' into 'master'
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DsgeSmoother: add warning if there is stochastic singularity
See merge request Dynare/dynare!1751
2020-07-15 10:45:06 +00:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
Stéphane Adjemian (Charybdis)
6c9d695332
Updated preprocessor submodule.
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Fixes target definition in PAC/MCE equation.
2020-07-13 17:56:58 +02:00
51278b2f90
Testsuite / External functions: also test coefficients of 2nd order policy function
2020-07-10 18:25:23 +02:00
acdca03e43
Testsuite / External functions: add file missing in previous commit
2020-07-09 18:42:17 +02:00
5b88113668
Testsuite / External functions: add check for numerical results
2020-07-09 18:40:36 +02:00
e525798a64
External functions: decrease step used for numerical derivation
2020-07-09 18:40:36 +02:00
11ef652136
Manual, external functions: when derivatives are not provided, finite difference is used
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[skip ci]
2020-07-09 18:03:35 +02:00
Stéphane Adjemian (Charybdis)
b737286b34
Updated preprocessor submodule.
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Allow empty shocks(overwrite) blocks, used to ensure that we do not
accumulate shocks while considering a sequence of calls to the
perfect foresight solver in a mod file.
2020-07-09 11:58:01 +02:00
Stéphane Adjemian (Charybdis)
4772e1eab7
Updated preprocessor submodule.
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Adds missing equations in dynamic_set_auxiliary_series routine
associated to the PAC expectation term.
2020-07-08 22:59:33 +02:00
9e92dfd7c4
Speed up pruned_state_space_system.m by e.g. using persistent variables
2020-07-08 19:50:31 +02:00
e9810d7e71
Merge branch 'JSON_manual' into 'master'
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Add description of JSON output folder
See merge request Dynare/dynare!1748
2020-07-08 14:42:17 +00:00
d4a45962d3
Add description of JSON output folder
2020-07-08 16:39:43 +02:00
37a03e7d77
Merge branch 'newrat' into 'master'
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newrat: Further replacement of varargins by explicit options
See merge request Dynare/dynare!1747
2020-07-08 14:25:02 +00:00
Stéphane Adjemian (Charybdis)
9738617b1d
Updated preprocessor submodule (bug fixes).
2020-07-08 16:00:11 +02:00
Stéphane Adjemian (Charybdis)
31de6f20fd
Updated dseries submodule.
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- Fixes plot method with additional arguments (bug introduced in 56e0645)
- Adds daily frequency
- Adds interface to dbnomics
2020-07-08 14:55:38 +02:00
d10242fbab
dynare_minimize_objective.m: change parameter names to expected cell array
2020-07-08 11:44:47 +02:00
6b592cbb00
newrat: Further replacement of varargins by explicit options
2020-07-08 11:44:34 +02:00
dc6e3406e5
Merge branch 'tolerance' into 'master'
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Correctly distinguish tolerance between steady and perfect foresight
See merge request Dynare/dynare!1746
2020-07-07 09:46:28 +00:00
6a6271225c
Merge branch 'minimize_objective' into 'master'
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Minimize objective
See merge request Dynare/dynare!1737
2020-07-07 09:35:39 +00:00
607a273bb0
Correctly distinguish tolerance between steady and perfect foresight
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steady uses options_.solve_tolf as a termination criterion, so subsequent checks should do the same. Similarly, solve_tolx was never used.
2020-07-06 13:11:23 +02:00
Sébastien Villemot
Stéphane Adjemian (Odysseus)
Johannes Pfeifer
Willi Mutschler