c65ff9d988
Fix crash with MATLAB 7.1 and 7.2 under Windows
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Closes : #277
2012-09-11 12:32:27 +02:00
2d66c68301
Fix function header
2012-09-11 11:16:40 +02:00
07193b2cfa
fixing bug in computing full_rank for purely backward models
2012-09-11 10:06:38 +02:00
92833d3ceb
In CHECK, use the eigenvalues as computed by the reordered real
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generalized Schur decomposition, rather than the ones computed by
eig()
2012-09-10 14:27:56 +02:00
a22d1d415a
replaced rank() by rcond() in evaluating whether Z22 is full rank in
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checking Blanchard and Kahn conditions with CHECK
2012-09-10 13:26:05 +02:00
205b455ad7
Added the possibility, for each given size of the sample, to restart an arbitrary number of times the estimation when estimating a model with a recursive approach.
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Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
2012-09-06 14:13:29 +02:00
8a0fe91480
Removed annoying warning messages.
2012-09-06 12:22:32 +02:00
43e2c9ecef
Added a routine to test if a file exist.
2012-09-06 12:21:28 +02:00
19c46dba55
Improved recursive estimation. Run the estimation using previous results (saved in <M_.fname>_mode.mat).
2012-09-06 11:14:48 +02:00
6beb4e3f8f
small bug fix
2012-08-30 14:59:32 +02:00
e8f159f66b
fixing bugs in previous commit
2012-08-30 12:44:46 +02:00
1bac2d34c3
adding a trap to catch the case where the random generator of the
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master is not available on the slave
2012-08-30 12:24:05 +02:00
f77b101d7b
fixing bugs in random generator handling code
2012-08-29 22:12:50 +02:00
378413ed14
fixing typo in previous commit
2012-08-29 21:02:33 +02:00
dbdbfdd926
adding set_dynare_random_generator_state() and
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get_dynare_random_generator_state(). Use now different seeds for
different Metropolis chains. Fixed handling of random generator state
thourghout the code.
2012-08-29 17:58:54 +02:00
d9f3ab5be8
Partially revert commit #69efc894c6dc9ac1250bd7450bd57443f088c242. Test for Octave/Matlab to decide how to call the print command. Added a warning stating that Octave cannot create pdf files.
2012-08-29 16:50:08 +02:00
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
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objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
2012-08-28 12:17:07 +02:00
526d6ca76c
removing unused function
2012-08-28 11:55:16 +02:00
e519b04713
bug fix: when nograph=1, SmoothedShocks were not saved.
2012-08-27 17:45:47 +02:00
1193cab7c8
Make the function compatible with multiple file formats.
2012-08-27 16:37:14 +02:00
0508bf9a41
Added missing default options for stochastic simulation of nonlinear backward looking models.
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(cherry picked from commit 4053f664ecec14ffb7269c6bbf78355ca46b6b92)
2012-08-27 12:53:11 +02:00
a7ba2b51e7
Trap error when the model does not solve for point estimation (prior mean-mode posterior mean-mode)
2012-08-24 17:09:13 +02:00
9edce5414f
bug fix for octave.
2012-08-24 16:40:24 +02:00
fda047e19c
updated penalty has to be properly passed to the objective function.
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This relates should fix behaviour after commit 6b3bd9dd0b
2012-08-24 16:39:04 +02:00
fe98a0875d
Added the possibility to save the plots generated by the shock_decomposition command.
2012-08-24 15:03:35 +02:00
150256268f
Fixed mixed indices (j was used for indexing two nested loops).
2012-08-24 15:00:21 +02:00
69efc894c6
Fixed bug. Removed extension declaration for Encapsulated PostScript graphics file format.
2012-08-24 14:56:44 +02:00
b89bdb6fd6
Bug fix. Call evaluate_steady_state_routine, otherwise evaluate_smoother crashes if the steady state of the model is specified using the steady state model block (or writing a steadystate2.m routine).
2012-08-24 12:51:44 +02:00
56914e3d4c
Require at least Octave 3.4 (linsolve does not compile against 3.2)
2012-08-23 16:40:00 +02:00
6b91301365
Reduce memory requirements for analytic Hessian.
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Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
2012-08-21 16:00:55 +02:00
b02303cf69
Force analytic_derivation = 1;
2012-08-21 15:53:02 +02:00
b1dd7a5137
Allow quicker evaluation of likelihood with analytic derivatives.
