a4eb8d6b91
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
5d8d5e90d8
evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
...
Closes #1373
2017-03-17 13:15:39 +01:00
569de10511
Make sure block-decomposed model returns with correct error code if Inf or NaN is encountered
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Missing from 5f85d3a200
2017-03-17 10:07:13 +01:00
e2b30857a0
preprocessor: split equation output into lhs and rhs. #1387
2017-03-15 12:52:55 +01:00
425bab1461
preprocessor: write JSON output for cross refs #1387
2017-03-10 17:28:25 +01:00
9f7b084970
Merge branch 'master' into json
2017-03-10 17:20:15 +01:00
99d948463e
Revert "preprocessor: write equation cross references in JSON. #1387"
...
This reverts commit 0ccc82300c
2017-03-10 17:18:41 +01:00
ea13b12cf2
preprocessor: add lag info to equation cross references. closes #1398
2017-03-10 16:59:52 +01:00
0ccc82300c
preprocessor: write equation cross references in JSON. #1387
2017-03-06 16:34:08 +01:00
defe06d513
preprocessor: create two different static and dynamic files with the option jsonprintderivdetail. #1387
2017-03-03 14:42:37 +01:00
5063020c5d
Merge branch 'master' into json
2017-03-03 14:42:25 +01:00
f500b8385d
preprocessor: make JSON output start counting at 1 instead of 0. #1387
2017-03-02 17:34:34 +01:00
33b38ab643
preprocessor: write error messages to cerr instead of cout, replace \n with endl
2017-03-01 12:44:31 +01:00
2d25858886
preprocessor: fix bug that caused temporary terms not to be printed for the parameter derivatives of the static model. closes #1397
2017-03-01 12:20:55 +01:00
ed3e74994f
preprocessor: add onlyjson option to allow exit upon writing of JSON output. #1387
2017-02-28 14:34:22 +01:00
5e5a9e3b9a
preprocessor: JSON output aesthetic fixes, support planner objective. #1387
2017-02-27 15:40:34 +01:00
e07e393642
preprocessor: fix JSON bugs. #1387
2017-02-27 14:23:55 +01:00
a4171ad4ab
preprocessor: output JSON after different steps, write static, dynamic, params derivs files in JSON. #1387
2017-02-24 17:43:22 +01:00
0b52b778ed
preprocessor: for consistency, use equations.size() instead of equation_number() in classes that have equations as a field
2017-02-24 11:20:54 +01:00
1007ea1301
preprocessor: JSON output for statements, #1387
2017-02-20 11:23:10 +01:00
181ffd65c5
preprocessor: bug fix for writing of parameter values. Closes #1394
2017-02-13 14:03:44 +01:00
8ee9d081e8
FIX: JSON remove space before symbols + quote values
2017-02-12 16:45:05 +01:00
39855c95d2
preprocessor: aesthetic fix
2017-02-10 12:47:43 +01:00
fabca90345
preprocessor: aesthetic fix
2017-02-09 16:23:42 +01:00
7ced4b5580
preprocessor: change error to warning because we don’t end processing in this situation; fix error message
2017-02-09 16:21:18 +01:00
edd2e98086
preprocessor: replace exit(1) with exit(EXIT_FAILURE)
2017-02-09 12:46:37 +01:00
9fbef0c107
Removed penalty_hessian routine.
...
