c9a2dbcb72
Bug fix for when a parameter is orthogonal to any other one in the model.
2012-11-26 08:22:42 +01:00
22956ea4a4
Removed useless instruction (default value of exit_flag is 1).
2012-11-21 10:11:30 +01:00
bb0993973a
Fixed output argument ordering in non_linear_dsge_likelihood.
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Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-21 10:07:30 +01:00
2ee1ebbe47
fix a bug in the output order
2012-11-21 09:00:43 +01:00
db2615a4c7
Use economy-size decomposition option of qr2 routine.
2012-11-20 14:39:45 +01:00
af23d72cb1
Allow economy-size decomposition with qr2 routine.
2012-11-19 17:43:59 +01:00
9f1ad5568e
New nonlinear filters routines and bug fixes.
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Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-19 16:23:07 +01:00
93e6b41df5
Added routines that will be used to import data (csv file) in a dynSeries object.
2012-11-19 16:17:00 +01:00
c3ff5d92d3
Cosmetic change.
2012-11-19 16:17:00 +01:00
5c893f501b
making extended path ready for parallel computing with parfor
2012-11-17 20:55:01 +01:00
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
...
Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
92727ed75c
Remove obsolete stoch_simul_sparse.m
2012-11-16 18:55:42 +01:00
ddbeb8ceaa
Remove unused oo_.dr.kae, oo_.dr.kad
2012-11-16 17:51:25 +01:00
31a13db66a
Remove duplicate information in M_.blocksMFS
2012-11-16 17:39:03 +01:00
6139af89d5
add pruning in the auxiliary particle filter.
2012-11-16 17:27:54 +01:00
bf19ab801f
Remove duplicate information in M_.blocksEQU
2012-11-16 17:16:40 +01:00
35c77c2e46
typo fixed.
2012-11-16 13:25:41 +01:00
915a203add
bug fixed.
2012-11-16 13:12:21 +01:00
919bd97682
add minor modifications.
2012-11-16 12:35:11 +01:00
202d8a2bd2
minor modifications
2012-11-16 12:35:11 +01:00
c8c7b9faf6
minor modifications.
2012-11-16 12:35:11 +01:00
eb9bc512d7
fixed bug in calculation of observed mean and variance + add the possibility for smooth resampling
2012-11-16 12:35:11 +01:00
3a9eed00df
fixed bugs for estimating a gaussian-mixture distribution.
2012-11-16 12:25:46 +01:00
186de044f4
fix bugs for sampling in a gaussian-mixture distributions.
2012-11-16 12:25:46 +01:00
f7e3ad7b25
fix bugs in k-means code.
2012-11-16 12:25:45 +01:00
f41e969dbe
computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach.
2012-11-16 12:25:45 +01:00
a184e80a89
computes the nodes and weights for approximating a gaussian distribution.
2012-11-16 12:25:45 +01:00
d5666529af
computes the density of particles in a gaussian-mixture distribution.
2012-11-16 12:25:45 +01:00
2fb1065b4f
computes the density of particles in a gaussian distribution.
2012-11-16 12:25:45 +01:00
56e723c08e
Computes the density of observables as a function of states.
2012-11-16 12:25:45 +01:00
eb72df7bc6
computes the proposal distribution during the importance sampling step for gaussian-mixture filters. Fix many bugs.
2012-11-16 12:25:45 +01:00
ab2ae38e8f
computes incremental weights for gaussian-mixture filters.
2012-11-16 12:25:45 +01:00
7dcdd20f6e
gaussian mixture nonlinear filters: uses gaussian-mixture approximations for particles. Fix bugs and normalize the way likelihood is calculated.
2012-11-16 12:25:45 +01:00
b0788fae50
computes the proposal distribution during the importance sampling step in gaussian nonlinear filters. Uses a nonlinear Kalman filter and several gaussian approximations.
2012-11-16 12:25:45 +01:00
553c26e0b3
gaussian nonlinear filter : uses a gaussian approximation for particles.
...
fix bugs and normalize the way we write the likelihood.
2012-11-16 12:25:45 +01:00
4725a2054d
compute incremental weights for gaussian filters.
2012-11-16 12:25:44 +01:00
a96850a090
fix bugs on sorting variables.