2012-08-21 15:46:35 +02:00
7683175e8e
Bug fix in terms for outer product gradient with analytic derivatives
2012-08-21 15:45:25 +02:00
9fd8bf954e
bug fix in formula for analytic Hessian.
2012-08-15 14:19:34 +02:00
f7aae77f16
removed useless elements + reduce loops for efficiency
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(cherry picked from commit f2271264994af253ccdc7f01478320e4d2c2c0e7)
2012-08-13 13:04:34 +02:00
3ddafb164b
-) Added missing terms for analytic Hessian when steady state depends on estimated params;
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-) bug fixes;
(cherry picked from commit c84f70f6630f4988716dcb4ea59315180bbb36e7)
2012-08-13 13:04:07 +02:00
70e162c736
removed globals from solve1.m
2012-08-06 23:32:40 +02:00
db62e3d7a0
issquare exists under Octave and returns the matrix dim if it is square
2012-08-06 18:26:16 +02:00
2e65a9ab96
Provide a better implementation of linsolve for Octave
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Closes : #273
2012-08-06 18:26:16 +02:00
a400305f20
updating list of info codes returned by dynare_resolve() in DsgeVarLikelihood
2012-08-06 12:02:35 +02:00
2e9ae5df28
dealing with info == 8 (Nan in Jacobian) during estimation
2012-08-06 12:00:03 +02:00
336fc56518
Merge remote-tracking branch 'jpfeifer/master'
2012-08-06 11:44:15 +02:00
7e221e5d31
factoring setting of bayestop_.penalty = Inf in Metropolis
2012-08-05 15:27:14 +02:00
7959102d43
removed global and varargin in Metropolis routines
2012-08-05 15:10:21 +02:00
1a968d5f22
Added check for NaN in Jacobian to stochastic_solvers and added explicit error message to print_info.m
2012-08-05 13:09:24 +02:00
b1ad31cf56
removed seeding random generators from clock in cmaes and metropolis hastings
2012-08-05 10:59:59 +02:00
6b3bd9dd0b
penalty is now passed as a field of bayestopt_ (or BayesInfo)
2012-08-02 22:23:29 +02:00
47353a276b
bug fix: the anlytic hessian was wrong with estimated stderr.
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Manual cherry pick from Commit: 36853cb7615de41ca61ed92decf8bbe81ab40cba
2012-08-02 14:57:20 +02:00
fe8ae2c565
adding doc *.m file for k_order_perturbation MEX
2012-08-02 11:25:52 +02:00
9e6c58572e
fixing bug in pruning at order=3
2012-08-02 10:09:44 +02:00
2244af9c62
adding pruning option for 3rd order
2012-07-31 21:50:59 +02:00
488de200cf
Merge remote-tracking branch 'jpfeifer/master'
2012-07-30 15:50:30 +02:00
87b78f657b
dynatable: fixed bug when table contains Inf or NaN
2012-07-25 17:52:00 +02:00
24e1c49928
simulations: draw random shocks so that, given a seed, the sequence is the same, independently of the number of periods
2012-07-25 15:00:57 +02:00
d32e076b77
adding missing function linsolve for Octave (inefficient and minimal implementation
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for current needs)
2012-07-22 22:18:32 +02:00
e7a8261b17
first order and cycle reduction: fixing bugs in previous commits
2012-07-22 19:54:12 +02:00
ba1f5eedc2
first order solver:
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-pass along errors returned by cycle reduction algorithms;
-logarithmic reduction fails on error
-replace expensive and random condest() by call to linsolve()
-uses linsolve() to compute hx
2012-07-22 12:56:51 +02:00
2c450c79f8
cycle reduction: return error codes for over- and under-determined
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dynamic systems
2012-07-22 12:51:55 +02:00
edf826f315
added code to optionally run cycle_reduction algorithm on GPU. Added
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options_.gpu (no interface yet, use options_.gpu=1). Added test
./tests/first_order/fs2000_cr.mod
2012-07-20 17:06:12 +02:00
8d33a434e5
fixing bugs in dyn_first_order_solver()
2012-07-19 18:57:56 +02:00
d39bbdaa85
forcing reinitialization of persistent variables of
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dyn_first_order_solver.m in global_initialization.m This is necessary
if noclearall option is used.
