Stéphane Adjemian (Charybdis)
1ff816d7bf
Updates particles submodule.
2017-03-15 16:30:29 +01:00
Stéphane Adjemian (Charybdis)
4f3b35acba
Account for Matlab 2017a.
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(cherry picked from commit f3a1619040fbb831830791424015d3d3bf8bdbae)
2017-03-13 23:42:48 +01:00
Houtan Bastani
9f7b084970
Merge branch 'master' into json
2017-03-10 17:20:15 +01:00
Johannes Pfeifer
87fc09863d
Add warning if prior has an asymptote
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Can happen with beta and gamma distribution. Closes #1401
2017-03-10 15:16:33 +01:00
Johannes Pfeifer
56edaf5cb0
Fix check for existence of dname variable
2017-03-07 13:55:29 +01:00
Houtan Bastani
5063020c5d
Merge branch 'master' into json
2017-03-03 14:42:25 +01:00
Houtan Bastani
ed3e74994f
preprocessor: add onlyjson option to allow exit upon writing of JSON output. #1387
2017-02-28 14:34:22 +01:00
Stéphane Adjemian (Charybdis)
927b813ed8
Removed printing of debugging info.
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Introduced in ffebf6b262
.
2017-02-15 13:35:33 +01:00
Stéphane Adjemian (Charybdis)
ffebf6b262
Check positive steady state for loglinear option...
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1e-9 is too far from zero. Set 1e-16 as a threshold value for the positivity test.
2017-02-15 12:41:56 +01:00
Stéphane Adjemian (Charybdis)
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
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An option is available for computing the hessian with the penalized
objective function.
2017-02-08 13:07:25 +00:00
Stéphane Adjemian (Charybdis)
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
Stéphane Adjemian (Charybdis)
35078e13ee
Completed header + cosmetic changes.
2017-02-08 13:07:25 +00:00
Stéphane Adjemian (Charybdis)
8d4abe4a9f
Cosmetic changes.
2017-02-08 13:07:24 +00:00
Stéphane Adjemian (Charybdis)
e71e89bb38
Added check on Octave version.
2017-02-08 13:07:24 +00:00
Houtan Bastani
d05dd34d30
preprocessor: write JSON output. #1387
2017-02-06 17:41:18 +01:00
Stéphane Adjemian (Charybdis)
62c954ff12
Fixes #1287 .
2017-01-25 22:13:36 +01:00
Stéphane Adjemian (Charybdis)
0b1b873160
Updated dseries submodule.
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Fixes remaining Octave failing unit tests.
2017-01-25 09:18:28 +01:00
Johannes Pfeifer
875497bc71
Unit test lpdfgweibull.m: adjust upper integration bound under Octave
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Does not correctly integrate otherwise as more than 99% of support is 0
2017-01-18 11:01:13 +01:00
Johannes Pfeifer
ce4ab7f7d8
Unit test wblinv.m under Octave: adjust tolerance
2017-01-18 10:59:53 +01:00
Houtan Bastani
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
Stéphane Adjemian
ba9af24a67
Merge pull request #1370 from JohannesPfeifer/updated_variables
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Output UpdatedVariables in oo_ without filtered_variables
2017-01-05 11:50:06 +01:00
Stéphane Adjemian
4dfec0d7fb
Merge pull request #1369 from JohannesPfeifer/disp_dr_aux_var
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disp_dr: Add case for aux_vars.type==0
2017-01-05 10:44:44 +01:00
Stéphane Adjemian
77a93d6ff9
Merge pull request #1362 from JohannesPfeifer/MCMC_jumping_covariance
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Moving loading of MCMC_jumping_covariance to after display of standar…
2017-01-05 09:02:59 +01:00
Stéphane Adjemian
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
Stéphane Adjemian
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
Stéphane Adjemian (Lupi)
c893c0620c
Merge branch 'pr#1354'
2017-01-04 15:12:32 +01:00
Johannes Pfeifer
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
Stéphane Adjemian
b946d3c082
Merge pull request #1353 from JohannesPfeifer/Plot_posterior
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PlotPosteriorDistributions.m: remove eval commands and fix typo in "m…
2017-01-04 11:20:06 +01:00
Johannes Pfeifer
e815c2b4db
Output UpdatedVariables in oo_ without filtered_variables
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Makes it consistent with manual and closes #1366
2017-01-04 10:57:00 +01:00
Stéphane Adjemian (Karaba)
515e080f49
Do not compute static residuals if steady state routine failed.
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Avoids cryptic model dependent error message.
2017-01-04 10:26:22 +01:00
Johannes Pfeifer
65c402469c
disp_dr: Add case for aux_vars.type==0
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Closes #1367
2017-01-04 09:14:01 +01:00
Marco Ratto
3c892170ef
Fixed bug with getting CPU number on mac [see #1272 #838 ]
2017-01-03 19:24:18 +01:00
Marco Ratto
ee7611c8ad
added note to commented text, as an alternate option, should bugs/problems be reported with line 60
2017-01-03 19:15:53 +01:00
Johannes Pfeifer
7b4fc9ec4a
Moving loading of MCMC_jumping_covariance to after display of standard errors and computation of Laplace approximation
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Closes #1255
2016-12-27 12:07:22 +01:00
Johannes Pfeifer
d8b0495c77
Make PosteriorIRF.m and pm3.m honor nograph and posterior_nograph option
2016-12-26 13:11:01 +01:00
Johannes Pfeifer
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
Johannes Pfeifer
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
Marco Ratto
4ecf1d9f5d
Workaround to avoid popup figures with nodisplay option saved as fig in MATLAB.
2016-12-20 09:14:48 +01:00
Marco Ratto
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
Johannes Pfeifer
61ee4e123c
Reset selected_variables_only in shock_decomposition.m
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closes #1350
2016-12-18 09:57:51 +01:00
Johannes Pfeifer
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
Johannes Pfeifer
33d0f44c40
model_diagnostics.m: provide warning that check of dynamic model is not supported for block option instead of crashing
2016-12-17 21:28:04 +01:00
Johannes Pfeifer
1a8382adfb
OSR: add error indicator and suppress output if noprint options is specified
2016-12-17 19:30:57 +01:00
Johannes Pfeifer
7254767ccf
Fix bug in osr_obj.m that did not correctly filter out all problems
2016-12-17 19:30:57 +01:00
Johannes Pfeifer
481bb43fd7
PlotPosteriorDistributions.m: remove eval commands and fix typo in "mearsurement_errors"
2016-12-17 18:20:58 +01:00
Johannes Pfeifer
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
Johannes Pfeifer
c03fa143f7
Fix printout of comment in McMCDiagnostics.m
2016-12-17 17:22:05 +01:00
Johannes Pfeifer
d6d517c4c9
Move MCMC diagnostics files to separated folder
2016-12-17 17:22:04 +01:00
Michel Juillard
6fd715a3b8
adding simul_backward and simul_backward_linear
2016-12-05 16:17:14 +01:00
Houtan Bastani
c2d72d2292
fix check of path for octave
2016-12-05 12:28:02 +01:00
Johannes Pfeifer
f5fb81a758
Correct typos in error message and header
2016-12-01 17:49:06 +01:00
Stéphane Adjemian (Charybdis)
95076d5c72
Fixed initial condition of stochastic simulation of backward looking models.
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Do not initialize with the steady state. Use histval if available,
default initialization is 0 (which may be problematic).
