d7b2e271d7
Update documentation on sensitivity
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Closes #789
2017-04-27 12:03:02 +02:00
e8f07e828b
Bump Octave version in windows/README.txt.
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We build against and support Octave 4.2.1.
2017-04-27 11:57:02 +02:00
dec9d6d900
Added 32bit and 64bit mex files for Octave in Windows installer.
2017-04-27 11:35:07 +02:00
c1b6a58eb7
Manually revert 05fc096569.
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Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437 .
2017-04-27 10:44:27 +02:00
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
e21387c874
Bump Octave version.
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Octave 4.2.1 32bit or 64bit is now required (should work with 4.2.0 but not
tested anymore, so users should upgrade).
2017-04-26 15:51:24 +02:00
650a3f6da2
Point to mex/octave32 if OCtave 32bit is used on Windows platform.
2017-04-26 15:10:40 +02:00
089156a045
Merge pull request #1440 from JohannesPfeifer/local_order
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stochastic_solvers.m: Suppress redundant warning if order was already…
2017-04-26 09:46:09 +02:00
6ca415ce14
stochastic_solvers.m: Suppress redundant warning if order was already set to 1
2017-04-25 20:16:10 +02:00
5bae0a8cb1
build system: add clean rule for test suite
2017-04-25 12:24:03 +02:00
7829a25238
make stoch_simul solve linear model using order=1, even when order=2,3 specified. Also makes stoch_simul more efficient. closes #1336
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(cherry picked from commit e29be9676dd40388919819af2d366b8308763ccc)
2017-04-22 16:26:13 +02:00
767e45db95
Shut off warning about short circuit operators (when calling qzdiv).
2017-04-22 14:44:47 +02:00
ad21612967
Removed Octave specific part in mjdgges.m function.
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Also force complex QZ factorization in Octave.
2017-04-22 14:44:47 +02:00
7f7cb3ea07
Merge pull request #1436 from JohannesPfeifer/resol_steady
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Make resol.m honor nocheck flag
2017-04-21 10:16:36 +02:00
fa1563370c
Make resol.m honor nocheck flag
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Before, we never tested for correctness, allowing for wrong steady state files in the check command. Fixes bug introduced in 616efb53a448cfa59149951395838627fd1bf719 and restores behavior in 4.4.3
2017-04-21 10:10:03 +02:00
68d24d33af
preprocessor: change trend test to warning. #1389
2017-04-20 18:41:28 +02:00
7f4c1c6529
Merge pull request #1435 from JohannesPfeifer/cmaes_fitness
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mode_compute=9: Make sure initial search volume (SIGMA) is not badly …
2017-04-20 16:33:37 +02:00
7376498e51
Fixed branch for dseries submodule.
2017-04-20 16:28:39 +02:00
52a082a1f9
Add check for positive definiteness of Sigma_u^star
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Otherwise, complex likelihoods may occur
2017-04-20 16:18:03 +02:00
d0682bca30
Updated dseries submodule.
2017-04-20 15:36:06 +02:00
f1123200e5
mode_compute=9: Make sure initial search volume (SIGMA) is not badly conditioned
2017-04-12 13:39:34 +02:00
f7c869c2de
Merge pull request #1432 from JohannesPfeifer/ramsey_typo
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Fix typo in error message
2017-04-06 09:04:32 +02:00
59ab66f9a0
Fix typo in error message
2017-04-06 08:41:12 +02:00
97ac502d3d
Fixed wrong threshold (unit root detection again).
2017-04-05 14:14:56 +02:00
288f010944
Fixed bug (detection of unit roots).
2017-04-05 14:11:23 +02:00
f57fc0a5a3
Added new routine for model inversion.
2017-04-05 13:42:03 +02:00
857fc3c4f4
Corrects several bugs related to bytecode:
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- Memory allocation is checked
- The amount of memory allocated for conditional forecast is corrected
2017-04-05 11:48:40 +02:00
8a18e87d98
Removed persistent variables in evaluate_smoother routine.
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Closes #1412 .
2017-04-05 11:44:27 +02:00
19b206338d
Fixed tests/dates/fs2000.mod and added in testsuite.
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Provides an example showing how to directly pass a dseries object to the data
command for estimation.
2017-04-05 11:44:27 +02:00
d43af0e4d7
Fixed wrong spaces/tab in tests/Makefile.am.
2017-04-05 11:44:27 +02:00
00299a92c1
Make sure options_.first_obs is properly set
2017-04-05 11:44:27 +02:00
636b959a02
preprocessor: add warning for potential non-linearities in model declared linear. #1404
2017-04-05 11:07:34 +02:00
753d8a17f0
preprocessor: move equation tags out of dmath mode, include all equation tags in one set of brackets, allow equation tags to be interpreted as latex, modify manual and test accordingly. #477
2017-04-05 11:01:25 +02:00
5244c814c0
Merge pull request #1430 from JohannesPfeifer/write_equation_tags
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Add write_equation_tags option to integration test
2017-04-05 10:20:12 +02:00
59bafbf294
Add write_equation_tags option to integration test
2017-04-04 23:52:39 +02:00
14f4544a29
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +02:00
052d62e150
preprocessor: remove unused filed histval_present from mod_file_struct
2017-04-03 15:23:01 +02:00
c1434118bd
Added integration test for nonlinear filters with unit roots.
2017-04-03 11:25:05 +02:00
4dcdb81a31
Changed error message introduced in 30c9b3721564d89d1b85abcdc75d493075e6ca77.
2017-04-03 11:25:05 +02:00
ade89a9ec1
Fixed missing initialization of qz_criterium with nonlinear filters.
2017-04-03 11:25:05 +02:00
76c4bd04fe
Provide informative error message if non-stationary model is estimated using particle filter
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Closes #1377
(cherry picked from commit efaa7e54136ffd48fb69e075ecacf9708a553d3b)
2017-04-03 11:25:05 +02:00
f9a462bf07
Added option nonlinear_filter_initialization.
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Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
97e185bc6e
Cosmetic changes in doc header.
2017-04-03 11:25:05 +02:00
8eefb6a747
Fixed warning introduced in b5c353f5a3.
2017-04-03 11:25:05 +02:00
e7835e2504
Merge pull request #1429 from JohannesPfeifer/affiliation
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Update affiliation of Johannes
2017-04-02 18:46:46 +02:00
b64aa57bc3
Update affiliation of Johannes
2017-04-01 19:59:29 +02:00
f18c16653e
Merge pull request #1428 from JohannesPfeifer/patch-1
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Test the rank of Pinf in univariate smoother for the subset of observables
2017-04-01 09:57:32 +02:00
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
1891ab70f8
preprocessor: add options plot_init_date and plot_end_date to plot_shock_decomposition
2017-03-31 14:38:44 +02:00
ac851b0bac
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
Houtan Bastani
Ferhat Mihoubi