07a40d2df4
Do not unroll expectations in the equation where they are used...
...
... But create an auxiliary variable with corresponding equation (where the
expectation are unrolled). Also separate the growth neutrality correction.
2019-03-21 17:33:07 +01:00
567ca19000
Added routine to evaluate the RHS of an equation.
2019-03-19 07:08:55 +01:00
62c4181394
common_parsing: update start/end dates when dates are supposed to overlap
2019-03-15 16:28:55 +01:00
6150de2d4a
var_expectation: fix typo
2019-03-15 16:25:58 +01:00
d3db092c81
Added a cherry-pick routine.
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Extracts equations from a mod file and produce .inc files (equations, lists of
parameters, endogenous variables and exogenous variables) that can be included
in a mod file that will be used to simulate the model.
If an innovation has a tag `(used='estimationonly')` it will be excluded from
the generated files (ie list of shocks and equations).
2019-03-14 11:04:10 +01:00
52eed33c42
Fixed growth neutrality correction in presence of exogenous variables.
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Also fixes growth neutrality correction in models with non optimizing
agents (correction was not taking into account the value of the share of non
optimizing agents).
2019-03-11 11:54:53 +01:00
6997e0a4a6
Added the possibility to have exogenous variables in the optimal part of PAC.
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Works with iterative ols and nls.
2019-03-08 14:34:41 +01:00
d7246b3489
ols-style routines: allow user to specify parameters to be estimated
2019-03-08 11:15:33 +01:00
33e43a55b2
Cosmetic change. Print expression on more than one line (one line per additive term).
2019-03-08 09:36:56 +01:00
183081f94b
pooled_fgls: remove useless part of code
2019-03-07 18:06:53 +01:00
03e60b6439
Cosmetic change.
2019-03-07 17:09:56 +01:00
dac08da6a4
Added the possibility to tag a varexo variable as an observed variable.
2019-03-07 15:31:34 +01:00
1471b3bfce
Changegd estimator for the exogenous part of pac.estimation.iterative_ols routine.
2019-03-07 12:37:06 +01:00
4d69674874
Partially reverts 1190cab.
2019-03-07 12:31:23 +01:00
1190caba61
pac.estimate.nls: clean up code: remove unused variables, unused output arguments, no need for otherwise in switch
2019-03-07 11:59:59 +01:00
b844bc53a0
pac: fix bugs in output of ec component
2019-03-07 11:44:40 +01:00
9eb64a0b64
Updated preprocessor submodule.
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Fixes exogenous variables in PAC equation without non optimizing behaviour.
2019-03-06 15:39:00 +01:00
c0319a9bff
fix bug in printing of error message: ds is not available (or needed) in print function
2019-03-05 14:57:51 +01:00
4798c07ced
Avoid infinite loop in pac.estimation.iterative_ols().
2019-03-05 07:21:08 +01:00
01c5d2a90c
add model_name option to ols-style routines
2019-03-04 11:15:51 +01:00
e4888c0775
pooled_ols: use varargout instead of oo_ to pass values back to pooled_fgls
2019-03-04 11:15:51 +01:00
f443037ed3
fix argument checking in pooled_ols
2019-03-04 11:15:51 +01:00
cdadab34b4
Streamlined code in print_expectations and allow diff and unary op in growth option of pac_model.
2019-03-02 22:36:13 +01:00
d00b57541e
Allow exogenous variables in pac.estimation.iterative_ols routine.
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The parameters associated to these additional variables can be estimated or calibrated.
2019-03-01 23:32:47 +01:00
21e6260011
Cosmetic, strmatch() -> find(strcmp()).
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[skip ci]
(cherry picked from commit 580939d70b
2019-02-28 21:24:17 +01:00
fd98e83d78
Adapted integration tests for 8e60ded.
2019-02-28 16:23:04 +01:00
e75ca94a48
Fixed PAC with growth option equal to lagged endogenous or exogenous variable.
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Still not working with first difference or lagged first difference.
2019-02-28 14:58:17 +01:00
6b6a9b793c
Updated header.
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We recently added leads on first differences as an auxiliary variable type.
