Johannes Pfeifer
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
Sébastien Villemot
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
...
Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
Stéphane Adjemian (Charybdis)
9867203f25
Reduce simulation length in integration test.
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Also removed commented codes.
Closes #1857
2021-05-28 13:56:13 +02:00
Johannes Pfeifer
f78ac9f5ac
EP with MCP: add test case
2021-05-28 13:49:58 +02:00
Sébastien Villemot
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
Sébastien Villemot
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
Marco Ratto
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
Johannes Pfeifer
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
2021-05-27 16:46:28 +02:00
Marcoo Ratto
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
Johannes Pfeifer
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
Sébastien Villemot
cf37b5151a
Testsuite: indicate that glibc bug has been fixed in version 2.34
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[skip ci]
2021-05-11 18:54:07 +02:00
Sébastien Villemot
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
Marco Ratto
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
Sébastien Villemot
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
Marco Ratto
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
Sébastien Villemot
749fc219e5
Testsuite: increase test tolerance under Octave for ecb/SURGibbs/fulton_fish.mod
2021-05-05 15:43:19 +02:00
Sébastien Villemot
62e42e08a8
Testsuite: more fixes related to stochastic block decomposition + mfs > 0
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Ref. #1726
2021-05-05 10:15:52 +02:00
Sébastien Villemot
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
Sébastien Villemot
58b2bc78c3
Testsuite: check that stochastic solution in block decomposition mode is correct
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Only test with mfs=0, since the result is wrong for other mfs values.
Ref. #1726
2021-05-04 16:31:44 +02:00
Sébastien Villemot
ef58f1329a
Testsuite: factorize code between block decomposition tests based on LOLA model
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By the way, move tests files under tests/block_bytecode/, which is a more
natural place.
Ref. #1726
2021-05-04 16:17:37 +02:00
Sébastien Villemot
d6677f66a4
Testsuite: adapt histvalf_initvalf unit tests following previous commit
2021-04-20 12:17:23 +02:00
Sébastien Villemot
caef9e266b
Preprocessor: fix crash in DataTree::operator=() with model local variables
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Also add a regression test.
Closes : #1782
2021-04-16 17:36:08 +02:00
Stéphane Adjemian (Charybdis)
a03b65bab7
Honour option solve_algo with backward models in perfect_foresight_solver.
2021-04-08 20:31:40 +02:00
Sébastien Villemot
d68fc14fed
Build system: remove trailing whitespace in Makefile
2021-03-29 15:27:47 +02:00
Sébastien Villemot
559b0b5679
Source package: fix name of ms-sbvar datafile
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Bug introduced in 11f8f9c7f4
2021-03-17 18:11:40 +01:00
Sébastien Villemot
11f8f9c7f4
MATLAB R2021a compatibility: rename datafile for ms-sbvar tests
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The datafile was name “data.m”, and for some unidentified reason, this stopped
working with MATLAB R2021a.
2021-03-17 17:41:27 +01:00
Sébastien Villemot
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Sébastien Villemot
c9eb6920c9
local_state_space_iteration_k MEX: fix bug in output
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In its output, the MEX was returning values for all endogenous variables, but
it was used in a context where only the variables from oo_.dr.restrict_var_list
were expected (as is done with local_state_space_iteration_2 MEX).
This commit fixes this discrepancy, and also fixes the test that was checking
that both MEX are returning the same output.
Closes : #1768
2021-03-10 13:45:29 +01:00
Normann Rion
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
Sébastien Villemot
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
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Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
Normann Rion
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
Normann Rion
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
Sébastien Villemot
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
Johannes Pfeifer
788e05b2fd
smoother2histval: add test case for correctness
2021-02-16 11:25:46 +01:00
Sébastien Villemot
7cbb86bb64
Testsuite: rename estimation/univariate/ols/ols.mod
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Under Octave, the +ols folder conflicts with the builtin ols() function.
2021-02-09 16:58:07 +01:00
Sébastien Villemot
e4af502360
Testsuite / pac: Octave compatibility fix
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Use a different random seed under Octave for several tests.
