0053e7018f
special characters fixed again.
2017-03-17 12:41:59 +01:00
ddd25fb817
Improve documentation of shock decomposition commands
2017-03-17 12:41:59 +01:00
06176caf64
manual updates
2017-03-17 12:41:59 +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
5b73d7d59c
Added new optimization routine (particleswarm).
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Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
e88739a5ea
doc: add preprocessor copyright info
2017-02-01 18:16:51 +01:00
25e9a81b71
doc: update for preprocessor
2017-02-01 18:06:44 +01:00
3776b910a1
preprocessor: remove introduction to C++ programming
2017-01-31 17:11:28 +01:00
f1d607af99
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
a6e74ac7af
doc: update manual copyright date
2017-01-23 14:24:30 -05:00
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
562b8f7a5c
Merge pull request #1139 from JohannesPfeifer/Ramsey_documentation
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Correct manual on Ramsey
2017-01-08 20:03:59 +01:00
1554f15a65
- rephrased description of objective function value when Lagrange multipliers are
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set to 0
- type correction
2017-01-08 17:16:41 +01:00
420fb3896b
Merge pull request #1361 from JohannesPfeifer/endogenous_prior_restrictions
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Document irf_calibration and moment_calibration in the context of est…
2017-01-05 09:08:52 +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
90982d5fa0
Merge pull request #1357 from rattoma/parallel
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Provisions for new node option NumberOfThreadsPerJob. Document option
2017-01-04 23:29:24 +01:00
95ac8536ba
doc: update menue for compiler installation
2016-12-28 11:10:02 +01:00
ca6cd152f2
Document that ramsey_policy now takes multipliers in the variable list.
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Related to #1355
2016-12-27 14:36:51 +01:00
91abae9ce0
Document graph option
2016-12-26 13:10:45 +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
c7290a5f03
Document irf_calibration and moment_calibration in the context of estimation
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Also adds unit test. Closes #1318
2016-12-23 12:11:10 +01:00
5e010f57c0
Document different treatment of mh_recover and load_mh_file under Octave
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Also adjusts unit tests accordingly. Closes #1332
2016-12-23 10:47:58 +01:00
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +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
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
de7d239f7c
preprocessor: parallel: change default for singleCompThread. #1349
2016-12-13 11:12:04 +01:00
f1b4d63045
doc: fix endval typo and add @math{} markup
2016-12-08 10:54:03 +01:00
d491b8c1ef
Minor modification of 26baff91c.
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An exogenous variable appearing in t+1 (as productivity in the expected
return of capital in the Euler equation) is not a forward variable.
2016-12-08 08:53:55 +01:00
da113029aa
Correct initval, endval, and histval documentation
2016-12-08 08:53:55 +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
392829ef40
doc: fix typo
2016-11-24 15:19:50 +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
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +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
a4fc0cb1a6
Fixed typo.
2016-11-03 17:22:44 +01:00
f303378f54
Added warnings about the BVAR identification scheme.
2016-11-03 17:22:44 +01:00
9900c05560
Added missing command in list of BVAR commands.
2016-11-03 17:22:44 +01:00
fac3348dfe
Add information on bvar_irf to bvar-a-la-sims.tex
2016-11-03 17:22:44 +01:00
ef2ee9d2b0
Fix typo in manual
2016-11-03 17:22:44 +01:00
d75651a8c7
Correct non-unique nodes in manual that breaks compilation
2016-10-15 11:01:00 +02:00
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
fe9d024d9f
Manual: add that if several files differ only by the extension, the filaname must include the extension and be written between quotes
2016-10-09 22:28:29 +02:00
209f1b4a7c
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
2fe73fafdc
Implement and document keep_kalman_algo_if_singularity_is_detected option
2016-10-02 12:56:28 +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
245359a7df
doc: remove last reference to java package for octave
2016-09-27 16:03:45 +02:00
8edea5edb0
octave only supports .xlsx Excel extension (no longer supports .xls extension). #1293
2016-09-27 16:00:34 +02:00
3ace574d72
doc: fix typo
2016-09-16 14:57:35 +02:00
804d31e8af
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
e31f0a8d0f
macroprocessor: stop with error when division by zero is encountered. closes #1278
2016-09-05 17:36:40 +02:00
76e2112df9
Improve manual on lmmcp
2016-08-23 17:28:41 +02:00
2751ab08bb
Provide interface to original PATH files and document how to obtain them
2016-08-23 17:28:41 +02:00
dd22b9609e
Add function generate_trace_plots.m that plots trace plots for all estimated parameters