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test different cases before doing resampling
2012-11-16 12:25:44 +01:00
f0fcfa3b62
fix bugs in the univariate smooth resampling approach.
2012-11-16 12:25:44 +01:00
c6e5368a9d
fix bug for weights initialization.
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fix bug for calculating observed predicted mean and variance with the correct weights.
2012-11-16 12:25:44 +01:00
edf9955c09
fix bug when comparing xparam with upper and lower bounds.
2012-11-16 12:23:18 +01:00
b6c72f18fa
-add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
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-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
2012-11-16 12:18:55 +01:00
6350962186
Fixed copyright.
2012-11-16 12:18:55 +01:00
7fd1df2505
Fixed bug when comparing xparam1 with upper and lower bounds.
2012-11-16 12:18:54 +01:00
79b5db3037
Cosmetic change.
2012-11-15 13:54:21 +01:00
89356ba248
Added a unitary test in the overloaded colon method of the dynDate class, using the new feature introduced in the previous commits.
2012-11-15 13:53:35 +01:00
67e8db365c
Changed subsref overloaded method (dynDate): added a new interface to populate empty dynDate objects with specified frequency. Added unitary test.
...
For instance if we instantiate an empty dynDate object for quaterly dates:
qq = dynDate('Q');
Then we can populate this object as follows (2009 second quarter):
d1 = qq(2009,2);
2012-11-15 12:40:24 +01:00
0b7e5910ae
Changed a condition in dynDate constructor (for yearly dates).
2012-11-15 12:34:11 +01:00
e71ccaef0b
Added the possibility to instantiate empty quaterly, monthly or weekly dynDate objects. Added unitary test.
2012-11-15 11:07:43 +01:00
2313ec2d94
Fixed function name, header and error message.
2012-11-14 12:32:03 +01:00
a1c8c785e0
Added unique method to the dynDates class.
2012-11-14 12:32:03 +01:00
bcaae72338
Added pop method to the dynDates class.
2012-11-14 12:32:02 +01:00
11c30cee3b
Cosmetic change.
2012-11-14 12:32:02 +01:00
28e146fc69
Fixed header.
2012-11-14 12:32:02 +01:00
fde2694e0c
Added append method in dynDates class (with unitary tests).
2012-11-14 12:32:02 +01:00
32905b1ce1
Added more complex calls to subsref overloaded method for dynDate class. Added unitary test.
2012-11-14 12:32:02 +01:00
68a2ce4f49
Fixed bufg in overloaded subsref method for dynDates class.
2012-11-14 12:32:02 +01:00
47dd0d09ad
Changed behavior of ne overload method (dynDate) as in commit ##9dc16fc765bfd8957dbe24a2ac1244fbde1edf09. Removed useless variable. Updated copyright.
2012-11-14 12:32:02 +01:00
55a3129644
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
8b3e6e8c4d
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
62794a10c1
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
42331f2239
Updated copyright
2012-11-14 12:32:02 +01:00
602d266bba
Removed useless variable + Cosmetic change.
2012-11-14 12:32:01 +01:00
4339673431
Removed useless variable in dynDate/eq.
2012-11-14 12:32:01 +01:00
2def9f88dd
Adapted unitary to the previous commit (#9dc16fc765bfd8957dbe24a2ac1244fbde1edf09).
2012-11-14 12:32:01 +01:00
131c423059
Changed behavior of eq overloaded method (dynDate class). Trigger an error message if the two compared objects have no common frequency.
2012-11-14 12:32:01 +01:00
3c911e5b2c
Updated copyright.
2012-11-14 12:32:01 +01:00
c40dd62531
Fixed error messages.
2012-11-14 12:32:01 +01:00
cae06f3d80
Added unitary test in colon overladed method (dynDate).
2012-11-14 12:32:01 +01:00
1df227ce21
Updated copyright.
2012-11-14 12:32:01 +01:00
244395c2e7
Changed subsref overloaded method in dynDate class.
...
Allow to populate an empty dynDate object or update a dynDate object. For instance, if we instantiate
the dynDate class as follows:
a = dynDate()
a is an empty dynDate object. We can "populate" this object as follows
a('1938Q4')
Note however that a ins not modified in place (due to a limitation of Octave's class design), a copy
has to be made.