Note that these tests seems fragile. Changing the seed under MATLAB often leads
to a failure.
2021-02-04 16:01:35 +01:00
Sébastien Villemot
f094dc71f9
Testsuite / pac/trend-component-19-growth-comb: fix accuracy check
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The test was using the comparison operator (>) on a dseries. This would give a
bogus (false) result under MATLAB, and would crash under Octave.
2021-02-04 16:01:30 +01:00
Sébastien Villemot
9b555ec974
Testsuite / BGP tests: compatibility fix tests with MATLAB < R2016a
2021-02-02 15:02:50 +01:00
Sébastien Villemot
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +01:00
Johannes Pfeifer
7c8f486727
Allow setting initial state for Kalman filter
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Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
Sébastien Villemot
6ac1af7035
Merge branch 'filtered_variables' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:53:30 +01:00
Sébastien Villemot
af67b4f7c9
Testsuite: Octave 6 compatibility fix
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In Octave ≤ 5, it was impossible to take a function handle for a function in a
package (“+” folder). This bug has been fixed in Octave 6, so we can use the
same codepath as MATLAB in that case. See
https://savannah.gnu.org/bugs/index.php?46659
2021-01-28 16:36:43 +01:00
Sébastien Villemot
25d19fef96
Testsuite: increase numerical tolerance for minimal_state_space_system/sw_minimal.mod
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This is necessary for MATLAB R2014a on some runners.
2021-01-27 18:24:26 +01:00
Sébastien Villemot
6e6bc3f6c9
Testsuite: rename test files for Octave compatibility
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Rename histval_initval_file/ramst_data.mod to ramst_data_generate.mod.
Otherwise, there is a conflict between the +ramst_data folder and the generated
ramst_data.m.
Similarily, rename shock_decomposition/shock_decomposition_backward.mod to
shock_decomposition/shock_decomp_backward.mod (otherwise it conflicts with
matlab/shock_decomposition_backward.m).
2021-01-27 18:24:22 +01:00
Johannes Pfeifer
c596b8890e
Trend_diagnostics_MCMC_common.inc: do not store smoother results on disk
2021-01-27 17:42:15 +01:00
Johannes Pfeifer
8ad8bf05b3
gsa/ls2003a.mod: reduce run-time
2021-01-26 10:39:38 +01:00
Johannes Pfeifer
e9ea837b28
Reduce run-time of tune_mh_jscale/fs2000.mod
2021-01-26 10:10:29 +01:00
Johannes Pfeifer
c507eefc23
testsuite: check values of analytic derivation likelihood to prevent regression
2021-01-24 17:41:50 +01:00
Johannes Pfeifer
ec69174173
Improvements to particle tests
2021-01-22 21:19:07 +01:00
Sébastien Villemot
c9a6637ca5
Testsuite: compatibility fix for MATLAB R2014a
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Double quotes strings are not supported under older MATLAB versions.
2021-01-19 16:14:25 +01:00
Sébastien Villemot
783598bdeb
Testsuite / methods of moments: compatbility fix for MATLAB R2014a
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MATLAB R2014a does not like some of the variable names that are passed to
table(). Disable that call, as under Octave.
2021-01-19 16:10:40 +01:00
Sébastien Villemot
68af1c80fe
Testsuite: cosmetic changes to TeX and debug options
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– Whenever possible, pass the “tex” option to Dynare commands instead of
fiddling with options_.TeX;
— For the remaining explicit options_.TeX and also for options_.debug,
use a boolean value instead of an integer.
2021-01-19 15:50:14 +01:00
Sébastien Villemot
654da6ecb8
Merge branch 'octave_fixes' into 'master'
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Don't do bgp/solow-1 in Octave
See merge request Dynare/dynare!1780
2021-01-18 11:28:36 +00:00
Stéphane Adjemian (Charybdis)
78a4bca383
Use nonlinear filter.
2021-01-16 17:43:30 +01:00
Stéphane Adjemian (Charybdis)
0f3dd003b7
Run mod files in tests/particle.
