9fa92b0d02
fixing error message
2014-11-14 07:15:24 +01:00
a8e7c30e6a
Added @dseries/exist method.
2014-11-13 16:53:06 +01:00
cc96d46911
Transfer hard-coded verbosity of simplex algorithm into an option
2014-11-10 19:54:44 +01:00
7c59edead2
Make simplex_optimization_routine.m usable outside of estimation
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Removes hard-coded parameter names extracted from bayestopt_ by handing them over explicitly
2014-11-10 19:53:55 +01:00
c3467ddca2
Simplex: return only scalar best value instead of full vector
2014-11-10 19:41:50 +01:00
bbf6ea50b0
Added workaround for bug in some Matlab versions (wrong type).
2014-11-10 11:21:05 +01:00
0691b08303
Adapated internals routine (name of dynTest routine has changed).
2014-11-09 22:20:43 +01:00
6557849b30
Updated m-unit-tests module.
2014-11-09 22:20:18 +01:00
a12e9d684a
Force type consistency when comparing actual results and expected
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results in unit tests (use logical type).
2014-11-09 22:17:46 +01:00
8fedac4d5e
Replaced calls to dyn_assert by calls to dassert.
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This routine is used to compare objects i -n unit tests.
2014-11-08 09:28:53 +01:00
479189ef47
Updated path in dynare_config.
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For m-unit-tests module.
2014-11-07 22:41:25 +01:00
f2aabb1f0d
Added m-unit-tests as a submodule.
2014-11-07 22:40:31 +01:00
1c62420909
Removed matlab/utilities/tests subfolder.
2014-11-07 22:31:23 +01:00
e6789a3707
Merge pull request #761 from JohannesPfeifer/message_test_calibration
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Clarify message in test_for_deep_parameters_calibration.m
2014-11-07 17:27:15 +01:00
1f25e7d479
Merge pull request #757 from JohannesPfeifer/fix_display
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Add missing run index to looped variable in resol.m
2014-11-07 17:25:50 +01:00
a1a0cc098b
skipline: simplify code
2014-11-07 16:44:05 +01:00
f98a41007e
skipline: fix function header
2014-11-07 16:44:05 +01:00
ae52f7615c
bug fix: skipline
2014-11-07 16:44:05 +01:00
6edef09aba
Added fake input argument in @dates/isequal.
2014-11-07 16:12:47 +01:00
d77dec9726
Added optional tolerance parameter in @dseries/isequal method.
2014-11-06 15:43:23 +01:00
884cbc3fbe
dseries: bug fix: add delimiter for importdata for .csv files
2014-11-06 14:46:27 +01:00
3f4f348a0a
dseries: variable in error messages isn't set
2014-11-06 14:34:05 +01:00
9a966151fa
fix typo
2014-11-06 13:48:53 +01:00
2a67e2a306
Take care of imaginary numbers in perfect foresight simulations
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Finishing with imaginary parts now does not count as a solution and triggers a new homotopy step.
2014-11-06 09:08:50 +01:00
cb5d3df6a0
Computation of the loss function in the presence of unit root variables was incorrect
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Some elements were simply left out. This commit now mimics the computations as in th_autocovariances.m and makes sure the loss function coincides with the one that is obtained by reading out the covariance from oo_.var
2014-11-03 18:05:15 +01:00
669016167e
Fix bug in osr where moments were not based on optimal parameter draw
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M_.params is global and was set by csminwel1 to the last value tested; this does not necessarily coincide with the optimal parameter vector, which may have occurred earlier. This commit explicitly sets the optimal parameter vector.
2014-11-03 18:01:04 +01:00
7b1663281b
Transform objective function in osr to full matrix
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If the objective function only has one element, the scalar product of a sparse matrix and a full matrix is sparse (in contrast to two or more elements). This crashes the osr code subsequently.