2016-12-01 13:32:54 +01:00
Johannes Pfeifer
ca1c6ecc0e
Increase test tolerance under Octave for lpdfgweibull.m
2016-11-24 11:50:21 +01:00
Michel Juillard
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
Michel Juillard
73e0f9d591
made evaluate_steady_state file consistent with evaluation of auxiliary
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variables in <fname>_static.m file
2016-11-20 15:40:08 +01:00
Michel Juillard
e14a215556
put Z back
2016-11-20 11:46:21 +01:00
Michel Juillard
897af97bff
diffuse filter: fixed bug when nonstationary variables aren't observed
2016-11-20 11:08:07 +01:00
Johannes Pfeifer
1a978e42df
Fix bug in missing_DiffuseKalmanSmootherH3_Z.m
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Closes #1339 by properly factorizing computations
2016-11-19 10:07:16 +01:00
Michel Juillard
2f9dc09285
diffuse filter: removed special treatment of static variables
2016-11-18 14:36:24 +01:00
Michel Juillard
383d891e81
updating extended path notes
2016-11-14 16:42:49 +01:00
Johannes Pfeifer
46b44cd481
missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
2016-11-14 11:54:39 +01:00
Houtan Bastani
89e0a84327
fix typo from 98cf1bfc1d
2016-11-14 11:08:02 +01:00
MichelJuillard
80157985c0
Merge pull request #1333 from JohannesPfeifer/octave_unit_test
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Two fixes related to Octave unit test
2016-11-13 19:14:50 +01:00
MichelJuillard
6e93b1ecbf
Merge pull request #1330 from JohannesPfeifer/resol_fix
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resol.m: make sure oo.dr is correctly updated even if function is abo…
2016-11-13 19:14:23 +01:00
MichelJuillard
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
Johannes Pfeifer
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
Houtan Bastani
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
Johannes Pfeifer
fccd164926
Provide lower tolerance to Octave's quadv function as integration otherwise stops prematurely
2016-11-10 17:33:18 +01:00
Marco Ratto
454ac69191
allow spaces in the name of working directories for parallel execution.
2016-11-07 17:19:38 +01:00
Marco Ratto
0a40cdf064
Bud fix for cases where record does not contain proposal covariance.
2016-11-07 17:18:41 +01:00
Johannes Pfeifer
7b03b8aef4
resol.m: make sure oo.dr is correctly updated even if function is aborted prematurely
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ramsey_policy relies on oo_.dr.ys being set in any case
2016-11-07 11:36:06 +01:00
Stéphane Adjemian (Charybdis)
e2da7c6627
Fixed bug (missing initialization of an option).
2016-11-05 00:08:28 +00:00
Johannes Pfeifer
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
Stéphane Adjemian
7733903661
Merge pull request #1329 from JohannesPfeifer/singularity_warning
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Add more information to singularity warning
2016-11-04 15:12:07 +01:00
Stéphane Adjemian
fa8028f79a
Merge pull request #1325 from JohannesPfeifer/dyn_forecast
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Fix bug in dyn_forecast.m that led to crashes when periods-option was…
2016-11-04 15:11:44 +01:00
Johannes Pfeifer
2e79d5ccac
Add more information to singularity warning
2016-11-04 12:28:01 +01:00
Stéphane Adjemian
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
Johannes Pfeifer
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
Johannes Pfeifer
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
Stéphane Adjemian
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
Stéphane Adjemian
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
Stéphane Adjemian
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
Houtan Bastani
a11e355587
Merge pull request #1327 from JohannesPfeifer/line_break
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Add missing line break in stoch_simul.m
2016-11-03 18:04:10 +01:00
Johannes Pfeifer
9543f3b3ae
Add missing line break in stoch_simul.m
2016-11-03 18:02:03 +01:00
Stéphane Adjemian
c9571b794c
Merge pull request #1320 from JohannesPfeifer/var_decomp
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Initialize variance decomposition array to NaN instead of 0
2016-11-03 17:36:22 +01:00
Stéphane Adjemian
c0e5cc6abf
Merge pull request #1313 from JohannesPfeifer/evaluate_steady_state
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evaluate_steady_state.m: make sure ys contains auxiliary variables in…
2016-11-03 15:30:02 +01:00
Johannes Pfeifer
0c3065b39b
Posterior IRFs: only plot HPDIs when sufficient draws were generated
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Otherwise a crash during plotting will happen
2016-10-30 18:31:11 +01:00
Johannes Pfeifer
9bdc0286d6
Fix bug in dyn_forecast.m that led to crashes when periods-option was not specified
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Condition for setting ex did not account for equality of horizon and periods
2016-10-30 10:41:14 +01:00
Houtan Bastani
08617bb740
fix typo
2016-10-28 16:30:43 +02:00
Houtan Bastani
0a2f3f0f10
Merge pull request #1322 from JohannesPfeifer/cosmetic
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Fix typo in comment of dsge_likelihood.m
2016-10-27 17:20:51 +02:00
Johannes Pfeifer
4502369617
Fix typo in comment of dsge_likelihood.m
2016-10-27 17:15:24 +02:00
Houtan Bastani
f38f9b0268
submodule update: dseries
2016-10-26 12:09:26 +02:00
Stéphane Adjemian (Charybdis)
982fc38504
Updated dseries submodule (fixes for method interfaces).
2016-10-25 11:57:15 +02:00
Houtan Bastani
46cdaf8e0a
fiminsearch only has two output args under Octave
2016-10-21 17:40:27 +02:00
Stéphane Adjemian (Charybdis)
28af4678b2
Updated dseries submodule.
2016-10-21 16:13:48 +02:00
Houtan Bastani
d7fc50796c
submodule update: dseries, m-unit-tests
2016-10-21 15:16:14 +02:00
Houtan Bastani
847feb17fa
fix mex compilation commands for Matlab R2016b on macOS. Closes #1288
2016-10-20 14:03:35 +02:00
Johannes Pfeifer
9b8a542661
Initialize variance decomposition array to NaN instead of 0
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Because only stationary variables are updated, prevents non-stationary variables from showing up with 0 instead of NaN
2016-10-18 10:52:57 +02:00
Houtan Bastani
084df40535
fix mex compilation commands for Matlab R2016b on Linux. #1288
2016-10-17 18:40:48 +02:00
Houtan Bastani
fa9bbc231e
submodule update: dseries
2016-10-17 12:58:41 +02:00
Houtan Bastani
09669d2a14
submodule update: dseries
2016-10-17 12:37:28 +02:00
Johannes Pfeifer
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
Johannes Pfeifer
e80c1e5a24
evaluate_steady_state.m: make sure ys contains auxiliary variables in case of problem with dynare_solve
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Otherwise, evaluate_static_model will crash
2016-10-13 10:50:50 +02:00
Stéphane Adjemian
05a906fa8b
Merge pull request #1301 from JohannesPfeifer/recursive_plot
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Use raw_data in forecast plots instead of prefiltered data
2016-10-10 09:44:46 +02:00
Stéphane Adjemian
c41c310cc5
Merge pull request #1310 from JohannesPfeifer/debug_mode
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Make solve_algo=0 less and mode_check potentially more verbose
2016-10-10 09:40:37 +02:00
Johannes Pfeifer
6b82788180
Display reason for mode_check-problems when debugging is enabled
2016-10-09 22:16:26 +02:00
Johannes Pfeifer
29d1e80eda
Decrease verbosity of solve_algo=0
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Shuts off display unless debugging is requested. Otherwise, estimation will clutter the screen
2016-10-09 22:15:48 +02:00
Stéphane Adjemian (Charybdis)
83bc67f0c0
Display informative message when the model cannot be solved at the prior mode.