2012-11-14 12:32:01 +01:00
52ebca922b
Updated copyright.
2012-11-14 12:32:01 +01:00
05cfedfd51
Added comment.
2012-11-14 12:32:01 +01:00
50a2f94197
Updated copyright
2012-11-14 12:32:01 +01:00
c1616872a4
Removed useless path informations in (dynSeries) horzcat overloaded method.
2012-11-14 12:32:00 +01:00
d92a7775b9
Removed debug info in first unitary test of dynSeries constructor.
2012-11-14 12:32:00 +01:00
bc1276a218
Removed useless path information in unitary test (dynSeries constructor).
2012-11-14 12:32:00 +01:00
b8803c149e
Added unitary test for dynSeries class.
2012-11-14 12:32:00 +01:00
ddddb5ad0f
console => nodisplay (Completes ticket #282 )
2012-11-12 16:48:44 +01:00
4604148d2f
Put back pruning in particle filter (implemented in sequential_importance_particle_filter).
2012-11-07 15:58:56 +01:00
c7bd05224f
Fixed issue with weights when computing first and second order moments.
2012-11-07 10:48:05 +01:00
a9d3ecb0ed
Added comments.
2012-11-07 10:13:11 +01:00
2e59409df4
corrected bug introduced in recent commit 48e00c5789
2012-11-01 09:26:05 +01:00
ea504638fc
fixing bug for local approximation of models with variables appearing
...
only as forward looking (I believe that such models can't be solved,
but it is a different issue).
2012-10-31 17:56:42 +01:00
0ab230b474
Fix copyright notices
2012-10-31 17:03:49 +01:00
a23b497a49
bug fix: none instead of pdf to graph_format
2012-10-31 16:16:45 +01:00
48e00c5789
corrected and clarified error messages when steady state computation fails
2012-10-31 11:09:25 +01:00
6c7501d906
move console setting to global_initialization.m
2012-10-30 14:10:54 +01:00
fc7ea133d9
force console mode when matlab started with -nojvm or -nodisplay flags or octave started with --no-window-system flag (ticket 283)
2012-10-30 13:50:51 +01:00
34db22c3bc
ms-sbvar: made option final_year optional is using the entire sample
2012-10-24 14:05:54 +02:00
74c300939a
making sure that dsge_likelihood.m always returns a value in fval
2012-10-24 10:02:17 +02:00
b326636d0b
sbvar: replaced warning about sample size different from available
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data by error if available data are shorter than declared sample
2012-10-23 14:33:02 +02:00
d5f29e0b89
sbvar: made option final_year optional is using the entire sample
2012-10-23 14:33:01 +02:00
bb6d3f539e
fixing bug in writing variance decomposition files
2012-10-21 10:14:38 +02:00
7922366f71
fix bug in setting oo_.dr.state_var. This bug could generate wrong row
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labels in Policy and Transition Functions.
2012-10-14 22:54:49 +02:00
4c18bfea47
allow for missing column headings in XLS(X) data file. Such a column
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can't be used for data, but it happens that dates for example don't
have a column headings
2012-10-14 22:50:50 +02:00
c2c88600a1
More explicit error message when no estimated_params and no smoother
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Closes : #222
2012-10-08 14:42:09 +02:00
cc26a1d806
Add comment for the use case when there is no estimated_params
2012-10-08 14:32:22 +02:00
2f9e34c5e5
Various fixes related to data-loading
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- fix support for filenames with extension (.m, .mat, .xls), since the manual
and the bison grammar both support it
- fix support for XLS files under Octave
- add support for XLSX files
- run test for loading XLS files
2012-10-08 13:00:55 +02:00
c88a8aaaa6
changed warnings into errors when load_mh_file or recovery is used and
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there is no metropolis history file
2012-10-08 11:50:48 +02:00
c722f53955
fixed bug with options mode_compute=0,mode_file=....
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added tests for mode_compute=4 and mode_compute=6. They increase computing time of the
test suite by about 30 minutes.
2012-10-06 16:51:42 +02:00
Marco Ratto
Stéphane Adjemian (Charybdis)
Frédéric Karamé
Michel Juillard
Sébastien Villemot
Houtan Bastani
Michel Juillard