2014-11-03 15:29:21 +01:00
6bc9b88401
Add reordering of second order derivatives to stochastic_solvers.m
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It was erroneously completely moved to dyn_second_order_solver.m in the 4.3 branch when cleaning up dr1.m. Without this reordering, decision rules for exogenous deterministic variables at second order are wrong
2014-11-02 19:34:55 +01:00
283912be53
Merge pull request #770 from JohannesPfeifer/Ramsey_aux_vars
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Ramsey aux vars
2014-11-02 15:16:44 +01:00
ecbe428bd7
Fix computation of objective function in OSR if covariances are specified
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Due to the preprocessor adding entries for all variable combination into i_var, variables contained in covariances obtained a wrong weighting. By only selecting the unique entries, this cannot happen anymore. Moreover, the computation intensity of the objective does not increase quadratically in the objective anymore.
2014-11-02 12:49:11 +01:00
491301c67b
th_autocovariances.m creates Gamma_y{nar+2} (variance decomposition)
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even if there is a single shock. In that case variance decomposition
is one. It is better if Gamma_y has always the expected
size. disp_th_moments.m only displays variance decomposition if there
is more than one shock.
2014-11-02 11:17:27 +01:00
fbbe98815b
fixing bug introduced in commit 6eb3a3d when displaying theoretical
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moments for a model with a single exogenous variable
2014-11-01 09:15:48 +01:00
c2da796153
Fix distinction between initial values provided to dyn_ramsey_static.m and stale unchanged initial values in oo_.steady_state
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In case of no steady state file, they are identical, but with a steady state file, they are not. Moreover, this fixes a problem with the dimension of the input to the steady state file. ys was not initialized and had wrong dimensions
Also adds comments to file.
2014-10-30 13:31:57 +01:00
3a9c273535
Allow for check of Hessian at order>2 in model_diagnostics.m
2014-10-29 19:37:03 +01:00
c1999443ce
Condition singularity warning on unit root check
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When singularity is detected, try to compute eigenvalues to see if unit root is present and issue warning according to this check
2014-10-29 19:33:33 +01:00
a159442935
Fix message in dynare_estimation_init.m
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If some parameters are NaN after computing the steady state, the message erroneously said that parameters had been changed. In a check for equality, NaN is not equal to NaN. Thus, NaNs are now taken care of separately.
2014-10-29 09:02:29 +01:00
9300a061aa
Fixed bug (appearing only with Matlab and legacy data interface) if the m data file is in the current directory.
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If the m data file is in the current directory, the first output of
fileparts(options_.datafile) is an empty string. In Matlab the command
cd('') fails, but Octave does not fail in this case (and does nothing).
Added a test on the first output of fileparts, if this output is empty
we do not try to change the current directory.
2014-10-23 11:08:26 +02:00
5ab08ed8d3
Added missing semi colon.
2014-10-21 16:37:57 +02:00
ca28a2b778
Fixed load_m_file_data_legacy.m.
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An m file data was not loading if outside the current directory.
2014-10-21 16:05:34 +02:00
63d3157267
Do not force the user to provide a clean m data file when using the legacy data interface.
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Note that all the variables listed in varobs need to have the same
number of observations.
2014-10-20 17:28:35 +02:00
f48566aeae
Fixed prior bounds (according to the doc in master branch).
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* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
fb14d24036
Do not truncate the plotted prior densities with the truncation
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parameters used for optimization (second and third positional
arguments after the name of the estimated parameter in the
estimated_params block).
2014-10-16 15:27:40 +02:00
2d61c39276
Cosmetic changes.
2014-10-16 15:25:51 +02:00
db2ba6d887
Clarify message in test_for_deep_parameters_calibration.m
2014-10-15 13:42:47 +02:00
2c01113e8c
Fix bug when calling non-Bayesian smoother after Bayesian estimation
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Because xparam1 is used by the smoother, but xparam was set to the posterior mean, the non-Bayesian smoother results were based on the parameters at the mode, which are stored in xparam1.
2014-10-15 09:49:07 +02:00
d423ae63a8
Set default value for last input argument of lyapunov_symm routine (debug flag).