2021-01-16 17:42:17 +01:00
Johannes Pfeifer
ad17b8ec33
Particle filtering: provide more informative error messages in typical problematic cases
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Also adds test cases
2021-01-15 22:11:20 +01:00
Sébastien Villemot
91b0ba64c6
Testsuite: rename all test files that have the name “example.mod”
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That filename conflicts with Octave’s builtin example() function.
2021-01-15 17:19:41 +01:00
Sébastien Villemot
23cb1879e9
Testsuite: fix PAC test filename
2021-01-15 17:19:41 +01:00
Willi Mutschler
0a880825a1
MoM: Testsuite fixes for Octave
2021-01-14 10:04:10 +01:00
Willi Mutschler
a697002a4e
MoM: Gradient-based optimizers can use analytical Jacobian for GMM
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New option analytic_jacobian for mode_compute 1, 3, and 13
2021-01-14 10:03:39 +01:00
Stéphane Adjemian (Odysseus)
b87690a9f1
Revert "Add tests for matrix notation"
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This reverts commit 8d4a80956c
.
2021-01-12 16:47:56 +01:00
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +01:00
Willi Mutschler
dabe0ada33
MoM: Add test for optimizers
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Note that mode_compute=11 and 12 need some fixing
2021-01-07 14:14:13 +01:00
Willi Mutschler
2b554e0511
MoM: cosmetical changes to description of options in testsuite
2021-01-07 13:39:45 +01:00
Willi Mutschler
ba8d5d364d
MoM: Update copyright years
2021-01-07 10:32:35 +01:00
Willi Mutschler
562a9c737f
MoM: Improve testsuite
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- add Andreasen, Fernandez-Villaverde, Rubio-Ramirez (2017) test models
- move models to dedicated folders
- add `make m/method_of_moments` and `make o/method_of_moments` commands to run testsuite only for method of moments
2021-01-06 14:19:17 +01:00
Johannes Pfeifer
9c52aec23d
Adjust output of loglinear option to make clear when a logged variable is used
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- use of function for getting labels will allow to accommodate https://git.dynare.org/Dynare/dynare/-/issues/349
- incidentally fixes a bug in the display of the simulated variance decomposition for observables with measurement error
2020-12-23 13:53:44 +01:00
Sébastien Villemot
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
Sébastien Villemot
3d912401d5
Testsuite: Octave compatibility fixes in histval_initval_file_unit_tests.m
2020-12-22 12:27:19 +01:00
Johannes Pfeifer
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
Willi Mutschler
eae5e2f029
MoM: Add analytical standard errors for GMM
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Reset analytic_derivation_mode for steadystate file parameter changes
MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
2020-12-18 16:16:10 +01:00
Johannes Pfeifer
4cf9f7d1a7
stoch_simul.m: reports second moments based on pruned state space at order=2 when pruning is specified
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
2020-12-17 09:45:28 +01:00
Stéphane Adjemian (Charybdis)
e066556d7a
Added integration test for d8ddd9ef6
.
2020-12-07 22:25:54 +01:00
Sébastien Villemot
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
Sébastien Villemot
fdf5bfbb58
Testsuite: cosmetic fix
2020-12-07 15:10:06 +01:00
Sébastien Villemot
4cc946842b
Add further Octave 6 test for intersect(…, 'stable')
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Forgotten in c160d2407
.
[skip ci]
2020-12-04 18:41:53 +01:00
Sébastien Villemot
8ba1a15262
Remove outdated Occbin files
2020-12-03 10:50:58 +01:00
Sébastien Villemot
c160d24074
Octave 6 implements intersect(…, 'stable')
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[skip ci]
2020-11-30 18:26:50 +01:00
Willi Mutschler
fcef3ca09f
✅ Don't do bgp/solow in Octave
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[skip ci]
The levenberg-marquardt algorithm is not available in octave's implementation of fsolve, so we check the verbatim block only in matlab
2020-11-26 17:12:57 +01:00
Sébastien Villemot
f27852d1ec
Add test for mshocks block
2020-11-26 15:48:57 +01:00
Willi Mutschler
3c1087a369
Fix for sylvester3a for purely forward-looking models
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In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
2020-11-21 09:46:10 +01:00
Johannes Pfeifer
904296738d
bgp-tests: Octave compatibility fixes
2020-11-19 13:42:35 +01:00
Sébastien Villemot
fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models
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Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.