2016-10-07 12:30:47 +02:00
Johannes Pfeifer
b70bc9433f
pm3: restore Matlab compatibility by loading file into a variable
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In R2016b the variables loaded in the function need to be known in advance
2016-10-06 14:21:25 +02:00
Johannes Pfeifer
17dec97c4f
Use raw_data in forecast plots instead of prefiltered data
2016-10-05 19:04:13 +02:00
Houtan Bastani
f074c67d59
Merge pull request #1297 from JohannesPfeifer/estimation_fixes
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Bugfixes and cosmetic changes related to estimation
2016-10-04 11:10:12 +02:00
Johannes Pfeifer
d5233336b5
Make naming in GetPosteriorMeanVariance.m more expressive
2016-10-04 11:00:00 +02:00
Johannes Pfeifer
b2984f43c9
GetPosteriorMeanVariance.m: fix bug when number of dropped draws coincided with number of draws in file
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In this case, the reported results were NaN
2016-10-04 10:59:01 +02:00
Johannes Pfeifer
b4e2f38b6c
posterior_sampler_core: condition setting of seed on presence of Octave
2016-10-04 10:58:38 +02:00
Johannes Pfeifer
7ff6c5b2b7
Cosmetic change to posterior_sampler_initialization.m
2016-10-03 22:10:00 +02:00
Johannes Pfeifer
bfbd4aa101
Fix header of dyn_autocorr
2016-10-03 21:30:02 +02:00
Houtan Bastani
5f97efe15a
octave: don't check with user when deleting directory
2016-10-03 14:49:21 +02:00
Johannes Pfeifer
2fe73fafdc
Implement and document keep_kalman_algo_if_singularity_is_detected option
2016-10-02 12:56:28 +02:00
Johannes Pfeifer
3f907efbcd
initial_estimation_checks.m: Add proper check for stochastic singularity
2016-10-02 12:55:41 +02:00
Johannes Pfeifer
c68038dfc8
imcforecast.m: make sure qz_criterium is properly set
2016-10-02 10:51:47 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
1f0c2e3b1c
Make sure that options_.qz_criterium is not affected by calls to dynare_estimation.m
2016-10-02 10:51:47 +02:00
Johannes Pfeifer
940ff7fb7d
Make sure diffuse_filter triggers qz_criterium>1
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Closes #1215
2016-10-02 10:51:47 +02:00
Houtan Bastani
68bc9cb9bb
Merge pull request #1281 from rattoma/master
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Fixed bug with new harmonized setting of Smoothed Variables, which co…
2016-09-30 16:29:23 +02:00
Houtan Bastani
dc0c67bff5
Merge pull request #1289 from rattoma/shock_decomp
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Bug fix for provisions in shock_decomposition.m to adapt for the new …
2016-09-30 16:24:43 +02:00
Houtan Bastani
acf1cd8600
Revert "bug fix following change in fe7b7819b0
. #1280"
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This reverts commit 9b1dc544cb
.
2016-09-30 16:23:35 +02:00
Houtan Bastani
9b1dc544cb
bug fix following change in fe7b7819b0
. #1280
2016-09-30 15:47:26 +02:00
Houtan Bastani
4b3c98d953
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
Houtan Bastani
9cdd2cc965
add missing semicolon
2016-09-29 12:31:59 +02:00
Houtan Bastani
f5a14cc537
octave: add .mat extension to save command
2016-09-28 16:33:46 +02:00
Houtan Bastani
de13e98791
octave expects the first argument of strmatch to be a string
2016-09-27 16:49:16 +02:00
Houtan Bastani
744b52d362
fix bug introduced in 1c892bb3e9
2016-09-27 15:28:43 +02:00
Houtan Bastani
1c892bb3e9
octave: try to load the needed package before ending with an error
2016-09-27 15:26:59 +02:00
Michel Juillard
1669b274a2
fixed bug whith recursive estimation and mode_compute=0
2016-09-27 15:11:42 +02:00
Houtan Bastani
2a6b3caa34
when saving, use .mat file extension because Octave doesn’t support it by default
2016-09-26 11:00:41 +02:00
Houtan Bastani
e84e81dd01
fix typo
2016-09-23 18:37:49 +02:00
Houtan Bastani
c6f4af8894
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
Houtan Bastani
e09b4571d7
osr: fix call to strmatch for octave. Closes #1291
2016-09-23 16:13:30 +02:00
Marco Ratto
fe7b7819b0
Bug fix for provisions in shock_decomposition.m to adapt for the new syntax on grouping shocks introduced in commit 804d31e8af
to close #1280
2016-09-22 18:41:33 +02:00
Johannes Pfeifer
b50602962d
Account for Matlab 2016b in installer and mex-folder
2016-09-18 16:33:49 +02:00
Stéphane Adjemian (Hermes)
e536621b95
Changed help message returned by prior CLI command
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Describes option introduced in 5e398559f4
2016-09-14 18:04:01 +02:00
Stéphane Adjemian (Hermes)
5e398559f4
Added option to CLI prior command.
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>> prior moments(distribution)
Returns the implied prior mean and standard deviation of the asymptotic
expectation and variance of all the endogenous variables.
The draws of the empirical implied prior distribution for these
asymptotic moments are saved under:
M_.dname/prior/draws/M_.fname_endogenous_variables_prior_draws.mat
and can be used to compute other moments or plot implied prior
densities.
2016-09-14 17:41:01 +02:00
Houtan Bastani
919647477e
replace isstring with ischar as isstring is not supported in Octave. Bug introduced in 80049a6d09
2016-09-13 17:34:23 +02:00
Marco Ratto
dd69e0c751
Fixed bug with new harmonized setting of Smoothed Variables, which contain already steady-state also at the mode without metropolis
2016-09-12 11:48:52 +02:00
Stéphane Adjemian
7c5a1d8523
Merge pull request #1279 from rattoma/hessian
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make computations around invhess more robust numerically.
2016-09-08 23:22:25 +02:00
Stéphane Adjemian
bf599ea790
Merge pull request #1274 from JohannesPfeifer/steady_message
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Add missing check for display of results in evaluate_steady_state.m
2016-09-07 15:23:17 +02:00
Marco Ratto
96bc8133e7
Merge remote-tracking branch 'remotes/origin/master'
2016-09-07 09:34:28 +02:00
Marco Ratto
5c4f81a26f
Bug fixes for conditional forecast.
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1) apply chol only for non-diagonal covariances
2) fix wrong index for trend.
3) convert internally constrained_vars is in decision rule order.
2016-09-07 09:27:48 +02:00
Marco Ratto
eae0828a40
make computations around invhess more robust numerically.