2014-10-15 09:02:42 +02:00
590c0985f8
Add missing run index to looped variable in resol.m
2014-10-13 20:10:57 +02:00
935f74883d
Added unit tests for lyapunov_symm routine.
2014-10-13 17:42:53 +02:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
55808060cf
Removed useless input (complete commit 438a671c3873e5c4e1bb02a54080e930fbc11886).
2014-10-13 17:42:52 +02:00
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
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- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
573d276f1a
Merge pull request #739 from JohannesPfeifer/Cosmetic_changes
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Cosmetic changes, documentation, and small bugfix
2014-10-13 13:39:19 +02:00
96df3b0043
Cosmetic changes to error messages
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(cherry picked from commit ffa424d9d88dcd534272b154a3d9848df861914b)
2014-10-13 13:05:46 +02:00
78621c03ee
Merge pull request #742 from JohannesPfeifer/second_order_hessian_problems
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Deal with NaN and Inf in Hessian of dynamic model
2014-10-13 12:49:38 +02:00
de5875a75b
Fix bug still present in CutSample.m
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#733 was faulty because it did not account for changes in the first line when more than 1 MH file was present. Now, FirstDraw really denotes the first draw (as opposed to the last draw as before). The subsequent computation of FirstMhFile is then also correct.
2014-10-12 11:33:55 +02:00
6c112a2701
Merge pull request #743 from JohannesPfeifer/debug_info_estimation
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Add check for NaN parameters to initial_estimation_checks.m
2014-10-10 22:30:12 +02:00
06fbf2b2c5
Merge pull request #746 from JohannesPfeifer/rplot
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Filter out empty oo_.endo_simul in rplot.m
2014-10-10 22:25:07 +02:00
df1e734106
Merge branch 'steady_debug'
2014-10-10 21:47:24 +02:00
f4922a8a27
Cosmetic changes.
2014-10-10 21:46:50 +02:00
9e3edd6673
Merge pull request #748 from JohannesPfeifer/maxit
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Change maxit default value and correct manual
2014-10-10 19:03:56 +02:00
37d4cf7e35
Merge pull request #753 from JohannesPfeifer/MCMC_diag
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Improve tractability of McMCDiagnostics_core.m by adding header and comm...
2014-10-10 18:46:30 +02:00
f4f7a02fd7
Provisions for MATLAB 8.4 (R2014b)
2014-10-10 10:41:04 +02:00
1d68ed8da6
Improve tractability of McMCDiagnostics_core.m by adding header and comments. Also uses more intuitive variable names
2014-10-09 10:57:28 +02:00
3187c70b97
Add debugging info on initial values for steady state computation
2014-09-30 15:05:12 +02:00
a9bb341b0a
Increase default maxit for steady and deterministic simulations
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Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
6bbfa2fa6d
removed 1e6 in expression forcing a non-singular Jacobian
2014-09-30 08:13:31 +02:00
6a8c968411
Filter out empty oo_.endo_simul in rplot.m
2014-09-29 15:00:45 +02:00
fa3e77d163
fixing bug in handling options for lmmcp
2014-09-28 10:07:08 +02:00
127b7b0221
Add check for NaN parameters to initial_estimation_checks.m
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Provides important info to debug cryptic crashes in later routines. Mostly applies to cases where people run estimation without stoch_simul
2014-09-25 09:02:36 +02:00
b43d52278d
Deal with NaN and Inf in Hessian of dynamic model
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Checks for these cases in stochastic_solvers.m to prevent cryptic crashes in dll-files later on
2014-09-25 08:49:19 +02:00
2d39fc62e2
Make sure the output arguments of dsge_likelihood.m are actually set
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Before, trend_coeff and ys were sometimes returned as empty
2014-09-21 11:54:43 +02:00
3e427020d6
Cosmetic changes in headers
2014-09-21 11:51:46 +02:00
e2fd82d403
Merge branch 'cut_sample'
2014-09-20 11:18:16 +02:00
cc80c8662c
Fixes ambiguity in the output of CutSample routine (second part of PR #733 ).