+ 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
d05dd34d30
preprocessor: write JSON output. #1387
2017-02-06 17:41:18 +01:00
5b6a888d7f
preprocessor: fix typo
2017-01-31 17:11:03 +01:00
f1d607af99
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
3a0b9a1143
preprocessor: don’t automatically declare external functions
2017-01-27 20:36:26 +01:00
3d4619fd85
preprocessor: handle undeclared external functions and lagged variables
2017-01-27 20:36:26 +01:00
cfae273038
keep track of all times an undeclared variable is encountered
2017-01-27 20:36:26 +01:00
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
7fb7dd7ccc
fix nested parens for params derivatives. closes #1201
2017-01-05 18:19:37 +01:00
157369b505
when >32 nested parens encountered in matlab, print error message once per file in which such a situation occurred. #1201
2017-01-05 15:19:13 +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
09e7dde0ea
fix warnings introduced in 3b20d41a92 related to size_t/int comparison #1201
2017-01-02 11:38:13 +01:00
6bd1ff8e1c
3b20d41a92 used to_string from C++11 standard which breaks the snapshot build. #1201
2017-01-02 11:21:28 +01:00
952f545cd7
avoid unnecessary processing when a stream has 32 or fewer nested parenthesis. #1201
2016-12-30 18:32:20 +01:00
3b20d41a92
first iteration of fix for nested parenthesis in matlab. #1201
2016-12-30 18:14:08 +01:00
9582431bd5
bug fix: end preprocessing with error when more than 32 nested parenthesis are encountered. closes #1201
2016-12-28 14:02:50 +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
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +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
5334c7433d
Merge pull request #1345 from JohannesPfeifer/robust_lin_solve
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robust_lin_solve: Fix mistakes introduced in 4b83c1bf763fe5029c94b7e5…
2016-12-17 17:18:19 +01:00
4a8e8db634
preprocessor: parallel: add NumberOfThreadsPerJob option. #1349
2016-12-13 11:35:37 +01:00
de7d239f7c
preprocessor: parallel: change default for singleCompThread. #1349
2016-12-13 11:12:04 +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
5f85d3a200
block: fix bug introduced in e410043c24. #1245
2016-11-29 16:45:50 +01:00
e410043c24
block: add default argument for _dynamic functions: `varargout{1} = NaN;` #1245
2016-11-29 15:18:59 +01:00
7ec3dcc6e2
preprocessor: fix bug that caused all models declared linear to fail under ramsey. closes #419
2016-11-29 14:21:34 +01:00
3e9894028a
preprocessor: create field in M_ that is true when hessian is zero, false otherwise. closes #1335
2016-11-14 12:32:21 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
2e54240dab
preprocessor: fix iterator types in ParsingDriver::svar()
2016-11-04 14:44:45 +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
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
f087f84a25
preprocessor: define var for normcdf + msvc. #1259
2016-10-17 14:59:07 +02:00
4b2ddb6f1d
preprocessor: don’t need compiler argument to dynare when using octave. closes #1314
2016-10-14 17:35:10 +02:00
d564d832dd
preprocessor: add normcdf for MSVC. closes #1259
2016-10-14 16:11:44 +02:00
7cd072e064
preprocessor: clean up writePowerDeriv code. it only writes C code, so no need for use_dll argument
2016-10-14 14:30:14 +02:00
d7d2e4fde3
preprocessor: fix bug introduced in 4255be00b8. Normcdf is not supported by MSVC
2016-10-14 13:59:36 +02:00
4255be00b8
preprocessor: allow acosh, asinh, atanh, normcdf for MSVC 11.0 or later
2016-10-14 13:44:21 +02:00
accd70a4c7
preprocessor: add support for MinGW. #1226
2016-10-14 11:25:23 +02:00
bfe182f464
build system: make cp thread safe
2016-10-14 10:57:49 +02:00
dbec97c447
preprocessor: fix warning in parsing
2016-10-07 14:41:33 +02:00
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
d74550e050
preprocessor: simplify code
2016-09-06 14:59:31 +02:00
833f8c7845
preprocessor: fix bug in conditional_forecast_paths where the shocked endogenous variable id was provided as symb_id instead of type specific symb_id. #1276
2016-09-06 14:58:25 +02:00
e31f0a8d0f
macroprocessor: stop with error when division by zero is encountered. closes #1278
2016-09-05 17:36:40 +02:00
f0909834c0
preprocessor: external_function: add comma to function output args
2016-08-25 15:35:32 +02:00
077b725a52
Correct comment in _dynamic files that misstated columns of derivative matrices
2016-08-22 19:24:35 +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
7680749130
preprocessor: issue error when exogenous included in planner_objective. closes #1264
2016-08-12 11:50:57 +02:00
3695bf4695
preprocessor: Return equation numbers/tags in error message when linear model contains nonzero hessian entries. #419