2012-07-19 17:08:42 +02:00
b10b2160ed
Made error message if initial parameter values are outside prior bounds more explicit.
2012-07-19 12:30:41 +02:00
fcc262db7a
fixing bugs introduced in 1b3aa73c04
2012-07-17 10:07:09 +02:00
36cce4e629
Merge remote-tracking branch 'ratto/master'
2012-07-16 17:24:00 +02:00
5bda6afad0
adding missing semi-colon
2012-07-16 16:05:08 +02:00
1b3aa73c04
adapted dyn_first_order_solver.m for models without lagged variables
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and singular coefficient matrix for current variables
2012-07-16 15:52:36 +02:00
80a9ac90f0
Fixed random bug of MC identification test, occurring when there is no solution at the very first iteration of the MC loop.
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(cherry picked from commit 906bf8e02feb8370153bc6407bf95d2592be3cc2)
2012-07-15 22:21:10 +02:00
1732db842f
fixing bug in evaluating rank condition for BK when using check (introduced in commit 4d51f38bd2)
2012-07-14 21:07:05 +02:00
37f5ac850b
Fixed bug (karaba:/var/tmp/dynare-master-check-WMwywKtbcz.log). dr.state_var is not defined in all cases...
2012-07-13 10:30:09 +02:00
54aff15b6a
Added a new routine to solve quadratic matrix equation (based on a Newton algorithm with line search).
2012-07-12 14:43:21 +02:00
91499d7961
Added a routine to test if an array is a square matrix.
2012-07-12 14:43:21 +02:00
4d183aa920
Fixed bug fix introduced in git#6d6e337f5bec0d9728746ce60f7fb09d12042adb.
2012-07-12 09:23:06 +02:00
6d6e337f5b
Fixed bug (reported in karaba:/var/tmp/dynare-master-check-o0FCvBRHnf.log). dr.state_var was defined in the wrong place.
2012-07-12 09:18:04 +02:00
c850f03be3
Added the possibility to use the logarithmic reduction algorithm (mainly for testing purpose).
2012-07-11 18:26:22 +02:00
4d51f38bd2
Added the possibility to use the cyclic reduction algorithm without the block option.
2012-07-11 18:26:22 +02:00
b02c83a926
Added unitary test.
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Comparison of the solutions returned by the cyclic reduction and logarithmic reduction algorithm. Note
that in the case considered here the logarithmic reduction algorithm is faster.
2012-07-11 18:26:22 +02:00
56339bb3cf
Added logarithmic reduction algorithm to solve quadratic matrix equation.
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This algorithm is a slower alternative to the cyclic reduction algorithm (useful for testing purpose).
2012-07-11 18:26:22 +02:00
47e543409c
Added texinfo header.
2012-07-11 18:26:22 +02:00
a86a904823
Cosmetic changes.
2012-07-11 18:26:22 +02:00
b4c60eeebf
Efficiency changes.
2012-07-11 18:26:22 +02:00
877cc55e78
Fixed bug.
2012-07-11 18:26:22 +02:00
38b493dacc
Changed copyright date.
2012-07-11 18:26:22 +02:00
3414d4d468
Fix crash in estimation introduced in 1fb89a07
2012-07-06 09:50:30 +02:00
40e1e60fd1
1) changed options of optimizer n. 1 with analytic derivs;
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2) force no analytic derivative with mode_check;
2012-07-05 10:22:36 +02:00
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
379972d715
Removed prior_penalty in dsge_likelihood.
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If options_.prior_trunc is set to zero (the default is strictly positive) then prior_correction is infinite because the prior density is zero (this is not true for the uniform prior)... This does not help the optimizer. Even if we do not fall in this case (because options_.prior_trunc>0 or becuase only uniform priors are used for the bounded parameters) the meaning of this correction is unclear.
2012-07-04 13:04:49 +02:00
a05b9d6a8a
Removed globals from simult.
2012-07-03 11:29:18 +02:00
1fb89a07e9
Removed global from set_state_space.
2012-07-03 11:29:18 +02:00
fcd016dc25
Removed global from check_model routine.