[skip ci]
(cherry picked from commit e1f1fd2de3
2019-02-28 10:24:53 +01:00
5fbc04ada2
Return 0 if the input is not the name of an endogenous variable.
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Also removed the call to deprecated strmatch.
[skip ci]
(cherry picked from commit 3400e13c06
2019-02-28 10:17:43 +01:00
4093a99f40
Efficiency change.
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It is not possible to pre-allocate a cell array here, but
Array = {};
for i=1:10
Array(i) = {'a'}
end
is faster by a factor 10 than
Array = {};
for i=1:10
Array = [Array, 'a']
end
2019-02-28 09:41:35 +01:00
3aa977600c
Allow arbitrary unary operator, not only log().
2019-02-28 09:30:03 +01:00
1775869bbd
Avoid infinite loop.
2019-02-28 09:24:12 +01:00
8e60ded1bd
Write the growth correction term in a separate file.
2019-02-27 22:26:07 +01:00
f07b1e8028
Account for exogenous variables in PAC's RoT part.
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Fixes the iterative_ols estimation of PAC equation when the Rule of Thumbs (non
optimizing) part of the equations contains endogenous and/or exogenous variables.
2019-02-27 15:53:25 +01:00
6500099f4e
Removed debugging display.
2019-02-27 15:08:49 +01:00
075a6b7db5
sur, surgibbs: following change in `067fc9cc5a5b01e9a04209850f08ecbf3bd0a2b1` pidxs no longer needed as output from sur.m
2019-02-26 17:01:33 +01:00
067fc9cc5a
surgibbs: fix bug in assigning back to M_.params
2019-02-26 16:56:20 +01:00
043ecfc3b2
Revert "surgibbs: fix bug in param values output"
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This reverts commit d6c5618a74
2019-02-26 16:54:26 +01:00
d6c5618a74
surgibbs: fix bug in param values output
2019-02-26 15:42:51 +01:00
0cd18c3841
create include files for estimated parameters
2019-02-26 15:42:51 +01:00
f1707039dd
Adapted disp_dr for new auxilary variables.
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diffs, lagged diffs and leaded diffs.
(cherry picked from commit 45fbfe4dce
2019-02-25 17:37:49 +01:00
1aa7f4a93f
Added PAC with Model Consistent Expectations.
2019-02-25 17:31:58 +01:00
ac09ab9dbf
Removed useless condition.
2019-02-25 17:31:58 +01:00
030737b9c0
sur: fix input checks
2019-02-25 14:23:48 +01:00
4399972a2d
sur: add noniterative option
2019-02-25 14:23:48 +01:00
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
dfb62e4ebc
Fixed models with fewer targets than EC equations.
2019-02-21 12:52:12 +01:00
c96f55309d
Fixed typo.
2019-02-21 12:52:12 +01:00
6e7a2e2c20
Fixed ordering of the targets.
2019-02-21 12:52:12 +01:00
a7165e2c12
fix tests
2019-02-19 12:34:30 +01:00
8f1aef3f57
get_companion_matrix: evalin base not necessary
2019-02-14 12:19:34 +01:00
b92b342c7b
sur, pooled_fgls: user inv(chol()) instead of chol(inv())
2019-02-14 10:55:08 +01:00
db8638ec97
pooled_fgls: use iterative method and fix bug in M_.Sigma_e
2019-02-13 15:57:06 +01:00
9391a770b1
sur: fix bug in setting M_.Sigma_e entries
2019-02-13 15:57:06 +01:00
29c3a86c81
sur: move to iterative method
2019-02-13 15:57:06 +01:00
3e3f8fbfbc
Cosmetic changes.
2019-02-13 15:19:19 +01:00
3cfd588d3f
Allow initialization with histval block.