2016-07-27 15:01:54 -04:00
7695031e77
preprocessor: check linear model hessian = 0. closes #419
2016-07-25 13:43:34 -04:00
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
ed549d3ba7
preprocessor: add tolx to perfect_foresight_solver
2016-07-21 09:40:19 -04:00
54ef4e2838
preprocessor: always write M_.state_var #637
2016-07-20 17:09:46 -04:00
8446e6bc14
preprocessor: add tolf to perfect_foresight_solver and steady. #1249
2016-07-20 10:57:06 -04:00
e5b851d175
preprocessor: remove extraneous token
2016-07-20 10:43:13 -04:00
dcff4b57a9
adding missing initializations
2016-07-15 17:43:58 +02:00
ad4d77853d
preprocessor: rework conf_sig option
2016-07-04 17:34:44 +02:00
581198741f
Revert "Revert "preprocessor: allow for partitioning of variables along multiple dimensions""
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This reverts commit b0e7f1cfd7
2016-06-24 17:38:54 +02:00
b0e7f1cfd7
Revert "preprocessor: allow for partitioning of variables along multiple dimensions"
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This reverts commit 7a29f50d99
2016-06-23 15:59:35 +02:00
7a29f50d99
preprocessor: allow for partitioning of variables along multiple dimensions
2016-06-23 15:36:42 +02:00
5d1162d229
fixed bug in writeCCOutput
2016-06-18 11:21:42 +02:00
1c420e6056
Allow for parameter_set=mle_mode in shock_decomposition
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Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
d86e78ab01
Fixed dynamic model (julia output)
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The number of columns in the Jacobian matrix is the number of endogenous
variables appearing at time t-1, t and t+1 plus the number of exogenous
variables.
2016-06-14 11:21:23 +02:00
9ca893ca1d
Added routines for steady state computation (julia).
2016-06-14 11:21:23 +02:00
ea4ec224e1
preprocessor: add all_values_required option to histval. closes #261
2016-06-02 12:57:11 +02:00
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
90a493ac98
preprocessor: fix bug in writing of temporary terms. closes #1201
2016-06-01 15:29:10 +02:00
13ca15a278
Allow (S)EP with arbitrary sequence of innovations.
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The third input argument of extended_path Matlab/Octave's routine is the
sequence of shocks (T*n array, where n is the number of exogenous
variables and T is the size of the sample). If the third argument is
empty, the (stochastic) extended path is run with gaussian
innovations (this corresponds to the previous behaviour).
TODO:
- Fix the compatibility with ep.replic_nbr
- Check the 'calibrated' mode.
2016-05-24 17:28:24 +02:00
b60bd7b36b
Removed globals from extended_path routine.
2016-05-24 17:28:24 +02:00
53747cb082
Fixed lmmcp option.
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This option may be used in extended_path and perfect_foresight_solver commands.
2016-05-24 17:26:06 +02:00
8b084595e2
Added solve_algo as an option for perfect_foresight_solver.
2016-05-24 17:26:06 +02:00
4658d81740
Add pointer to user written steady state routine.
2016-05-23 13:48:19 +02:00
9c1739520b
Bug fix in assert (Julia output)
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Same as 4b830d29ed2d230908a1a5ec1c7badd29c7dc86a but for static model.
2016-05-23 13:48:19 +02:00
0398832e4f
Assign parameter values in main julia module.
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See PR #1102 by spencerlyon2.
Added support for filling in the model.params Vector.
2016-05-23 13:48:19 +02:00
cf9883ef61
Bug fix in assert (Julia output).
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See PR #1102 by spencerlyon2.
size always returns a tuple, and we were comparing to an int. Dispatch restricts these arguments to all be vectors so length works here.
2016-05-23 13:48:19 +02:00
e65c4f970b
Fixed indexing of params in steady state file.
2016-05-23 13:48:19 +02:00
e44d90adc1
Fixed type issues.
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params, exo_steady_state and steady_state are vectors not matrices!
2016-05-23 13:48:19 +02:00
2e8f528bef
Cosmetic changes.
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+ Renamed model as model_
+ Renamed options as options_
+ Renamed output as oo_
+ Also export oo_ and options_
+ Fixed typos in comments.
2016-05-23 13:48:19 +02:00
bcd39ef2f7
Made room for user written steady state file.
2016-05-23 13:48:19 +02:00
96d538469c
Added boolean variable for tracking if a steadystate block is present in the mod file.
2016-05-23 13:48:19 +02:00
73787c0c16
Removed try-catch block.
2016-05-23 13:48:19 +02:00
928b0a50a5
Fixed crash when steadystate block does not exist.