2016-09-05 12:16:07 +02:00
Johannes Pfeifer
a59697352a
Add xlim to rplot.m
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Prevents excessive white space
2016-09-01 13:57:24 +02:00
Johannes Pfeifer
12d5147093
Replace hline in dyn_latex_table.m by proper booktabs style
2016-08-31 18:26:56 +02:00
Johannes Pfeifer
c2b9bd1cff
Add missing check for display of results in evaluate_steady_state.m
2016-08-26 18:31:52 +02:00
Stéphane Adjemian
e61aa1b407
Merge pull request #1273 from JohannesPfeifer/var_exo_det
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Provide informative error message when var_exo_det is used with purel…
2016-08-24 17:08:52 +02:00
Johannes Pfeifer
5996211356
Provide informative error message when var_exo_det is used with purely forward and backward models (thanks to Stefan Boeters for pointing this out)
2016-08-24 15:05:28 +02:00
Johannes Pfeifer
c6dc36536d
Add specification check of Ramsey policy to initial_estimation_checks.m
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Related to #1173
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
582bcb7a8e
Add missing Ramsey error code to dsge_likelihood.m
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
41a714ee2b
Move check for correct number of instruments to ramsey_policy.m
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No reason to trigger the check in every iteration
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
1f26aed03d
Condition output of diagnostics in evaluate_steady_state.m on options.debug
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Prevents display during iterations like estimation
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
eff52f51b7
Ramsey: exit with error code if solver fails at specified tolerance
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Also adds penalty if steady state ventures into complex space
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
c470e028e1
Ramsey: add check for complex numbers in conditional steady state
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
01f1abb19a
Provide dedicated maxit option for Ramsey
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
922410e241
dyn_ramsey_static.m: Cosmetic header fix
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
f60aec3be3
Fix number of Lagrange multipliers in evaluate_steady_state.m
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Did not account for auxiliary equations
2016-08-24 13:32:11 +02:00
Johannes Pfeifer
d65a2f855f
Fix display of instrument termination value in evaluate_steady_state.m
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Printed initial instead of terminal value
2016-08-24 13:32:11 +02:00
Houtan Bastani
b94f30c40a
bug fix: accord repmat syntax with that before R2013b
2016-08-24 12:03:07 +02:00
Houtan Bastani
d65f32d550
fix bug introduced in 72e84657a7
re eig args. #1266
2016-08-24 11:31:07 +02:00
Stéphane Adjemian
3bc6974bd0
Merge pull request #1271 from JohannesPfeifer/license_test
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Add check whether toolbox is installed.
2016-08-23 18:37:06 +02:00
Johannes Pfeifer
b4d958d706
dynare_solve.m: account for second mcp-solver in solution check
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
cc81f26f0d
Adjust error message in steady_.m if PATH is selected on Octave
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
1c070f536a
Add headers to various functions
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
dfd44c58d6
Fix error messages in get_complementarity_conditions.m
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
2751ab08bb
Provide interface to original PATH files and document how to obtain them
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
8f689ce8d2
Correct header of perfect-foresight-models/perfect_foresight_mcp_problem.m
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
3fc011a1b2
Adjust unit test for stack_solve_algo=7 to actually trigger different algorithms
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
6d3c73a906
Harmonize tolerance criterion used in evaluate_steady_state.m
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Should be solve_tolf instead of dynatol.f
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
077917b1f4
dynare_solve: use correct termination criterion with stack_solve_algo=7
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
9c9e103627
Make csolve compatible with sparse matrices
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Required for stack_solve_algo=7
2016-08-23 17:28:41 +02:00
Johannes Pfeifer
dea930d329
lnsrch1.m: do not display debugging info for perfect_foresight_solver
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Necessary info does not exist within function to correctly identify problematic variables, leading to crashes with stack_solve_algo=7
2016-08-23 17:28:41 +02:00
Stéphane Adjemian (Hermes)
38e1ec6b1e
Fixed bug.
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Routine forcst was crashing if at least one of the observed variables,
with measurement error, was not in varlist.
2016-08-23 17:22:41 +02:00
Stéphane Adjemian (Hermes)
5df056b38f
Fixed bug (conf_sig).
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Use options_.forecasts.conf_sig instead of options_.conf_sig.
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
dd22b9609e
Add function generate_trace_plots.m that plots trace plots for all estimated parameters
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
1befd3b515
Make trace plots uniquely identified by adding chain number to save names
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
08d53206a9
Port textwidth figure format change to dynare_estimation_1.m
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
894090e6be
Add missing 1 to min operator in TeX_loader
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
68e32e8e25
map_calibration.m: Remove manual setting of xticks
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Clutters x-axis too much
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
bf725787e6
Only generate forecast with measurement error if observed variables are requested
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
eaaa0e5045
Fix TeX-names in GSA when mapping is over all parameters, not just structural ones
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
0d7d63fe9b
Fix duplicate TeX-label for IRFs
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
054c9bde76
Fix variable naming in simultxdet.m
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
0f72e6ed63
Account for measurement error in non-MCMC forecasts
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
46450c6f1f
Change textwidth depending on number of subplots
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Prevents overblown figures
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
7050cab9c9
Consider measurement error for uncertainty bands in Bayesian estimation
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
daa9d15c75
Improve readability of plots generated by pm3_core.m
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- Do not plot zero axis if plots are not centered around it
- Limit decimal points of yticks
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
84ab37fd7a
Remove globals from forcst.m
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
424050f380
Make sure IRFs only have full periods as xticks
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
73afe7d02f
Change fixed LaTeX figure width into \textwidth scaling
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Improves readability
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
9a3414f652
Add missing deblank to conditional_variance_decomposition_mc_analysis.m which crashes otherwise if variables have different name length
2016-08-23 17:22:41 +02:00
Johannes Pfeifer
de383a263e
Prevent TeX_binder from including itself
2016-08-23 17:22:41 +02:00
Stéphane Adjemian (Hermes)
5b60ffa0f7
Option fast_kalman_filter is also available with kalman_algo=0.