2012-07-03 11:29:18 +02:00
99c35e22f1
- Added trap to avoid infinite loops when type is not 'prior';
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- Recover value of nosaddle from _core routine (bug fix when type is 'prior');
2012-07-02 10:55:02 +02:00
4cba20f231
Fixed bug in parallel_test
2012-07-02 10:15:38 +02:00
307d5d5d6a
Initializes the s variable
2012-07-01 15:19:36 +02:00
4488357f59
Adds the cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients
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associated to the endogenous variables in the decision rule.
2012-07-01 15:19:10 +02:00
bd9af2fa5a
Fixed bug reported by Rob Luginbuhl in dynare forum
2012-06-29 00:50:54 +02:00
a74f7c0285
Reduce the number of plots produced by default with rmse filtering and redform filtering
2012-06-29 00:48:24 +02:00
2510454bd1
Add missing figures when filtering is applied
2012-06-29 00:36:22 +02:00
3307b4b70e
Use Sobol sequence with seed = 1 (to avoid [0 0 0 0 0 ... ] point )
2012-06-29 00:36:02 +02:00
d44ca7296e
Merge remote-tracking branch 'ratto/master'
2012-06-22 10:57:25 +02:00
a6648b59ed
function evaluater_steady_state_file returns full size steady state
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vector (including auxiliary variables) even in case of error flag in
evaluating steady state
2012-06-21 18:16:49 +02:00
cb2526ba52
Fixed bug introduced in commit a070f5cb26.
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The name npar was already used for the subsample loop.
To keep notation more in line with dynare options_ the old npar is renamed to B.
2012-06-21 17:13:00 +02:00
a7bddead43
Merge remote-tracking branch 'ratto/master'
2012-06-20 09:42:43 +02:00
2fa433f18e
fixing bug for estimation of models with measurement errors and
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missing observations
2012-06-19 16:35:44 +02:00
0e1f60b29f
This should fix the bug originating random crash of sensitivity test routine
2012-06-19 15:33:41 +02:00
a5abdb3ce2
Fixed use of old figure syntax to dyn_figure
2012-06-19 15:32:42 +02:00
540fb1be48
fixing bug in discretionary_policy and implementing option solve_maxit
2012-06-19 14:08:45 +02:00
1eef328de0
correcting bug in welfare computation when using ramsey_policy and
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histval
2012-06-18 20:29:35 +02:00
9c5bbd5c09
Added a routine to simulate a backward looking stochastic model with arbitrary precision (needed for PEA).
2012-06-18 14:59:52 +02:00
a18b071770
Fixed shocks decomposition bug.
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(cherry picked from commit 68e7a310eda20f8f7611521ac45608a6941b31cc)
2012-06-18 14:55:36 +02:00
328cc78d76
ms-sbvar: check for existence of mex file in dynare_config
2012-06-15 16:37:04 +02:00
9187e8ad4d
Typos
2012-06-15 15:09:39 +02:00
98c809c54e
Further on nograph: moved printed output when advanced=1 from plot_identification to disp_identification.
2012-06-15 13:45:26 +02:00
fd24b93667
fixes around options nograph and nodisplay
2012-06-15 13:07:26 +02:00
0494b92ed3
Proper handling of nograph option in gsa routines. Accordingly some more printed output on command window is allowed.
2012-06-15 12:29:22 +02:00
65cfa00e55
bug fix: lots of new empty figures were generated
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(cherry picked from commit 335db3d8dabb3a429dbe85a8d0a2ba3c6d447991)
2012-06-14 18:55:06 +02:00
abad13d020
Kill estimation if the likelihood is complex or NaN.
2012-06-14 15:32:15 +02:00
1763855225
Consider the effective number of structural innovations in initial_estimation_checks routine. Some of the declared structural innovations may have been calibrated with a zero variance.
2012-06-14 15:32:15 +02:00
b907e82e7b
Removed NaNs in M_.Correlation_matrix if they are the consequence of variances (of structural innovations) calibrated to zero.
