dde1acd18d
Make fast_realtime accept observation as input
2018-01-26 18:23:49 +01:00
0a80ca4028
initial_condition_decomposition: Add nodisplay, graph_format, fig_name options
2018-01-26 12:09:14 +01:00
911ca2a54f
Add preprocessor interface for fast_realtime option of
2018-01-12 09:48:14 +01:00
b3d399e901
Add diffuse_filter as option to dynare_sensitivity
2017-11-22 16:25:29 +01:00
ff1ae57ec0
Correct setting of plot_shock_decomp.type
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Closes #1548
2017-11-07 20:24:29 +01:00
0565c4aaf0
preprocessor: fix generate_irfs syntax. closes #1531
2017-10-09 12:12:48 +02:00
211a07c739
Merge pull request #1533 from JohannesPfeifer/interfaces
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Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:30:05 +02:00
254a73a406
Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:06:38 +02:00
d52f13114d
preprocessor: interface for generate_irfs block. Closes #1531
2017-10-06 15:00:55 +02:00
471e0ff472
preprocessor: add basic gmm smm statements, add options later. #1530
2017-10-05 15:13:17 +02:00
349834eeca
preprocessor: add write_latex_steady_steade_model command. Closes #1496
2017-08-30 14:30:06 +02:00
09d44c89fd
preprocessor: add parameter_set option to evaluate_smoother command. Closes #1477
2017-08-28 18:25:37 +02:00
628c4cf27b
preprocessor: add model_local_variable declaration for declaring model local variables with tex names. Closes #563
2017-08-28 17:24:56 +02:00
fe14007a16
preprocessor: ramsey_model: remove unused symbol_list syntax. Closes #1392
2017-08-24 16:43:36 +02:00
1551d33e9e
preprocessor: add write_equation_tags option to write_latex_original_model and write_latex_static_model. closes #1431
2017-08-24 16:10:53 +02:00
3bac10a97d
Fix bug in use_shock_groups and colormap
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Option was not written to correct subfield of options_-structure. Related to 7cd56e9687
2017-07-07 12:38:20 +02:00
7cd56e9687
Get rid of unused and superseded options_.colormap and make sure options_.plot_shock_decomp.colormap is set
2017-05-23 13:20:47 +02:00
072246c5ab
Merge pull request #1441 from JohannesPfeifer/ksstat
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Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
451646ff16
Remove redundant ksstat option
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Closes #1431
2017-04-27 11:08:17 +02:00
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
14f4544a29
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +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
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
12f8e5f512
plot_shock_decomposition: remove argument to steadystate option
2017-03-28 12:15:00 +02:00
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
5282e737e7
preprocessor: add realtime_shock_decomposition statement. #1406
2017-03-21 15:20:32 +01:00
e6f5316b99
preprocessor: fix bug introduced in a4eb8d6b91
2017-03-21 14:07:30 +01:00
a4eb8d6b91
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
9fbef0c107
Removed penalty_hessian routine.
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+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
2017-02-08 13:07:25 +00:00
bfd239aa26
preprocessor: issue warnings for undeclared model variables when the end of the model block is encountered. #1286
2017-01-27 20:36:26 +01:00
da31cca7d4
Fixed bug.
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NO_POSTERIOR_KERNEL_DENSITY option was not modifying the expected field in
options_, consequently this option was no honored.
2017-01-20 17:35:43 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
013043b1dd
ramsey_policy: accept all endogenous variables in var_list_, even auxiliary variables. closes #1355
2016-12-27 14:08:50 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
0f04a0f921
Geweke diagnostics: fix bug in interface that prevents setting the respective options
2016-12-17 17:22:05 +01:00
d5e20752ac
robust_lin_solve: Fix mistakes introduced in 4b83c1bf76
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Interface was still missing and documentation of option was in wrong place in manual and wrong
2016-12-01 17:31:29 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
209f1b4a7c
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
f553f893c6
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
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- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
804d31e8af
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
816b5bb884
Revert "preprocessor: remove maxit, tolf from osr. #1249"
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This reverts commit 86bc3bd435
2016-07-21 11:04:04 -04:00
86bc3bd435
preprocessor: remove maxit, tolf from osr. #1249
2016-07-21 09:46:08 -04:00
Johannes Pfeifer
Houtan Bastani
Stéphane Adjemian
MichelJuillard