2016-08-22 23:31:02 +02:00
Johannes Pfeifer
73d0a82267
Add comment on logic of singularity testing in univariate_kalman_filter_d.m
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
8dc96cafa4
If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
fa3a71bcae
Make warning message in dynare_estimation_1.m more informative
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
20e5d76d54
Fix missing negation in check for fast Kalman filter
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
36ccec75ce
Add missing constant 2*pi to missing_observations_kalman_filter_d.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
f61453211c
Correct header of missing_DiffuseKalmanSmootherH3_Z.m and make sure H is vector
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
178bf4165c
Make sure Zflag for augmented state space is correctly set when measurement error is correlated
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
f95619b46a
Add header info to univariate_kalman_filter.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
7c96e22985
Fix bug in dsge_likelihood.m where diagonal of measurement error covariance matrix was not correctly read out
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This is a prerequisite for the univariate filter that operates along a vector for H instead of along the diagonal. Because of this, the likelihood in the presence of measurement error was wrong
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
8aaca040b3
Expand check of fast_kalman_filter for presence of block-option
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
bffea9b426
Fix error code for inf-likelihood
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
e939d51d58
display_problematic_vars_Jacobian.m: Fix bug where exogenous variables in dynamic Jacobian were not accounted for Prevents crashes in debug mode
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
ed22b6c4f8
Make datatomfile.m datafiles save name of creator and date
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
39e7c39243
Filter out infinite likelihoods
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
55e20aab1f
Delete unused passing of file in posterior_sampler.m
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Ports 919645d30e2361fb4c960ee78e42d401ad3d95ba to master
2016-08-22 16:27:32 +02:00
MichelJuillard
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
MichelJuillard
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
MichelJuillard
912409a71c
Merge pull request #1268 from JohannesPfeifer/dynare_solve_error_message
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Remove error-display from dynare_solve.m
2016-08-21 16:07:35 +02:00
Johannes Pfeifer
e7b8222144
Updated header of dynare_solve.m
2016-08-21 11:47:52 +02:00
Johannes Pfeifer
14ab41e414
Move debugging information removed in 335ce74acb
to evaluate_steady_state.m where it belongs
2016-08-21 11:45:11 +02:00
Johannes Pfeifer
335ce74acb
Remove error-display from dynare_solve.m
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Prevents estimation crashing when invalid starting values for steady state computation arise during e.g. mode-finding
2016-08-21 11:44:18 +02:00
Johannes Pfeifer
4d8295afdf
Cosmetic fixes to display_problematic_vars_Jacobian.m
2016-08-21 11:28:47 +02:00
Johannes Pfeifer
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
MichelJuillard
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
Michel Juillard
0ebef17df2
fix shocks_decomposition bug introduced in commit 75d699cbfa
2016-08-21 11:11:19 +02:00
MichelJuillard
4750eb64ff
Merge pull request #1269 from JohannesPfeifer/eig_R2014a
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Condition use of eig to compute left eigenvector on Matlab version
2016-08-21 09:54:47 +02:00
Johannes Pfeifer
72e84657a7
Condition use of eig to compute left eigenvector on Matlab version
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Functionality is only supported in Matlab from 2014a/8.3 onwards. Closes #1266
2016-08-20 20:43:20 +02:00
MichelJuillard
b5b9f46ff9
Merge pull request #1222 from JohannesPfeifer/paralleldelete
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dynareParallelDelete.m: Condition delete-command on existence of file…
2016-08-20 18:37:01 +02:00
Johannes Pfeifer
4a723872eb
dynareParallelDelete.m: Condition delete-command on existence of file to prevent warning
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Closes #1195
2016-08-20 18:02:04 +02:00
MichelJuillard
ee428ffb41
Merge pull request #1251 from JohannesPfeifer/resid_command
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Check for complexity of steady state in resid.m
2016-08-20 17:41:22 +02:00
MichelJuillard
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
MichelJuillard
2e9725cfd0
Merge pull request #1267 from JohannesPfeifer/estimation_init
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Fix two bugs in dynare_estimation_init.m
2016-08-20 17:36:48 +02:00
Michel Juillard
75d699cbfa
fixing dates in shocks_decomposition.
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Interface still missing
2016-08-20 16:31:25 +02:00
Johannes Pfeifer
b1f1826d5f
Fix two bugs in dynare_estimation_init.m
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Makes sure that i) name field is always present and ii) that number fields of estim_params are only accessed after they have been set by set_prior
2016-08-17 21:47:46 +02:00
MichelJuillard
2b674b27d1
Merge pull request #1265 from JohannesPfeifer/dynare_solve_handle
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dynare_solve.m: make sure str2func is only used on strings
2016-08-12 12:06:32 +02:00
Johannes Pfeifer
80049a6d09
dynare_solve.m: make sure str2func is only used on strings
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Otherwise, code crashes
2016-08-12 11:59:57 +02:00
Johannes Pfeifer
c156a5907c
BVAR: Save prior and posterior information in oo_
2016-08-01 10:41:04 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
Johannes Pfeifer
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
Johannes Pfeifer
72b8c650e5
Add missing logical operator from likelihood functions introduces when removing global penalty
2016-07-18 11:11:43 +02:00
Johannes Pfeifer
578fb04590
Check for complexity of steady state in resid.m
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Residuals might be 0, but steady state might be complex, resulting in hard-to-diagnose problems when calling steady.m
2016-07-14 15:04:27 +02:00
Michel Juillard
22f49971bc
fixing bug in mcp model setup
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makes perfect_foresight_problem more efficient
added test case for stack_solve_algo == 7
2016-07-03 10:56:44 +02:00
Michel Juillard
2f2413e64a
addind ep accuracy check
2016-07-03 10:56:44 +02:00
Marco Ratto
bf293396b6
Harmonize FilteredVariables with Updated and Smoothed ones, by adding steady state to stored values, both point estimate and MCMC
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(cherry picked from commit fd0d7d6d27a7937b135521c4dd76d7fa242d89ab)
2016-07-01 20:40:17 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
9275cd089b
Add eps-loader to rplot.m
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Also makes sure that every single graph is saved when looping over figures
2016-07-01 19:09:29 +02:00
Johannes Pfeifer
2a2d81784b
Allow rplot to plot exogenous variables
2016-07-01 19:09:29 +02:00
Stéphane Adjemian (Lupi)
46a149576b
Merge branch 'pr#1241'
2016-07-01 16:30:49 +02:00
Stéphane Adjemian (Hermes)
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +02:00
Stéphane Adjemian (Hermes)
b6ecf5fdd0
Updated particles submodule (fixes for apf and cpf).
2016-07-01 11:41:39 +02:00
Johannes Pfeifer
2906cbbddd
Add check whether toolbox is installed
2016-06-28 09:39:32 +02:00
Houtan Bastani
848d81eb84
Merge pull request #1238 from rattoma/gsa
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Bug fixes for identification with ML
2016-06-27 23:45:05 +02:00
Stéphane Adjemian (Hermes)
fcaf457f35
Cosmetic change (code factorization).
2016-06-24 17:35:56 +02:00
Johannes Pfeifer
420e80e538
discretionary_policy: Call steady_state-file to make sure that parameter dependence is correctly handled
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Prevents cryptic crashes due to NaN in derivatives of objective function
2016-06-23 20:50:17 +02:00
Johannes Pfeifer
317f958184
Ramsey: Test whether number of instruments matches number of missing equation
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Otherwise cryptic crashes can result
2016-06-23 20:48:01 +02:00
Marco Ratto
be758613f4
fixed bugs that prevented the computation of the asymptotic Hessian with ML.
2016-06-19 11:09:59 +02:00
Marco Ratto
25120e54f5
added check for singular values whose eigenvectors contains only ONE column
2016-06-19 11:08:37 +02:00
Stéphane Adjemian (Hermes)
25243712ba
Fixed bug on non linux platforms + Cosmetic changes.
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The paths to mex files was wrong.
2016-06-17 22:02:34 +02:00
Johannes Pfeifer
e214ec2976
Allow for parameter_set=mle_mode in conditional_forecast
2016-06-17 00:21:08 +02:00
Johannes Pfeifer
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
Stéphane Adjemian (Hermes)
1dea10d478
Updated dynare_config wrt #c7e848948156fe8febca22276a77c9586c565d87
2016-06-17 00:16:06 +02:00
Stéphane Adjemian (Hermes)
af9b069830
Moved isoctave routine in base directory.
2016-06-17 00:04:00 +02:00
Stéphane Adjemian (Hermes)
d80f6d9a99
Minimize the number of calls to addpath.
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These calls have a prohibitive cost...
2016-06-16 23:55:07 +02:00
Stéphane Adjemian
3ae44efbea
Merge pull request #1218 from rattoma/gsa
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Allow Screening with neighborhood_width sampling.
2016-06-16 22:18:39 +02:00
Stéphane Adjemian (Lupi)
33d35bc3c5
Added quantile routine in missing.
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This is missing if the stats toolbox is not available. Integration test
TeX/fs2000_corr_ME.mod was failing because of its absence.
