d54e4c4b17
estimation: rewrite prior output
2012-03-29 16:07:01 +02:00
46a655fbd5
estimation: rewrite subsamples statement as an actual statement
2012-03-28 18:51:52 +02:00
90e5c6e7c6
Replace str2mat (deprecated in MATLAB, removed in Octave 3.6) by char
2012-03-21 10:11:17 +01:00
a899594f3d
initializing globals ys0_ ex0_ ex_det0_
2012-03-17 20:34:58 +01:00
41db06f5ae
removing dr1.m
2012-03-15 16:50:41 +01:00
8fa6a9883a
replacing call to dr1() by call to stochastic_solvers()
2012-03-15 16:45:25 +01:00
d6f8e252e5
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-15 16:18:37 +01:00
5d4d318bc7
fixing bug in estimation by maximum likelihood
2012-03-15 15:33:02 +01:00
5954cf2011
Disable more warnings under Octave
2012-03-14 16:39:34 +01:00
e62613e6cb
Fix string warnings for Octave 3.6
2012-03-14 16:35:20 +01:00
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
ebfeae2ccf
Provisions for MATLAB 7.14 (R2012a)
2012-03-13 17:43:30 +01:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
4aedf7e9c0
Added a commented line to print the effective number of particles if needed.
2012-03-12 10:29:25 +01:00
1fcf708b80
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-10 18:21:14 +01:00
4ba016cc16
Merge remote-tracking branch 'ferhat/master'
2012-03-09 20:13:22 +01:00
323e6fdf4f
Added a second gstep option used as a parameter for the routine computing the hessian matrix.
...
In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:
h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
13eb218513
Fixed bug (ub is unknown but defined as a field in bayestopt_).
2012-03-09 15:06:04 +01:00
1ac55d8be8
Fixed bug.
2012-03-09 12:57:58 +01:00
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
ec2528ae9b
estimation: fixes to options statement
2012-03-09 11:47:25 +01:00
75331d7a4f
The global oo_.steady_state should also be updated in the homotopy loop
2012-03-09 11:47:13 +01:00
dd67a81e57
estimation: place parameter priors in their own substructure
2012-03-09 11:46:09 +01:00
7889ac21b2
Merge remote-tracking branch 'ferhat/master'
2012-03-09 10:30:01 +01:00
ad580b8cc6
MS-SBVAR: clean up plotting functions
2012-03-08 18:25:37 +01:00
d212772212
MS-SBVAR: change state to regime to coincide with name previous name change
2012-03-08 17:55:40 +01:00
402363bab2
MS-SBVAR: rewrite ms_variance_decomposition
2012-03-08 17:54:35 +01:00
5f60f1bd27
MS-SBVAR: rewrite ms_forecast
2012-03-08 17:54:05 +01:00
11c63e5050
MS-SBVAR: clean up plot_ms_*.m
2012-03-08 17:54:05 +01:00
4e41ad7285
MS-SBVAR: remove unused argument to plot_ms_irf.m
2012-03-08 17:54:05 +01:00
864e0b7c7e
MS-SBVAR: rewrite ms_irf
2012-03-08 17:53:58 +01:00
f12e8a3754
Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
2012-03-08 16:36:31 +01:00
8184ff3fdd
Fixed bug (wrong calling to the resample routine: missing inputs).
2012-03-08 15:53:20 +01:00
7f1ab166f5
Fixed bug.
2012-03-08 15:44:14 +01:00
dfbd6c8f2a
Adds the index of equations (M_.blocksEQU) for a block decomposed model without bytecode option and use this index in resid.m to retrieve the residuals
2012-03-08 15:29:56 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
f932fc8c78
Return the whole simulated paths instead of only the contemporaneous reaction of the endogenous variables.
...
Otherwise we can not test the number of periods and we cannot use the previous solution
to initialize the following (stochastic) perfect foresight problem.
2012-03-08 12:49:04 +01:00
464dcb651e
Changed defaults related to extended path. Removed some unused options.
2012-03-08 12:45:53 +01:00
895b58cec4
Merge remote-tracking branch 'ferhat/master'
2012-03-07 09:22:42 +01:00
de07d3b1d7
Removed useless else statement.
2012-03-06 22:54:21 +01:00
93fa8a6c94
Bug fix. Definition of the penalty when the updated parameters are complex.
2012-03-06 22:54:21 +01:00
746fb8ca56
Fixed bug related to the update of the deep parameters in the steady state model.
...
When a deep parameter was initialized to NaN (this is the default) any update of this parameter
done in the steady state model block was not propagated to M_.params. The problem was caused by
the definition of updated_params_flag.
2012-03-06 22:54:20 +01:00
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
6c091015eb
Fixed texinfo header.
2012-03-05 23:11:49 +01:00
cf19df92ef
Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode.
2012-03-05 15:03:55 +01:00
cf9e8a6714
Bug fix. When the estimation command is used, do not issue an error message if options_.order>1. In this
...
case reset the options_.order equal to one (except if options_.particle.status==1).
2012-03-05 14:56:02 +01:00
0d58e1855d
Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands
...
to set the seed of the random number generators).
2012-03-05 14:37:55 +01:00
59d3d30c90
Fixed typo. Do not use the non linear filter automatically when order==2, otherwise the non linear filters are used if the estimation command is used after a stoch_simul command with order==2. The non linear filter is used only if options_.particle.status is explicitely set to 1 (before the estimation command). A new estimation option is needed...
2012-03-05 14:21:52 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
...
and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
Houtan Bastani
Sébastien Villemot
Michel Juillard
Stéphane Adjemian (Charybdis)
Ferhat Mihoubi