2016-08-23 17:22:41 +02:00
8341ac33f8
Document treatment of measurement error in forecasts
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Also removes wrong info on HPDTotalsup/inf
2016-08-23 17:22:41 +02:00
ab35020e97
Merge pull request #1224 from JohannesPfeifer/ms_doc
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Document options of MS code after interface change
2016-08-23 16:57:06 +02:00
75e52ed71d
Make sure fast_kalman_filter is only used with diffuse_periods=0
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Closes #1234
2016-08-22 19:24:35 +02:00
818befd4eb
Document mh_init_scale
2016-08-22 16:27:32 +02:00
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +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
d27bbe667f
Merge pull request #1230 from JohannesPfeifer/load_mh_file
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Save chain's proposal density and make load_mh_file and mh_recover load it
2016-08-21 16:12:12 +02:00
cc5cafdd15
Merge pull request #1254 from JohannesPfeifer/log_density_save
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Save log_density at the mode and document oo_.posterior-fields
2016-08-21 11:13:19 +02:00
688c812267
Merge pull request #1233 from JohannesPfeifer/doc_additions
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Additional documentation for OSR and onlyclearglobals
2016-08-20 17:46:44 +02:00
5c69c789f6
Merge pull request #1261 from JohannesPfeifer/bvar
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BVAR: Save prior and posterior information in oo_
2016-08-20 17:39:34 +02:00
e6a5b8f9b8
doc: clarify that latex code passed to reports must be valid
2016-08-17 14:42:02 +02:00
850411a990
doc: clarify graphLineName option to addSeries
2016-08-17 14:39:15 +02:00
c156a5907c
BVAR: Save prior and posterior information in oo_
2016-08-01 10:41:04 +02:00
8dadd1519e
Restore backward compatibility of OSR command with maxit and tolf options
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Translates these options into optim_opt structure
2016-07-22 16:53:19 +02:00
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
08e63f1812
Document tolf and tolx options for perfect foresight and steady
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Related to #1249
2016-07-21 09:40:35 +02:00
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
7621ebb5ea
Harmonize spelling and function arguments of collect_latex_files.m
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All lower caps and no inputs
2016-07-01 19:09:29 +02:00
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +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
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
00dcc1b543
Clarify Dynare behavior of using clear all for Octave and Matlab
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Closes #1232
2016-06-16 20:50:11 +02:00
20ae7069cf
Document new OSR fields of M_
2016-06-16 20:49:02 +02:00
1c84ccdc34
Save trend and constant for all variables in smoother
2016-06-16 12:05:38 +02:00
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
64d01a806e
Fixed behaviour of write_latex_prior_table command
2016-06-16 10:38:40 +02:00
b70fe62503
Minor change in user reference manual.
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The write_latex_prior_table has not to follow the estimation command but
the estimated_params block.
2016-06-15 17:15:53 +02:00
e94a698a9b
Implement write_latex_prior_table.m
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Fixes and replaces write_table_prior.m and uses consistent name. Also includes documentation
2016-06-15 16:47:39 +02:00
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
1084a2d452
Document new behavior of mh_recover and mh_replic
2016-06-14 15:18:05 +02:00
d02f8d0377
Allow for text-command in math environment by using amsmath package in collect_LaTeX_Files.m
2016-06-14 11:52:49 +02:00
954b0fe987
Document options of MS code after interface change
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Closes #879
2016-06-12 13:07:05 +02:00
fe9ef566a6
Fix duplicate texinfo anchor introduced in previous commit.
2016-06-02 14:01:14 +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
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
14c4a5c131
Fix copy and paste mistake in manual
2016-05-30 17:20:26 +02:00
cd128cb563
Document configuration file setting for Windows
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Closes #337
2016-05-30 13:58:38 +02:00
b58c8274dd
Manual: clarify that name tags are not required for all equations for display of residuals with tags
2016-05-28 19:34:07 +02:00
f5fd699149
Update documentation on equation tags and LMMCP
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Also documents solve_algo=10
2016-05-28 18:02:57 +02:00
06ed7ad83f
Update manual on slice mode_files option to reflect 3e8dbcfc7e
2016-05-28 15:45:39 +02:00
96ca17623b
Fix URL fir equation tags
2016-05-28 15:25:03 +02:00
635d5b704b
Added description of options lmmcp and stack_solve_algo==7 in reference manual.
2016-05-24 17:28:24 +02:00
97d094b6dd
Added mention to equation tags in Ref. manual.