2016-06-16 14:33:57 +02:00
Johannes Pfeifer
f86b0a5ad6
Make dyn_forecast.m account for trend_coeffs saving coefficients for all variables
2016-06-16 12:05:38 +02:00
Johannes Pfeifer
3b09ab5424
Save Smoother.Trend and Smoother.Constant after MCMC
2016-06-16 12:05:38 +02:00
Johannes Pfeifer
1c84ccdc34
Save trend and constant for all variables in smoother
2016-06-16 12:05:38 +02:00
Johannes Pfeifer
3efe283bf0
Make oo_.Smoother.TrendCoeff have size of endogenous variables
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Sets coefficients with unspecified trends to 0, allowing to later use the trend_var command for setting trends
2016-06-16 12:05:38 +02:00
Johannes Pfeifer
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
Stéphane Adjemian (Hermes)
65ae97d37d
Fixed bug.
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For uniform priors use the prior mean when computing the prior
moments (prior mode is not defined).
2016-06-16 11:59:47 +02:00
Stéphane Adjemian (Hermes)
789f21257e
Avoid side effects on globals (prior CLI and write_latex_prior_table commands).
2016-06-16 11:57:16 +02:00
Stéphane Adjemian (Hermes)
2c074d7cd2
Check that a prior is defined in prior CLI command
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Behaviour consistent with the logic introduced in commit
64d01a806e
.
2016-06-16 11:16:23 +02:00
Stéphane Adjemian (Hermes)
a91e4dec75
Bug fixes.
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Introduced when we increased the size of the mat files saved on
disk (see commit #e2942662479f822cd4ca1251158f0b5037c3a446).
2016-06-16 11:15:22 +02:00
Stéphane Adjemian (Hermes)
64d01a806e
Fixed behaviour of write_latex_prior_table command
2016-06-16 10:38:40 +02:00
Johannes Pfeifer
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
Stéphane Adjemian (Lupi)
fcb738616c
Fixed bug in extened_path_mc.
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Wrong calling sequence to the routine defining the shocks.
2016-06-15 16:01:08 +02:00
Stéphane Adjemian (Lupi)
1e7fc89e8d
Replaced filesep by hard coded slash.
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See 57501f802e
.
2016-06-15 13:14:55 +02:00
Stéphane Adjemian (Lupi)
57501f802e
Revert "Cosmetic change."
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This reverts commit 544da84e73
.
On Windows filesep returns a backslash ('\') as expected but
LaTeX, even on Windows, only understands slashes ('/') when
defining paths (for graphic or file inclusion).
2016-06-15 13:07:59 +02:00
Stéphane Adjemian (Hermes)
473d335851
Fixed bug (wrong structure names).
2016-06-15 00:35:40 +02:00
Johannes Pfeifer
029e9495ba
Fix bug in dsge_var_likelihood.m where constant was not considered for dof when Gamma function was computed
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Does not affect the maximum of the posterior as it only affects constant term
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
2cf882fec5
Remove comments on dynare_estimation_1.m after implementing store_smoother_results
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
d08fd37986
Do not set oo_.posterior.optimization-fields when mh_posterior_mode_estimation is used
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
329b91d717
Harmonize output of objective functions
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Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
0edd8e2025
Add penalty_hessian.m and penalty_objective_function.m
2016-06-15 00:30:28 +02:00
Stéphane Adjemian (Hermes)
544da84e73
Cosmetic change.
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Systematically use filesep instead of '/'.
2016-06-14 22:49:01 +02:00
Stéphane Adjemian (Hermes)
96128b32ab
Fixed bug (missing folder separator).
2016-06-14 21:53:14 +02:00
Stéphane Adjemian (Hermes)
2a65e7a85a
Merge branch 'master' into johannes-identification-fixes
2016-06-14 18:17:36 +02:00
Johannes Pfeifer
fff88f1dc7
display_estimation_results_table.m: Move TeXEnd inside of if-clause to prevent crashes
2016-06-14 15:50:48 +02:00
Johannes Pfeifer
b3877b3a9e
Save chain's proposal density and make load_mh_file and mh_recover load it
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Closes #504
2016-06-14 15:09:05 +02:00
Johannes Pfeifer
faab010753
Change file ending from TeX to tex to prevent problems on Linux
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Related to b454c28096
2016-06-14 12:13:48 +02:00
Houtan Bastani
5303d7079b
submodule update: particles
2016-06-14 12:02:15 +02:00
Johannes Pfeifer
59cbee2b56
Provide output on posterior variance decomposition
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Closes #1219
2016-06-14 11:53:38 +02:00
Johannes Pfeifer
5ca4204806
Only set texnames in McMCDiagnostics.m if TeX is requested
2016-06-14 11:53:38 +02:00
Johannes Pfeifer
dc1c5f182c
Make gsa function correctly extract parameter (TeX) names
2016-06-14 11:53:38 +02:00
Johannes Pfeifer
6be02ef086
Add caller function info to dyn_latex_table.m
2016-06-14 11:53:38 +02:00
Johannes Pfeifer
55b2cd6f4c
Make sure underscores and backslashes are correctly handled in TeX-loaders of gsa
2016-06-14 11:53:38 +02:00
Johannes Pfeifer
7325dbe54e
Expand collect_LaTeX_Files.m to gsa redform subfolders
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
42f47e0f55
Correctly indent filt_mc_.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
c3e1c01864
Enable TeX output in rmse-mapping of gsa
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
cb9095977e
Allow for underscores in TeX-output of gsa
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
59eec342d2
Allow for second header string in dyntable.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
f76a353d65
Allow for underscores in first header element in dyn_latex_table.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
2c4c7558f4
Add TeX output to stab_map_2.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
11687d8c66
Expand collect_LaTeX_Files.m to gsa Output folder
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
74212ab199
Delete redundant legend input argument in filt_mc_.m that creates warning message in Matlab
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
ed1dbcac53
Fix setting of names and parameter names in stab_map_
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
cba10b0d90
Bugfix for setting tex-names in mcf_analysis.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
6f410f4cc1
Provide LaTeX output for model_comparison.m
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
f5c08fc0e8
Create LaTeX output for Smirnov tests
2016-06-14 11:52:49 +02:00
Johannes Pfeifer
9b82c72e4f
Remove global options structure from dyntable
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
849505ec62
Fix display of NaN parameters in TeX-table in ident_bruteforce.m
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
f851252b25
Pass options_ to dyn_latex_table.m to make it honor noprint option
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
c6f98433d2
Reset colormap to jet in plot_identification.m
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Necessary after Matlab changed default
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
73ec852433
Deal with required naming after allowing for correlations in identification in #1200
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
00cdc05d58
Pass title texts to ident_bruteforce.m to make sure that previous TeX output is not overwritten by advanced option
2016-06-14 11:52:17 +02:00
Johannes Pfeifer
e294266247
Increase default MaxNumberOfBytes to 100 MB
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Closes #330
2016-06-14 11:51:14 +02:00
Houtan Bastani
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
Johannes Pfeifer
7ff453846a
Fix passing of compflag in dyn_mex.m
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Fixes 83eeafa32c
2016-06-14 10:45:44 +02:00
Houtan Bastani
83eeafa32c
fix mex file compilation with MSVC. Closes #1227
2016-06-14 10:34:14 +02:00
Houtan Bastani
2bbfb8762b
fix copyright notices
2016-06-14 10:30:57 +02:00
Michel Juillard
f145a50a85
extend path: removed global options_
2016-06-09 12:02:48 +02:00
Michel Juillard
4a6e14ea95
extended path: removed option for lcppath
2016-06-09 12:02:48 +02:00
Michel Juillard
8fa29513f3
extended path: fixing bug for order > 2 and several shocks
2016-06-09 12:02:48 +02:00
Stéphane Adjemian (Hermes)
335a188dac
Fixed bug in extended path.
