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9252 Commits (d1bbe8f852f6aa563f07122bced869e535e69112)

Author SHA1 Message Date
Marco Ratto 05fc096569 Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables. 
This avoids shifting to univariate filter in most cases.
 2015-10-13 17:15:01 +02:00
Houtan Bastani 9e28e796d5 preprocessor: simplify code 2015-10-13 15:13:40 +02:00
Houtan Bastani 447b01b0b0 fix typo 2015-10-13 15:13:40 +02:00
Houtan Bastani c45a054c6f modify calling structure of execute_prior_posterior_function and update doc 2015-10-13 15:13:35 +02:00
Johannes Pfeifer cb3804ab51 Remove automatic error from resid.m when steady state does not solve. 
Closes #573
 2015-10-13 13:45:54 +02:00
Johannes Pfeifer 1043a019c2 Save posterior moments even if the distribution is degenerate 
Closes #1024
 2015-10-13 11:47:35 +02:00
Marco Ratto 2d59920a70 - systematically check bounds for each parameter during optimization 
- make htol adaptive to each parameter to speed up computations
 2015-10-13 11:07:01 +02:00
Marco Ratto 61d6e49dfd Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson) 2015-10-13 10:45:35 +02:00
Marco Ratto bc8f546cbb Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done. 2015-10-13 10:44:13 +02:00
Stéphane Adjemian d3eca9338b Merge pull request #1038 from JohannesPfeifer/kernel_density 
Allow computing posterior kernel density
 2015-10-12 23:23:07 +02:00
Michel Juillard 8be2841582 fixing Makefile.am error 2015-10-12 22:39:03 +02:00
Johannes Pfeifer 2c63ca8843 Add unit tests for HP filter, bandpass filter, and spectral density 2015-10-12 21:18:51 +02:00
Johannes Pfeifer 40de494568 Document new filter option 2015-10-12 20:42:04 +02:00
Johannes Pfeifer 40877685f2 Add LaTeX-output option to table from stoch_simul.m 2015-10-12 20:42:04 +02:00
Johannes Pfeifer 38d293b864 Replace globals in disp_th_moments.m by function arguments 2015-10-12 20:42:03 +02:00
Johannes Pfeifer f7ae5e4f60 Adjust table titles to accommodate new filter options 2015-10-12 20:42:02 +02:00
Johannes Pfeifer 3902c86407 Add unit test for variance decomposition 2015-10-12 20:42:02 +02:00
Johannes Pfeifer 281e87f807 Add simulated variance decomposition 2015-10-12 20:42:01 +02:00
Johannes Pfeifer a524681e40 Replace globals in disp_moments.m by function arguments 2015-10-12 20:42:00 +02:00
Johannes Pfeifer 9459ff5d8f Add bandpass filtering to simulated moments 
Also takes precautions for future implementation of one-sided hp filter
 2015-10-12 20:42:00 +02:00
Johannes Pfeifer a4b04ca9b4 Fix UnivariateSpectralDensity.m for filtered variables 
- Adds bandpass filter
- Writes results to oo_
 2015-10-12 20:41:59 +02:00
Johannes Pfeifer 25df325899 Add bandpass filter to th_autocovariances.m 
Also adds documentation
 2015-10-12 20:41:58 +02:00
Johannes Pfeifer e9f2be0c1a Cosmetic changes to UnivariateSpectralDensity.m 2015-10-12 20:41:57 +02:00
Michel Juillard 8bfec92d4d adding missing @end deffn 2015-10-12 16:57:55 +02:00
MichelJuillard 6d23db41d0 Merge pull request #1082 from JohannesPfeifer/steady_state_file_check 
Check whether steady state file returns column vector
 2015-10-12 16:33:29 +02:00
Johannes Pfeifer 8ef96c46ca Check whether steady state file returns column vector 2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis) 203455d2a1 Updates particles submodule (mainly bug fixes). 2015-10-12 15:51:16 +02:00
Stéphane Adjemian (Charybdis) a4dc9a2423 Adddd missing closing parenthesis. 2015-10-12 15:43:08 +02:00
Johannes Pfeifer 7ebbc41d8a Get rid of eval statements by using indirect indexing of structures 2015-10-12 15:36:42 +02:00
Johannes Pfeifer b7cbb563d6 Allow suppressing density of smoother and forecast objects 2015-10-12 15:34:52 +02:00
Johannes Pfeifer 1ef1f9c75d Transform hard-coded kernel density options to real options 2015-10-12 15:34:51 +02:00
MichelJuillard aa894f8613 Merge pull request #1075 from JohannesPfeifer/stochastic_singularity 
Condition check for stochastic singularity on maximum of non-missing …
 2015-10-12 09:12:31 +02:00
MichelJuillard c2565e803f Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail 
Filter out failure of k_order_pert in likelihood computation
 2015-10-11 20:45:51 +02:00
MichelJuillard 7df7fe6fd8 Merge pull request #1080 from JohannesPfeifer/CMAES_settings 
Improve cmaes settings
 2015-10-11 20:44:10 +02:00
Johannes Pfeifer fd9f2db79d Allow resuming previous run of CMAES 
Also enables saving of intermediate results, consistent with the manual.
 2015-10-11 19:13:48 +02:00
Johannes Pfeifer e3e34e1c7d Reduce default accuracy criterion in cmaes.m 2015-10-11 18:50:05 +02:00
Johannes Pfeifer df47be4076 Properly set bounds and H0 for CMAES 2015-10-11 18:21:25 +02:00
Johannes Pfeifer d513d38f73 Filter out failure of k_order_pert in likelihood computation 2015-10-11 17:55:27 +02:00
Johannes Pfeifer 33aa22a80f Condition check for stochastic singularity on maximum of non-missing observations 
closes #1071
 2015-10-11 10:49:15 +02:00
MichelJuillard 866ab33575 Merge pull request #1042 from JohannesPfeifer/discretionary 
Various fixes for discretionary_policy
 2015-10-10 22:25:46 +02:00
MichelJuillard b51b037ef2 Merge pull request #871 from JohannesPfeifer/prior_posterior_function 
Add functionality Prior posterior function
 2015-10-10 22:17:53 +02:00
Michel Juillard a8580258a1 changed Dynare timer to local timer 2015-10-10 14:33:30 +02:00
Michel Juillard 6502c311a0 replaced global timer by local timer 2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis) dcf7cfbc4b Cosmetic change (testsuite). 
Do not print warnings with Matlab>=R2015b because of the exit command at the end of the run_test_matlab script.

Do not print
 2015-10-10 02:26:40 +02:00
Stéphane Adjemian (Charybdis) 580bc3a0b6 Updated .gitignore file. 
Do not version mat files in matlab folder.
 2015-10-10 00:21:18 +02:00
Stéphane Adjemian (Charybdis) 18a5eea7e0 Fixed bug in clear_persistent_variables routine. 
The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
 2015-10-10 00:21:18 +02:00
Stéphane Adjemian 3490e400bc Merge pull request #1015 from JohannesPfeifer/model_comparison 
Bugfixes and improvements for model_comparison
 2015-10-09 17:11:15 +02:00
Michel Juillard f7f158f078 Revert "removed global objective_function_penalty_base" 
This reverts commit 5ade8d7c6f.
 2015-10-09 14:23:32 +02:00
Michel Juillard 784b8d893c Revert "reducing penalty value to 0.1 when there is no ground to make it proportional" 
This reverts commit a6f123fd50.
 2015-10-09 14:23:32 +02:00
Michel Juillard 818fa47375 Revert "adding new functions for penalty optimization" 
This reverts commit b9e535e99e.
 2015-10-09 14:23:31 +02:00