2014-09-20 11:17:57 +02:00
bfc9719f05
Fix bug in in CutSample.m that led to wrong number of draws for moment computation (first part of PR #733 )
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FirstLine actually defined the last line. One needs to 1. Otherwise,
Draws in GetAllPosteriorDraws.m will be (NumberOfDraws+1)*nblck.
2014-09-20 11:16:50 +02:00
2e08025cac
Fixed typo (wrong condition for defining the integration weights and nodes).
2014-09-19 22:05:42 +02:00
79c5e18bfe
Cosmetic changes
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- Suppresses spurious output from dynare_estimation_1.m
- Removes unset output argument from dynare_estimation_init.m (which seems to be totally unused as it was not set at all and nobody reported any crashes)
- Corrects header of dynare_estimation_init.m
2014-09-19 16:20:43 +02:00
08b598609e
Clarify ambiguous printout in internals function
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"Overall acceptance rate" could be read as over all chains.
Also capitalizes the name Matlab
2014-09-16 20:44:18 +02:00
79d0e269a7
cosmetic change
2014-09-12 15:40:47 +02:00
4729459970
Properly handle case when post_metropolis=0: here steady_state must be added to smoothed variables.
2014-09-12 15:35:00 +02:00
55b6d0eb93
1) check for restricted or extened var list
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2) allow proper working will all GSA type of sample: prior, MC, posterior
2014-09-12 14:49:25 +02:00
8655df67a9
Clean up use of verbosity option
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- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
beee1d2f82
Correct the test on the number of eigenvalues outside the unit circle: do the test on each block instead of at the global level
2014-09-11 18:19:31 +02:00
576ed55dda
Merge branch optimizer_number_5.
2014-09-11 17:38:03 +02:00
89fa0ae9b6
Fixed typo.
2014-09-11 17:33:42 +02:00
7e3114847d
Fix crash in Ramsey with more than 1 instrument and steady state file.
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Vector ys is undefined.
2014-09-11 15:33:55 +02:00
ce97a27c9d
Cosmetic changes.
2014-09-10 17:49:33 +02:00
308ce25031
Make sure that solve_algo=0 inherits options from options_.steady
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Otherwise, MaxIter is hard-coded
(cherry picked from commit 2499f641ac2fab7ddf938263d0ee34f73765c4c8)
2014-09-10 17:49:33 +02:00
caa6d5d93e
Fix display of MH-history if parameter names do not have same length
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In this case, cell2mat fails, because the dimensions are not consistent. Using char() instead padds with spaces
(cherry picked from commit 47b1a2df74cf1f643ca913ab4ff6c2057e8b58cf)
2014-09-10 17:49:33 +02:00
41d1533086
Add check that prevents datafile from having same name as mod-file
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Otherwise, the generated m-file might be called as the datafile, leading to infinite loops. The check cannot be moved to makedataset because M_.fname is not available there.
2014-09-10 17:49:33 +02:00
27d54758be
Fixed typo.
2014-09-10 17:49:33 +02:00
6d42ec66d5
Account for error code 10 (Inf in Jacobian of the dynamic model) in likelihood functions.
2014-09-10 17:49:33 +02:00
5500846280
Added option distribution_proposal (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
4c9be8a56a
Removed useless option.
2014-09-08 22:36:41 +02:00
df19396acf
Added option proposal_approximation (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
9bfdeb30e2
Bug fixes.
2014-09-08 22:36:41 +02:00
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
bcad4f31f2
Added option resampling_method (estimation command, non linear filters).
2014-09-08 22:36:41 +02:00
08c74b8f41
Added option resampling_threshold (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
a6009908e4
Added option resampling (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
Michel Juillard
Stéphane Adjemian (Telemachus)
Johannes Pfeifer
Houtan Bastani
Stéphane Adjemian
Jukka Heikkonen
Marco Ratto
ferhat