2012-06-14 15:32:14 +02:00
a5d84a90c3
fixing bug in initialization of bayestopt_.name
2012-06-14 13:04:51 +02:00
8f4fb2f16f
fixed welfare evaluation for arbirtrary value of the state
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variables. The preprocessor still needs to be modified to allow
arbitrary initial value of the Lagrange multipliers
2012-06-13 21:00:38 +02:00
9f161ff339
fixing lower bound for priors on correlation coefficients
2012-06-13 15:55:01 +02:00
3ff832ddcc
added test for too large standard deviation in beta distribution;
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cleaned up error messages related to priors; set error trap for
initilial likelihood Nan or complex
2012-06-13 15:47:01 +02:00
a39a0b3b67
fixed bug when only variances are estimated, but no deep parameter
2012-06-13 14:08:58 +02:00
661531ebff
Remove MATLAB short-circuit operators
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They trigger warnings under Octave
2012-06-13 11:09:57 +02:00
8fe2eb23b9
New option simul_replic in preprocessor and documentation
2012-06-11 11:53:55 +02:00
01bb8c3e18
Merge remote-tracking branch 'ratto/master'
2012-06-11 10:46:32 +02:00
2a8436aa44
Extends the block Kalman filter to the missing observations case (not called for the moment)
2012-06-11 10:39:25 +02:00
8bf31f9675
Corrects a bug in model_info
2012-06-11 10:32:44 +02:00
d006bd2aaf
Made replic option specific to stochastic simulations (options_.simul_replic).
2012-06-11 09:41:59 +02:00
2aaa88caa7
Merge from the latest gsa routines for 4.2.5.
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1) options_gsa passed as function argument
2) use pvalues always to trigger Smirnov plots and correlation plots;
3) eliminated density plots in rmse analysis;
4) updated tex documentation
2012-06-11 01:33:01 +02:00
02efbd31a8
Convert files to Unix EOL
2012-06-08 19:10:19 +02:00
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
bf88b6e93d
LIKK needs to be initialized when analytic derivation =0.
2012-06-08 17:06:59 +02:00
08b9d1c8b3
fix function name
2012-06-08 16:25:22 +02:00
b8661d56ad
add parens to function names
2012-06-08 16:16:13 +02:00
47808a0eb7
place AIM function calls at top of file
2012-06-08 16:16:12 +02:00
6b908a38eb
when identification=1, the only morris options allowed remain
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morris 1 or 2.
2012-06-08 15:27:41 +02:00
69d015a777
Asymptotic Hessian now works also for univariate stationary KF.
2012-06-08 15:26:14 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
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2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
45bc5c2459
Removed duplicate of the same function.
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Fixed call removing globals.
global options_ still needed
2012-06-08 14:03:40 +02:00
c26a211827
analytic_derivation and loglinear are incompatible
2012-06-08 11:33:33 +02:00
2de336c94c
fixed bug in analytic derivatives of normal pdf for vector inputs.
2012-06-08 08:50:48 +02:00
7f9d2968d9
fixed bug introduced in previous commit: offset needs to be computed for analytic derivatives.
2012-06-08 08:50:07 +02:00
907544bc1a
big fix with strcmp
2012-06-07 21:54:55 +02:00
6cc3be7252
Octave can create PDF files
2012-06-07 18:29:00 +02:00
bfa168bd24
Fix name clash with deprecated function name
2012-06-07 15:33:43 +02:00
06ca265272
Complete the bug fix for the calibrated correlations in the structural and measurement covariance matrices.
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Call set_all_parameters routine in dsge_likelihood. Note that
correlations between innovations are not allowed in dsge-var models.
2012-06-07 15:13:39 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
e12748329b
Fixed bug reported by Johannes ( http://www.dynare.org/pipermail/dev/2012-May/002015.html ), see also trac#257.
2012-06-06 18:25:08 +02:00
fac9528014
Do not compute smoothed variables or forecasts if the model is
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estimated with a particle filter (the non linear smoother is not yet
implemented).
2012-06-06 18:25:08 +02:00
ef1146f5a3
Fixed bug trac#202. Define the sigma_e_is_diagonal flag when no shocks block is declared in the mod file.
2012-06-06 18:25:08 +02:00
a341a4f8a3
Fixed bug in steady state check (issue with mean preserving spread corrections).
2012-06-06 18:25:07 +02:00
3cbd702b3e
Fixed bugs (initialization of the Kalman filter with the fixed point of the Riccatti equation).