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[skip ci]
(cherry picked from commit e9688560f6
2019-02-13 15:19:18 +01:00
98591af846
sur: update M_.Sigma_e using estimated parameters
2019-02-12 19:57:44 +01:00
a110896483
Revert "sur: fix bug with M_.Sigma_e"
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This reverts commit 9c76b1da51
2019-02-12 19:07:55 +01:00
fe4fb7df2d
sur: modify error message
2019-02-12 17:03:11 +01:00
91d99fe645
if find returns empty this ended in a syntax error
2019-02-12 16:59:23 +01:00
9c76b1da51
sur: fix bug with M_.Sigma_e
2019-02-12 16:55:20 +01:00
874ba9a641
put_in_sur_form: simplify function and make robust to potential future changes in dseries
2019-02-11 16:36:25 +01:00
a3867a0b34
put_in_sur_form: fix bug in cross equation restriction
2019-02-11 16:32:04 +01:00
ac171747cd
sur: clean up error messages
2019-02-11 15:23:36 +01:00
c8d04e93b9
sur: fix bug in lhssub when param_names was specified and simplify code
2019-02-11 15:17:10 +01:00
0352e9025a
ols style parsing: allow division in node to be subtracted from LHS
2019-02-06 12:34:13 +01:00
106976e6d5
print info about node on error
2019-02-06 12:16:27 +01:00
f9239d5347
remove unnecessary conversion to string
2019-02-06 12:14:07 +01:00
de573890b7
fix bug in handling unary minus node as uminus is not a valid dseries operation
2019-02-05 19:52:12 +01:00
8fdf805f1f
handle case when node is not passed to error function
2019-02-05 19:36:11 +01:00
fd09ba1fca
ols_style parsing: remove regressors that are equal to zero
2019-02-05 16:38:25 +01:00
553f1d3068
fix bug: line argument was being ignored
2019-02-01 17:05:10 +01:00
b2fcd86c35
print parts of model where there are evaluation errors
2019-02-01 17:05:10 +01:00
c36db13bee
dseries: submodule update
2019-02-01 16:25:52 +01:00
eace56ce49
use switch statement instead of eval
2019-02-01 14:28:27 +01:00
8ddcccf18e
ols-style parsing: modify parsing to accommodate a larger set of expressions
2019-02-01 14:25:35 +01:00
c9423fe3ab
ols parsing: fix bug in check
2019-02-01 13:21:59 +01:00
ff2ca5fc17
remove unnecessary function
2019-02-01 12:04:46 +01:00
f4b8735431
pooled_ols: only save certain variables oo_ structure when passing back to pooled_fgls
2019-02-01 11:50:01 +01:00
0121e709fe
pooled_ols/pooled_fgls: fix bug in call to function
2019-02-01 11:45:16 +01:00
e758d5bdc9
ols parsing: fix bug: node value is not stored as string in AST
2019-02-01 11:37:41 +01:00
1f3e027a09
fix typo
2019-02-01 11:12:25 +01:00
4c64b9108a
Revert "Revert "handle constant equations in preprocessor""
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This reverts commit 850d1dcc95
2019-01-30 12:29:33 +01:00
c544f4a02c
small improvement
2019-01-30 12:29:08 +01:00
850d1dcc95
Revert "handle constant equations in preprocessor"
...
This reverts commit bcce997112
2019-01-29 00:38:01 +01:00
bcce997112
handle constant equations in preprocessor
2019-01-28 17:56:10 +01:00
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
668e641a6a
create report for SUR estimation
2019-01-25 18:11:27 +01:00
6d447f195a
sur: add model_name option
2019-01-25 18:11:26 +01:00
35cabed989
reporting: submodule update
2019-01-25 18:11:26 +01:00
73ea0c2fe3
fix typo in comment
2019-01-24 12:42:08 +01:00
9bc1833a36
sur: fix bug in returned fitted value
2019-01-24 12:21:36 +01:00
ab5a19f08a
sur: fix bug in check of returned matrices
2019-01-24 11:38:40 +01:00
a402554083
fix bug in b219a99a16
2019-01-24 11:30:53 +01:00
b219a99a16
olsgibbs: fix bug in returned fitted value
2019-01-24 11:23:23 +01:00
d52ee5d290
fix comment
2019-01-24 11:20:39 +01:00
99d770382b
change indexing into X.name
2019-01-23 15:48:46 +01:00
7632c4f071
use vobs instead of length(X.name)
2019-01-23 15:48:46 +01:00
d1afd56134
small fixes (comments, argument checks)
2019-01-22 16:11:03 +01:00
Stéphane Adjemian (Charybdis)
Houtan Bastani
Stéphane Adjemia (Scylla)