2016-05-23 13:48:19 +02:00
d9e22a149c
Fix preprocessor renaming error introduced in b486ae4964
2016-05-22 11:41:54 +02:00
0521aa4e09
Merge pull request #1188 from JohannesPfeifer/slice_marco
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Add slice and factorization of posterior samplers
2016-05-22 01:45:14 +02:00
5fcd502f3c
preprocessor: allow comments in parallel config file. closes #1194
2016-05-20 17:22:26 +02:00
2ce34e3207
preprocessor: replace obj_var_ with M_.osr.variable_indices and optim_weights with M_.osr.variable_weights. #948
2016-05-20 15:53:49 +02:00
5fdd24ab8b
preprocessor: add warning if more than one osr_params statement is encountered in the .mod file. #948
2016-05-20 15:46:33 +02:00
b486ae4964
preprocessor: make modifications to osr_params and osr_params_bounds output. #948
2016-05-20 15:43:12 +02:00
8b85ca19bf
preprocessor: support sub lists in posterior_sampling_opt option, hence removing tarb_optim. #1177
2016-05-19 14:37:05 +02:00
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
4ea52066b9
preprocessor: simplify a5590f7917
2016-05-19 12:10:19 +02:00
a5590f7917
preprocessor: fix bug in debian compilation
2016-05-19 12:06:53 +02:00
6b7a77d5a9
preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187
2016-05-18 12:26:19 +02:00
253e6c8dfb
Revert "Revert "preprocessor: add option no_2nd_order_params_derivs. #1187""
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This reverts commit c496d6f5ca
2016-05-18 10:34:45 +02:00
42895ce32c
Revert "preprocessor: add params_derivs_order to identification and sensitivity. #1187"
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This reverts commit 6192a6a776
2016-05-18 10:33:45 +02:00
6192a6a776
preprocessor: add params_derivs_order to identification and sensitivity. #1187
2016-05-17 17:18:16 +02:00
4b71593b3c
preprocessor: fix typo
2016-05-17 15:42:23 +02:00
c496d6f5ca
Revert "preprocessor: add option no_2nd_order_params_derivs. #1187"
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This reverts commit 024586fbb1
2016-05-17 15:37:46 +02:00
308828aa95
Revert "preprocessor: params_derivs_file: by default, compute second order derivs wrt params; simplify code; #1187"
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This reverts commit 1442f83037
2016-05-17 15:37:29 +02:00
626f8af374
preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187
2016-05-17 15:32:51 +02:00
7c00ae723e
preprocessor: add analytic_derivation option to identification and sensitivity. #1187
2016-05-17 12:43:05 +02:00
1442f83037
preprocessor: params_derivs_file: by default, compute second order derivs wrt params; simplify code; #1187
2016-05-13 10:48:49 +02:00
024586fbb1
preprocessor: add option no_2nd_order_params_derivs. #1187
2016-05-12 14:40:28 +02:00
9d26ab46e9
preprocessor: only compute first order derivatives w.r.t. parameters with identification. closes #1187
2016-05-12 12:02:34 +02:00
a4b6dfa3f3
preprocessor: interface for osr_params_bounds. #948
2016-05-10 18:01:00 +02:00
d5dff28704
preprocessor: fix bug introduced in c9ca46f228. Further simplify ParsingDriver::declare_nonstationary_var(). Closes #1184
2016-05-09 16:10:04 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
800d79d6e5
add option colormap for shocks_decomposition
2016-04-15 09:02:53 +02:00
de567377c3
adding groups of shocks for shock_decomposition
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consistency checks, documentation and test case
are still missing
2016-04-15 09:02:53 +02:00
f6806bf8b8
fixed issue with auxiliary variables and external function
2016-04-09 09:23:17 +02:00
056548ba76
Merge pull request #1152 from JohannesPfeifer/headers
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Cosmetic changes to various function headers
2016-04-08 23:29:16 +02:00
3af546fa7a
simplify writing of auxiliary variables definitions
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This will fail if external function are used in
auxiliary variables definition
2016-04-08 09:33:57 +02:00
Houtan Bastani
Johannes Pfeifer
Winant Pablo
Stéphane Adjemian (Charybdis)
MichelJuillard