2012-06-06 18:25:07 +02:00
0caaeddb46
Merge remote-tracking branch 'ferhat/master'
2012-06-06 17:09:27 +02:00
9bea42f411
order=2 in estimation command now triggers particle filter
2012-06-06 17:08:53 +02:00
40fc16e618
Remove MATLAB short-circuit operators
2012-06-06 17:08:53 +02:00
425aabbc41
Fix function name
2012-06-06 17:08:53 +02:00
b72dafcb82
Add options static to model_info command and fixes the ticket #134
2012-06-06 16:36:56 +02:00
a3e1d17b9e
Ramsey_policy is now compatible with bytecode option
2012-06-06 16:29:26 +02:00
e2315e587e
oo_.dr needs also to be updated when bytecode option is used
2012-06-06 16:26:47 +02:00
9a2e4cc6cf
config file: support GlobalInitFile option
2012-06-06 16:18:09 +02:00
bd9aeef1d0
Give the references to Dennis (2007) for discretionary_policy
2012-06-06 12:55:36 +02:00
a50e65fb6c
Rename set_stationary_variables_list to get_variables_list
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This function has nothing to do with stationary variables now that
unit_root_vars has been removed.
Closes : #218
2012-06-06 12:27:46 +02:00
4395259b74
Fix MATLAB compatibility issue
2012-06-05 09:23:30 +02:00
05dca0e3ea
Change the default algorithm for stack_solve_algo = 0
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The old algorithm (LBJ) is now available under stack_stock_algo = 6
2012-06-04 17:23:14 +02:00
5dd9c844b3
Implement determistic simulation of purely backward models
2012-06-04 16:14:01 +02:00
b727aa1b92
Simplify sim1_purely_forward
2012-06-04 16:13:03 +02:00
4b2405a014
New function for deterministic simulation of purely forward models
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Deprecates simk.m which can now be removed
Closes : #143
2012-06-04 15:26:39 +02:00
bda8dd9505
Fix header of sim1a.m
2012-06-04 12:07:30 +02:00
6e555a1539
removed specialized code for solving purely forward models: it is true
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that it is possible to derive the solution function by a simple
inversion, but this doesn't check that all eigenvalues are larger than
one. It is better to use the standard algorithm with QZ decomposition
2012-06-02 14:14:24 +02:00
ec05f302b7
Removing debugging code for extended path. Updating test cases.
2012-06-01 15:01:25 +02:00
dc7c0fa74d
Include prior info in penalty with Bayesian estimation.
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This can improve a bit optimization routines when parameter go beyond prior bounds during line search algorithms or when numerical gradient is computed.
2012-05-31 14:44:16 +02:00
32c6c50d9c
Fixed optimizer = 5 for dsge-vars and all other cases that do not allow computing the outer product of gradient (non-linear optimizers as well).
2012-05-31 14:42:52 +02:00
82e9336346
Fixed call to renamed bfgsi1.m
2012-05-31 14:41:41 +02:00
842f2ea875
fixed bug related to clear priordens;
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(manual cherry pick from 4.2 branch
Commit:a5ab2d0d4f2f0f5da3d79b13b90ac1754b12c2ea)
2012-05-31 14:40:23 +02:00
b55a96556d
Merge remote-tracking branch 'remotes/ratto/master'
2012-05-31 09:55:29 +02:00
7044c8da2b
Add new command "calib_smoother"
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Closes : #233
2012-05-30 16:28:29 +02:00
7991c3937c
Fixed output list of objective function (to cope with new list for analytic derivatives).
2012-05-30 11:26:07 +02:00
a070f5cb26
Fixed initialization of matrices for posterior irfs.
2012-05-30 11:24:35 +02:00
4480f5b494
Fixes around latex output: use of longtable for parameter estimates and various fixes for posterior analysis, also for parallel execution.
2012-05-30 11:22:59 +02:00
5af1effd8f
removed debugging code from nonlinear solver when Jacobian is near
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singular. The treatment of this case still needs to be further improved.
2012-05-30 10:25:10 +02:00
31f6831b09
Improve doc and error handling for shock_decomposition on calibrated model
2012-05-29 16:25:52 +02:00
bef55c1dd1
enhanced model_diagnostics to deal with bytecode and blocks
2012-05-26 20:50:17 +02:00
dc5a952bd9
Merge remote-tracking branch 'jpfeifer/master'
2012-05-21 18:33:25 +02:00
c6fd17bc30
print residuals when steady fails. Printing steady state or residuals
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is controlled by options_.noprint
2012-05-20 21:36:29 +02:00
57861e22d9
resid: print residuals even if a *_steadystate.m file reports an error
2012-05-20 21:35:34 +02:00
d81c2d61a0
fixing homotopy
2012-05-20 14:22:46 +02:00
d064db34ab
Cleaning homotopy1. Removing globals from homotopy3. Now it returns
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last successful values when it fails
2012-05-20 08:47:54 +02:00
1316bd9555
fixed issues relative to homotopy (type I) when the user wants to
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continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
cd0bc28e7c
Fixed bug in getPowerDeriv.m where the nth derivative of 0^n evaluated to 0 instead of n!