Incidentally, this closes #1731 . This commit therefore also removes the
workaround introduced in 0391dbbeb1
.
2020-11-09 16:34:12 +01:00
Johannes Pfeifer
d38a4428cc
Move macro_processor/example1_macro.mod to subfolder
2020-11-02 16:00:03 +01:00
Johannes Pfeifer
b4f3eb4a1c
Add unit test for ifndef
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See https://git.dynare.org/Dynare/dynare/-/issues/1747
2020-11-02 16:00:03 +01:00
Sébastien Villemot
cf68570813
Testsuite: workaround for glibc bug #19329
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This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
(cherry picked from commit f46dfba961
)
2020-10-23 15:32:07 +02:00
Sébastien Villemot
299769c51b
Testsuite/MATLAB: output stderr to log file
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(cherry picked from commit 2a472a0a6b
)
2020-10-23 15:32:06 +02:00
Sébastien Villemot
f46dfba961
Testsuite: workaround for glibc bug #19329
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This bug is causing random crashes in the testsuite on our runners.
See https://sourceware.org/bugzilla/show_bug.cgi?id=19329
2020-10-23 12:35:35 +02:00
Sébastien Villemot
2a472a0a6b
Testsuite/MATLAB: output stderr to log file
2020-10-22 18:25:42 +02:00
Sébastien Villemot
6f415dff61
Testsuite: add missing line continuation symbol in the list of .mod files
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This was causing some tests to be skipped.
The bug had been introduced e7162a2a69
.
2020-10-21 16:36:18 +02:00
Sébastien Villemot
e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases
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Closes : #1720
2020-10-21 16:30:40 +02:00
Sébastien Villemot
33d8bc55f3
Redisable tests/pac/trend-component-31/example.mod, it is not yet ready (some fixes are needed in the M code)
2020-10-16 18:11:01 +02:00
Sébastien Villemot
8e3127d69e
Preprocessor rebase
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– PAC model: fixes to M_.pac.MODEL.ar (information about autoregressive part)
+ Fix order of items in this structure. Previously, items were ordered
according to the declaration order of parameters. Now, items are order
according to lag order (first lag appears first)
+ Gracefully handle the case where there is no autoregressive part
(Ref. Dynare/preprocessor#52 )
– Block decomposition:
+ bugfix for solve one boundary blocks with mfs>0
+ fix evaluation of recursive variables in solved blocks
(Ref. Dynare/dynare#1726 )
— Fix various potential bugs with model local variable
— Ensure that negative constants are never marked as temporary terms
By the way, activate tests/pac/trend-component-31/example.mod, since it should
now work.
2020-10-16 16:53:26 +02:00
Sébastien Villemot
7270f722e4
Activate test for two PAC equations in the same file
2020-10-16 16:30:38 +02:00
Sébastien Villemot
71e3e0d49e
Fix extended_path with bytecode
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By the way, document and enforce the fact that stochastic extended_path (i.e.
order > 0) is not compatible with either bytecode or block.
Closes : #1742
2020-10-14 17:25:58 +02:00
Sébastien Villemot
43311a230f
Testsuite: histval_initval_file_unit_tests.m is not a TLS file
2020-10-14 17:16:35 +02:00
Sébastien Villemot
8acdb9f7cc
Testsuite: MATLAB R2014a compatibility fixes
2020-10-08 17:26:17 +02:00
Sébastien Villemot
e7162a2a69
Block decomposition: new tests for mfs>0
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Ref. #1726
2020-10-07 19:01:09 +02:00
Stéphane Adjemian (Charybdis)
80bfbc0736
Merge non linear shock decomposition for backward models.
...
Closes #2 .
2020-09-29 18:17:25 +02:00