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Allow innovations with zero variance (ie do not force removal of the
variables from the varexo list).
2016-06-09 10:32:25 +02:00
Marco Ratto
fbc71aa95c
Allow Screening with neighborhood_width sampling.
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Allow calibrated values for neighborhood_width sampling to violate prior bounds.
2016-06-07 12:22:39 +02:00
Stéphane Adjemian (Charybdis)
3d16707dd9
Updated particles submodule (bug fixes).
2016-06-01 19:56:09 +02:00
Stéphane Adjemian (Charybdis)
dc1cfb4509
Updated particles submodule (bug fix).
2016-06-01 17:12:39 +02:00
Stéphane Adjemian (Charybdis)
392977d4ef
Changed default parameters for unscented transform (Particle filters).
2016-06-01 17:01:23 +02:00
Stéphane Adjemian (Charybdis)
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
Stéphane Adjemian (Charybdis)
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
Stéphane Adjemian (Charybdis)
272e3c96f8
Updated particles submodule.
2016-06-01 16:29:53 +02:00
Michel Juillard
e0475fd4ef
extended path: use deterministic_simulation.status instead of maxerror
2016-05-31 12:10:12 +02:00
Michel Juillard
0ce2834281
extended path: fixed boundaries for linear problem
2016-05-31 12:10:12 +02:00
Michel Juillard
5024af0099
extended path: fixed calibrated shocks
2016-05-31 12:10:12 +02:00
Michel Juillard
c14125d585
PATH: fixing bugs
2016-05-31 12:10:12 +02:00
Michel Juillard
76f008e4e4
PATH: remove calls to lcppath that doesn't work with perfect foresight models
2016-05-31 12:10:12 +02:00
Michel Juillard
d106b20b69
perfect foresight: set boundaries with PATH
2016-05-31 12:10:12 +02:00
Michel Juillard
ddb9c0657c
fixing linear complementarity problem
2016-05-31 12:10:12 +02:00
Michel Juillard
450d7b099a
fixing error status for PATH hook
2016-05-31 12:10:12 +02:00
Michel Juillard
11161063d4
removing debugging output
2016-05-31 12:10:12 +02:00
Michel Juillard
c49332df43
add support for PATH for steady state
2016-05-31 12:10:12 +02:00
Michel Juillard
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
Michel Juillard
b8132eb556
extended path: adding support for calibrated shock.
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This commit is not satisfactory because it uses M_.det_shocks
for unexpected shocks. We need to improve on it soon.
2016-05-31 12:10:12 +02:00
Johannes Pfeifer
96098a17d2
Cosmetic fix to set_all_parameters.m
2016-05-30 13:31:22 +02:00
Johannes Pfeifer
118b3ccb74
catstruct.m: remove call to nargchk, which will be removed in future Matlab versions
2016-05-28 19:32:11 +02:00
Stéphane Adjemian (Charybdis)
dfbad0404d
Fixed crash in sim1_linear when periods=1.
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Closes #1176 .
2016-05-26 22:19:36 +02:00
Stéphane Adjemian (Charybdis)
fb4dfc6da6
Fixed typo.
2016-05-24 22:32:02 +02:00
Michel Juillard
cd55ed749c
extended_path: fixing inititalization for PATH
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(cherry picked from commit 7d29e917f77e7e20211e5be01544d86c64af8c65)
2016-05-24 18:08:33 +02:00
Michel Juillard
28c0c92ae8
fixing typos
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(cherry picked from commit 86995a3bd478a3dc02919424aeb77e2a550a84c5)
2016-05-24 17:57:26 +02:00
Stéphane Adjemian (Charybdis)
3fa6a96bfb
Added homotopy.
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Fixes the issue of paths containing spurious solutions for (stochastic)
perfect foresight models.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Charybdis)
cfc6957625
Cosmetic changes.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Charybdis)
8b5b7921f6
Improved solver for (S)EP.
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Use previous solution as an initial condition for the perfect foresight problem.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Charybdis)
80f1baad7e
Changed solver in simul_backward_nonlinear_model.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Charybdis)
6c7f3f1932
Added input to pass sequence of shocks.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
7d1d860a53
Fixed ep.init option.
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Initialization of the perfect foresight solver (in extended path) with
the solution of the first order approximation of the model was broken.
If the value of options_.ep.init is "true"" (1) then the solution of the
first order approximation is used as an initial guess for the newton
lilke solver. If the value of options_.ep.init is "false" (0) the solver
is initialized with the steady state.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
dabdda0506
Fixed wrong definition of a logical variable.
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The second outputr returned by perfect_foresight_solver_core is the
max. abs. residual, not a dummy variable indicating success or failure
of the perfect foresight solver.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
fbf2fae036
Changed option value for unscented integration nodes.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
fdbd4fa7a7
Code factorization.
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- Added routines for initializing and setting shocks in EP.
- Added a specialized routine for doing Monte Carlo around EP.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
3bbac629ed
Cosmetic change.
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Removed maximum_lead and maximum_lag in extended_path routines.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis)
d74f315bfb
Fixed bug in (Stochastic) Extended Path algorithm.
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Innovations were not correctly passed to the non linear solver. Closes #1128 .
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
4926b6c6ff
Added a routine the residuals of a model.
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Takes a path for the endogenous variables and returns the residuals of
the dynamic equations. This routine is useful for solving the model with
the PEA approach.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
ea1ebfa911
Added argument to simul_backward_nonlinear_model.
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First input argument is a vector for the initial condition of the
endogenous variables. If empty, the steady state of the model is used.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
e507a6d0a9
Fixed copyright header.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
8958b7ef98
Cosmetic changes.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
3a1f74d7a7
Fixed typo.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
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
Stéphane Adjemian (Hermes)
b60bd7b36b
Removed globals from extended_path routine.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
ee78ad2049
Improved execution speed.
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Removed some calls to bsxfun which is not optimal on sparse matrices. I
only removed the calls where I identified bottlenecks (with a Smets and
Wouters model), more tests are needed to decide if we have to remove other
occurences of bsxfun on sparse matrices.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Hermes)
be0f6230ad
Cosmetic changes.
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- Use a switch-case block.
- Added a warning when the user tries to solve a linear(ized) model
with solve_algo different from 0 (for a linear model).
- Added an error message if the user try to solve a linearized model
with stack_solve_algo=6 (not implemented).
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Hermes)
1815eb8e56
Code factorization.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Hermes)
8a163842d0
Removed oo_ from sim1_linear routine.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Hermes)
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
Stéphane Adjemian (Charybdis)
e0be60710c
Removed oo_ from sim1_purely_{backward,forward} routines.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Charybdis)
290ce5db68
Removed oo_ from sim1_lbj routine.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Charybdis)
674c9ab286
Removed oo_ from sim1 routine.
2016-05-24 17:26:06 +02:00
Marco Ratto
3e8dbcfc7e
Set mode_files in such a way that it can be handled with key-value pair.
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We need a single mode file that contains variable xparams = [x1 x2 x3] all multiple modes, one per column.