2012-05-17 09:10:54 +02:00
61aacd92e8
Fix crash in solver for purely forward models
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Thanks to J. Pfeifer for pointing this
2012-05-15 18:37:17 +02:00
95e938e5fb
Add dummy dr.eigval and dr.rank in case of purely forward model
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This is necessary to avoid an outright crash in check.m
2012-05-15 18:31:53 +02:00
0ef23e5ae3
fixes bug for stochastic backward models. Still, only order==1 is
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currently possible.
2012-05-14 22:10:10 +02:00
c0ffcf7fd8
Fix problem with smoother where original data series was not plotted
2012-05-11 19:58:16 +02:00
6585b8ef17
Take care of cases where steady state file updates some but not all parameters that are NaN.
2012-05-11 18:16:23 +02:00
0402006530
Fixed bug in evaluate_steady_state.m that prevents parameter updating
2012-05-11 09:34:46 +02:00
c15123878f
fixed rare bug in Kalman filter when one should switch to steady state
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filter in last period of the sample
2012-05-10 11:09:06 +02:00
41def7caaa
Added the possibility of a user defined configuration file (only for linux users).
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At the end of global_initialization.m the existence of /home/USER/dynare_configuration.m is tested. In case of a positive answer this script is evaluated.
2012-05-09 15:39:58 +02:00
6103500543
Fixed bug related to the position of the info argument returned by non_linear_dsge_likelihood.
2012-05-04 11:36:27 +02:00
ac2fa68b86
Fixed bug related to the resampling of the particles.
2012-05-04 11:22:17 +02:00
650e67f6b7
fixing but in previous commit
2012-05-01 10:53:23 +02:00
19f939b1cc
when task==1, the function now returns as soon as the eigenvalues have
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been computed. This solves a bug when having used loglinear option
earlier in the *.mod file
2012-05-01 09:49:56 +02:00
d601f173d8
fixing bugs related to recent changes for analytic derivatives
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in estimation
2012-04-30 13:35:36 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
3332a7f794
Get rid of dsge_likelihood_hh.m in mode_compute=5
2012-04-29 21:18:33 +02:00
bb02c4d6df
Bug fix for univariate KF (nobs was not defined, replaced with pp) + provisions fro eliminating dsge_likelihood_hh function;
2012-04-29 21:18:33 +02:00
bef3377a81
Rename line search function as csminwel1
2012-04-29 21:18:33 +02:00
459744649d
bug fixes: output argument name "lik" and check of no more missing obs
2012-04-29 21:18:33 +02:00
bb94a39c85
When nodisplay=1, the figure has to be set visible before saving and closing, otherwise it is saved as not visible and when users try to open it, the saved figure is invisible (ticket 216).
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The process is so quick that the figure is closed before it is made visible on the screen, so complying with nodisplay requirements, keeping thew whole procedure behind the scenes.
2012-04-29 21:18:33 +02:00
8fec04dbf8
corrected but in plot of conditional forecast
2012-04-28 15:11:49 +02:00
4affab31fd
Fixed bugs introduced in 4c255cf2ae
2012-04-27 08:45:22 +02:00
3e5f92a683
Fixed typo and made error message more explicit
2012-04-26 09:01:33 +02:00
c0624738c9
Fixed bug introduced in bda0b1b228
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Created separate field options_.SpectralDensity.trigger to trigger Spectral Density
2012-04-26 08:48:31 +02:00
08894086b0
Revert "Move hardcoded options from UnivariateSpectralDensity.m to global_initialization."
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This reverts commit bda0b1b228
2012-04-26 08:22:15 +02:00
c59504adba
Added missing codes to print_info.m and fixed typo
2012-04-25 12:03:52 +02:00
9adc972945
Fix typo
2012-04-25 12:03:44 +02:00
39e55cad62
Corrected AIM error codes that got lost when moving to stochastic_solvers
2012-04-25 12:03:33 +02:00
bda0b1b228
Move hardcoded options from UnivariateSpectralDensity.m to global_initialization.