2016-05-24 17:26:06 +02:00
03563e012b
Allow for pass OSR parameter bounds to optimizer
2016-05-22 11:41:54 +02:00
010787ba8d
Document inefficiency factor computation
2016-05-19 16:33:06 +02:00
048fbcc698
Add reference for slice sampler
2016-05-19 15:38:43 +02:00
ddaada1a16
Cosmetic changes to manual
2016-05-19 15:12:21 +02:00
6241a834e1
Document recent posterior sampler interface changes
2016-05-19 15:02:58 +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
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
85e3ddd2d4
build system: modify package creation for OS X. Min requirements OS X 10.8+ and 64-bit Matlab
2016-05-13 15:52:49 +02:00
024586fbb1
preprocessor: add option no_2nd_order_params_derivs. #1187
2016-05-12 14:40:28 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
98b53553c6
update doc for shocks_decomposition
2016-04-15 09:02:53 +02:00
a8cc21eb97
Merge pull request #1163 from JohannesPfeifer/Smoother_fixes
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Various fixes and documentation improvements related to smoother, trends and selected_variables_only option
2016-04-12 14:22:19 +02:00
aa1a0b5e25
Merge pull request #1052 from JohannesPfeifer/lin_solve_robust
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Integrate robust linear solver for stack_solve_algo=0
2016-04-12 12:06:22 +02:00
1bf684442c
Fix typos in manual
2016-04-12 11:04:49 +02:00
e086e0fb2d
Add documentation on oo_.Smoother subfields
2016-04-12 10:52:41 +02:00
8b21443284
Document oo_.Smoother.Variance
2016-04-12 10:52:06 +02:00
1def8a409b
Merge pull request #1158 from JohannesPfeifer/higher_moments
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Save skewness and kurtosis when simulated moments are requested
2016-04-12 10:46:40 +02:00
80d3db5447
Clarify manual on conditional_forecasts with trends
2016-04-09 09:45:21 +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
358ba0181c
Save skewness and kurtosis when simulated moments are requested
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Closes #1157
2016-04-06 09:23:54 +02:00
00b605c084
Correct and clarify manual on shock_decomposition command
2016-04-02 17:36:53 +02:00
62bdb510ab
Clarify documentation on oo_.FilteredVariablesShockDecomposition
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(cherry picked from commit b68304e1e8bda36269e87cc500b59ad7bc556d09)
2016-03-30 17:10:53 +02:00
ddb8e8f6e1
Clarify selected_variables_only option behavior
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(cherry picked from commit dcdd1e7f7a324cc8de653bf56e43091b546883a0)
2016-03-30 17:10:37 +02:00
bdb5068235
Added documentation for prior command (CLI).
2016-03-29 17:15:52 +02:00
a40214ae8d
Document calib_smoother options.
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Closes #1146
2016-03-29 15:08:00 +02:00
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
fd850ca5bd
Merge branch 'master' into lik_init_5_fixes
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Conflicts:
doc/dynare.texi
tests/Makefile.am
2016-03-24 17:40:27 +01:00
45ed4662ac
Merge pull request #1142 from JohannesPfeifer/spectral_density
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Document spectral_density option of stoch_simul
2016-03-23 14:22:33 +01:00
891b6da31c
Clarify hierarchy of loglinear option's logging of data and prefiltering's demeaning in manual
2016-03-23 10:09:16 +01:00
ecb6cc4cde
Correct manual on Ramsey
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Closes #944
2016-03-22 22:05:38 +01:00
2a323986a5
Document spectral_density option of stoch_simul
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Closes #254
2016-03-22 21:45:36 +01:00
a55f00073b
Manual Merge of branch 'mh_recover' (Johannes)
2016-03-22 18:02:45 +01:00
61e6e80b5a
Allow irf_shocks in DSGE-VAR models.
2016-03-22 16:04:33 +01:00
4ca5c21858
Clarify manual on mh_recover
2016-03-16 20:01:07 +01:00
939ac02bad
fix copyright dates
2016-03-15 12:45:57 +01:00
5a91b601a2
Merge pull request #1134 from JohannesPfeifer/bvar_mdd
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Save marginal data density from BVAR in oo_
2016-03-15 12:39:10 +01:00
6b31363d10
Save marginal data density from BVAR in oo_
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Closes #1090
2016-03-15 11:49:25 +01:00
ff0f360938
doc: clarify/simplify doc for planner_discount
2016-03-11 16:02:01 +01:00
b303819254
doc: even though long_name was removed as an explicit option in c9ca46f228, reintroduce the doc related to it so as not to confuse the issue
2016-02-26 17:00:35 +01:00
c9ca46f228
preprocessor: allow arbitrary partitioning of variables (removes long_name keyword)
2016-02-26 16:47:17 +01:00
8c2e6655f1
preprocessor: introduce new option compute_xrefs, #1125
2016-02-23 13:57:55 +01:00
10b3a57c7f
reporting: submodule update
2016-02-22 11:03:09 +01:00
3dc02055ec
fix quotation marks (thanks Johannes)
2016-01-22 10:39:31 +01:00
55ffad933c
doc: fix typo (thanks Johannes)
2016-01-21 17:36:02 +01:00
9cea813249
Add missing packages to collect_LaTeX_Files.m and manual
2015-12-13 16:57:25 +01:00
Marco Ratto
Stéphane Adjemian (Charybdis)
Houtan Bastani
MichelJuillard
Michel Juillard
Johannes Pfeifer
Sébastien Villemot
Johannes Pfeifer