d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
6b113273d3
Added integration tests (Iterative OLS and NLS for PAC equations).
2018-11-21 16:26:38 +01:00
524085927d
Removed useless tag (data_type).
2018-10-24 18:45:38 +02:00
dcea7514d9
Merge branch 'master' into ecb-master
2018-10-24 18:31:31 +02:00
8a2c38cf6c
olsgibbs: save fitted values in dataset; allow use of dictionary as in dyn_ols
2018-10-24 17:17:01 +02:00
2c890f924a
Removed useless tags.
2018-10-24 14:28:32 +02:00
1c1a3ea0a4
Removed tests on targets.
...
A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
d96740c2ef
Added integration tests (var and pac expectations).
2018-10-14 17:01:02 +02:00
9358a1544b
Updated integration test (trends->targets).
2018-10-10 16:15:31 +02:00
d4bfd6c9f0
Another attempt to fix numerical accuracy issues in integration tests.
2018-10-06 21:44:58 +02:00
9a84129707
Added integration for the bayesian estimation of a single equation.
...
Uses a Gibbs sampling algorithm.
2018-10-06 16:59:00 +02:00
084b7ac537
Changed optimization algorithm in integration tests.
...
fs2000_uncorr_ME_missing was failing on some servers due to a numerical
precision issue. It appears that the problem drops off if the smoothed
variables are computed on another point (given by another optimization
algorithm).
2018-10-04 12:02:31 +02:00
03bd2b73e6
Fixed integration test for the automatic tuning of mh_jscale.
2018-10-03 18:21:16 +02:00
c6a17abc72
Testsuite: suppress MATLAB splash screen when generating .m.tls file
2018-10-01 16:40:26 +02:00
a680cea095
Fixed integration test for trend component model (equation ordering).
2018-09-28 17:39:14 +02:00
11a882d66f
Fixed bug in integration tests (trends-->targets).
2018-09-28 12:23:37 +02:00
76c4df129c
Added integration tests.
2018-09-27 18:58:52 +02:00
39110b3087
Test for analytical_derivatives: use mode_compute=9
...
This optimizer seems more robust accross different hardware (with other
optimizers, the algorithm does not converge to a local maximum, e.g. on the
runner "lupi").
2018-09-27 15:05:14 +02:00
bd36a0c109
Merge branch 'master' into ecb-master-targets
2018-09-25 15:51:18 +02:00
974bcd92ae
Merge branch 'ecb-master' into ecb-master-targets
2018-09-25 14:41:11 +02:00
b6fc811ce8
fix typo
2018-09-25 12:11:21 +02:00
9b4daab8a0
Macro-processor: add comprehensions
...
- update preprocessor submodule
- add some tests
2018-09-24 18:27:55 +02:00
031e2c87c6
New version of get_companion_matrix + new integration test.
...
The routine is still buggy. In PAC and VAR_EXPECTATION models we
use get_companion_matrix_legacy routine instead.
2018-09-19 17:39:48 +02:00
c588544b13
Fixed rm argument list too long issue.
2018-09-19 12:10:30 +02:00
a03fab76c2
Ensure that test summary is displayed even if there is a test failure
2018-09-14 15:21:39 +02:00
9adad552be
Fixed rm argument list too long issue.
...
(cherry picked from commit d005def67f5d0afb2a99a40a6cd84766ca7dfd9f)
2018-09-13 17:31:24 +02:00
a4c46a8121
tests/Makefile.am: replace PWD by CURDIR, fixes recursive make invocation
2018-09-13 16:43:30 +02:00
763b0a2392
make check-{matlab,octave} now return a non-zero exit code if there is a failed test
2018-09-13 16:18:41 +02:00
8ba9918652
Improve style of read_trs_files bash script
...
The script is now shellcheck-clean.
Incidentally, fix a bug in the counting of xfailed tests when there are several
such tests in a single .mod file.
2018-09-13 16:18:41 +02:00
eb316d7e2d
update files for change of option name from `trends` to `targets`
2018-09-13 12:24:32 +02:00
2e547edd26
add test files for preprocessor AR/EC matrices
2018-09-12 19:00:28 +02:00
5ca31c8245
fix spacing in makefile
2018-09-12 19:00:28 +02:00
52b6618bae
Fixed paths.
2018-09-12 07:48:49 +02:00
09945cae8f
Added integration tests for PAC model.
2018-09-06 23:42:30 +02:00
8d84d0b38b
Add 'tests/pac/' from commit '72dda0e3ebdb46b741e484f2e2f2155d02c59815'
...
git-subtree-dir: tests/pac
git-subtree-mainline: 0f3678ec4a72dda0e3eb
2018-09-06 23:35:53 +02:00
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
...
... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
0080055469
Activate integratiion test on VAR_MODEL and TREND_COMPONENT_MODEL.
2018-08-30 12:07:58 +02:00
8276acb55f
Added integration tests for TREND_COMPONENT model.
2018-08-30 12:02:48 +02:00
7bcc5b9f42
Added integration tests for VAR_MODEL.
...
Check the AR matrices.
2018-08-29 17:43:35 +02:00
7cf4dc751e
Fixed integration test.
2018-08-28 11:08:40 +02:00
83c9b0d5b6
Make rool for trend_component_model in var_expectation.
...
Not yet working, a bug in the preprocessor remains to be fixed. The
preprocessor does not create the correct number of reduced form parameters
for VAR_EXPECTATION when the auxiliary model is a trend component model,
because it ignores the fact that the model has to be rewritten in levels.
2018-08-27 14:37:26 +02:00
6ec9758313
update var_expectation code and tests for change in field name
2018-08-23 10:38:39 +02:00
349cd25b8a
Added an integration test for VAR_EXPECTATION_MODEL.
...
+ small cosmetic changes.
2018-08-09 09:05:39 +02:00
f8f8ce5120
Added integration tests for VAR_EXPECTATION_MODEL.
2018-08-08 22:58:27 +02:00
c28c8187e8
Fixed typo.
2018-08-08 16:23:15 +02:00
c9a38c4de7
Merge branch 'master' into ecb-master
...
Fixed conflicts:
- tests/run_block_byte_tests_octave.m
2018-08-04 21:08:08 +02:00
d03cc56587
solve_algo=7 and stack_solve_algo=2 are now allowed under Octave
...
The gmres() function has been implemented (actually since Octave 3.4.1!).
2018-08-02 15:20:39 +02:00
fda021855c
Fix forecast command with deterministic exogenous and linear option
...
Closes #1608
2018-08-02 14:20:51 +02:00
a144aad150
Merge branch 'master' into ecb-master
2018-07-27 09:47:22 +02:00
Stéphane Adjemia (Scylla)
Houtan Bastani
Stéphane Adjemian (Charybdis)
Sébastien Villemot
Stéphane Adjemian(Charybdis)