2012-04-25 11:49:01 +02:00
4c255cf2ae
Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures.
2012-04-25 11:47:40 +02:00
f7cf75a228
fixed problems with trying to make homotopy robust to problems in one run.
2012-04-23 16:57:46 +02:00
5990a87bbf
removed error messages form dynare_solve_block_or_bytecope and replace
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them with setting info=1. The error messages should be managed by a
calling function
2012-04-23 14:27:18 +02:00
f37f4d4b49
fixing bug in computing steady state of Ramsey policy
2012-04-23 13:39:50 +02:00
7ddab426b5
adding missing function to compute mean and covariance matrix of
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Metropolis sample
2012-04-23 13:36:37 +02:00
8d4834de38
added a comment for test of eigenvalues close to 0/0
2012-04-23 13:22:19 +02:00
408cce93cb
fixing bug related to computation of steady state introduced in commit f8ecc4d6ba
2012-04-22 10:11:29 +02:00
dd5cb335fb
changes to stochastic perfect foresight simulation (still doesn't work
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correctly with ZLB)
2012-04-21 21:41:07 +02:00
d497ba19f7
storing osr objective value in oo_.osr.objective_function
2012-04-21 21:39:06 +02:00
aa22cb56d1
computing shock_decomposition for calibrated models
2012-04-21 21:37:52 +02:00
e692185c6b
storing oo_.prior.mean oo_.prior.variance
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oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
61b4538644
fixing problems in risky steady state
2012-04-21 21:21:45 +02:00
a0ffa6a154
fixing bugs in Ramsey policy
2012-04-21 21:16:57 +02:00
d1120da658
fixing bugs in evaluation of steady state file introduced in last
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related commit
2012-04-21 11:39:21 +02:00
6131e597f3
changed option name discretion_tol -> discretionary_tol, added the option
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to the preprocessor, added to documentation
2012-04-21 10:40:24 +02:00
f8ecc4d6ba
reorganized code for evaluating steady state file
2012-04-21 10:12:00 +02:00
abc60b6037
Test if control toolbox is present if lyapunov=square_root_solver
2012-04-20 21:37:29 +02:00
4e537fcdcc
New function for testing an Octave Forge package
2012-04-20 21:36:49 +02:00
1dfba1b99f
Merge remote-tracking branch 'ferhat/master'
2012-04-20 21:15:09 +02:00
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
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- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
f4e3925860
Rename bfgsi.m to bfgsi1.m to avoid clash with the one provided by Tao Zha
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Closes : #215
2012-04-20 17:25:08 +02:00
edbf3bd175
Remove useless calls to set_default_option
2012-04-20 17:08:11 +02:00
6a23afdd48
RandStream: compatibility fix for MATLAB >= 7.12
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setDefaultStream has been renamed setGlobalStream
getDefaultStream has been renamed getGlobalStream
Closes : #198
2012-04-20 14:42:30 +02:00
ccc3c513fb
Fixed bug (initialization of zero_delta).
2012-04-19 14:17:02 +02:00
6180bc2212
Add TZcode submodule to repository
2012-04-19 12:27:39 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
41e027aee3
added steady option stop_on_error. stop_on_error = 0 permits to
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continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
1014bb038d
made loglinear option available for purely backward and purely forward
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models (for now only with order==1)
2012-04-15 14:06:37 +02:00
2f5d76dc8c
ms-sbvar: set A0, A+, Zeta, and Q based on output_file_tag passed to estimation
2012-04-13 16:12:24 +02:00
b96c35a1a4
ms-sbvar: remove unused code
2012-04-13 15:56:25 +02:00
a44fa426c4
Simplify logic of test since Octave 3.2 is now the minimal requirement
2012-04-04 22:16:39 +02:00
339d88220d
qz() has changed between Octave 3.2 and 3.4
2012-04-04 22:13:34 +02:00
Sébastien Villemot
Michel Juillard
Stéphane Adjemian (Scylla)
Marco Ratto
Johannes Pfeifer
Ferhat Mihoubi
Houtan Bastani
Michel Juillard
Ferhat