Fixes #1199
2016-05-22 23:15:18 +02:00
Marco Ratto
d8fea3ff13
Correlations and measurement errors in identification:
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1) Filter out measurement errors with error message that suggests to explicitly write measurement errors in model definition
2) allow identification checks with correlations, by switching to numerical derivatives
2016-05-22 23:10:01 +02:00
Johannes Pfeifer
389f43019d
Put fields of OSR in M_ into workspace to restore compatibility with 4.4.3
2016-05-22 11:41:54 +02:00
Johannes Pfeifer
d10f8b42d7
Fix bug in convert_dyn_45_to_44.m if bayestopt_ is empty
2016-05-22 11:41:54 +02:00
Johannes Pfeifer
03563e012b
Allow for pass OSR parameter bounds to optimizer
2016-05-22 11:41:54 +02:00
Johannes Pfeifer
9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
Johannes Pfeifer
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
MichelJuillard
3df1a1275f
Merge pull request #1185 from JohannesPfeifer/bytecode_fixes
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Bytecode fixes
2016-05-22 10:32:56 +02:00
Johannes Pfeifer
13d42e05a5
Add missing else-clause in simulated_moment_uncertainty.m
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Fixes crash in unit tests
2016-05-22 10:03:56 +02:00
Stéphane Adjemian
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
Johannes Pfeifer
161f674dd9
Fix two TeX loaders where apostrophe was missing
2016-05-20 12:43:52 +02:00
Johannes Pfeifer
7c97d7c662
Allow displaying 0 rows in disp_dr.m
2016-05-20 12:42:43 +02:00
Johannes Pfeifer
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
Johannes Pfeifer
89fd14f026
Filter out unit root cases that lead to crashes
2016-05-19 18:57:47 +02:00
Johannes Pfeifer
1f71331e58
Fix dynareParallelGetFiles.m call to random_walk_metropolis_hastings
2016-05-19 17:43:48 +02:00
Johannes Pfeifer
12ee5b7276
Fix copyrights and references to random_walk_metropolis_hastings headers
2016-05-19 17:15:31 +02:00
Johannes Pfeifer
781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
413a264b21
Make read_key_value_string.m compatible with sublists
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
091f94221f
Delete unused TaRB_metropolis_hastings_core.m
2016-05-19 14:37:05 +02:00
Johannes Pfeifer
c7e8489481
Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function
2016-05-19 14:37:05 +02:00
Marco Ratto
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
Marco Ratto
e5ab7ed992
fixed unknown options warning messages
2016-05-19 14:37:05 +02:00
Marco Ratto
088db78118
Document computation of Inefficiency factors
2016-05-19 14:37:05 +02:00
Marco Ratto
ebe34bc40f
Make display of inefficiency factors use existing table util [thanks to Johannes]
2016-05-19 14:37:05 +02:00
Marco Ratto
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Houtan Bastani
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
Marco Ratto
35a1c7ac17
Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields
2016-05-19 14:34:09 +02:00
Marco Ratto
9c62021d3c
Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot]
2016-05-19 14:34:09 +02:00
Marco Ratto
0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
Marco Ratto
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
Marco Ratto
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
Marco Ratto
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
Marco Ratto
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
Marco Ratto
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
Marco Ratto
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
Marco Ratto
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
Marco Ratto
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
Marco Ratto
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
Marco Ratto
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
Marco Ratto
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
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It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
Marco Ratto
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
Marco Ratto
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
Marco Ratto
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
Johannes Pfeifer
0e2e1376c9
Fix bug in simulated moments
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Closes #1105
2016-05-18 22:51:20 +02:00
Houtan Bastani
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
Houtan Bastani
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
Johannes Pfeifer
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
Marco Ratto
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
Marco Ratto
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
Marco Ratto
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
Marco Ratto
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
Marco Ratto
28aeb9f308
bug fix
2016-05-17 08:40:32 +02:00
Houtan Bastani
5723e7ea58
build system: remove support for 32-bit Matlab on OS X
2016-05-13 10:53:55 +02:00
Houtan Bastani
89667ea8da
remove unused file. closes #1172
2016-05-11 15:12:27 +02:00
Michel Juillard
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
Houtan Bastani
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
Michel Juillard
5e5157e375
loglinear: bug correction
2016-05-06 10:12:12 +02:00
Michel Juillard
67ea280773
adding missing semi-colon
2016-05-06 10:11:53 +02:00
Michel Juillard
ef232ac436
fixed log_variable function
2016-05-05 20:53:22 +02:00
Michel Juillard
3c7c2f46a4
more fixes for loglinear with lead/lagged exogenous variables
2016-05-05 20:41:02 +02:00
Michel Juillard
7e13fe5ef7
fix loglinear option with leaded or lagged exogenous variables
2016-05-05 20:41:02 +02:00
Stéphane Adjemian
e07d97a16e
Merge pull request #1186 from rattoma/gsa
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gsa and identification fixes
2016-05-05 19:19:10 +02:00
Marco Ratto
1b769d1d5f
1) fixed bug with initialization of infox
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2) distinguish between no solution (iwrong index) and violation of prior restrictions (inorestriction)
3) smirnov tests for indeterminacy and explosive roots should be done EXCLUDING no solution cases
2016-05-05 16:53:18 +02:00
Marco Ratto
8e1d225832
Allow to perform neighborhood_width sampling around calibrated values;
2016-05-05 16:18:17 +02:00
Marco Ratto
0e402fa7e9
Filter out cases where too few samples are available for ANOVA estimation
2016-05-05 16:11:53 +02:00
Marco Ratto
8b54354a27
Make identification compliant with calibration parameter set [bug fix]
2016-05-05 16:08:14 +02:00
Johannes Pfeifer
5f32b80a27
Fix error codes for bytecode in perfect_foresight_solver_core.m
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If it fails, 1 must indicate error, not 0
2016-05-05 10:52:17 +02:00
Johannes Pfeifer
465f55bb0e
Correct evaluation of residuals in dynare_solve.m when exitflag does not clearly indicate solution
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Otherwise, it crashes with bytecode
2016-05-05 10:46:39 +02:00
Johannes Pfeifer
c6f705a8b9
Correct setting of info in dr_block.m if eigenvalue is close to 0/0
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Must be the same as in dyn_first_order_solver.m
2016-05-05 10:08:52 +02:00
Houtan Bastani
bebcfffe04
fix license, file copyright errors
2016-05-04 16:30:16 +02:00
Houtan Bastani
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
Johannes Pfeifer
b364dd1d4c
Account for Matlab 2016a in installer and mex-folder
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Note that 32bit is not supported anymore
(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)
2016-05-04 11:12:35 +02:00
Stéphane Adjemian (Charybdis)
6593c433f3
Revert "Account for Matlab 2016a in installer and mex-folder"
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This reverts commit 6072aa0b46
.
2016-05-03 22:20:10 +02:00
Johannes Pfeifer
6072aa0b46
Account for Matlab 2016a in installer and mex-folder
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Note that 32bit is not supported anymore
(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)
2016-05-03 15:24:23 +02:00
Johannes Pfeifer
c48a2659e5
Fix warning message that confused structural shocks with measurement errors
2016-05-01 17:52:57 +02:00
MichelJuillard
6eb2e43432
Merge pull request #1171 from JohannesPfeifer/discretionary_policy
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discretionary_policy_1.m: keep state space fixed even if state variab…
2016-04-18 22:17:42 +02:00
Johannes Pfeifer
d1735e1d9e
discretionary_policy_1.m: keep state space fixed even if state variable gets coefficient of 0 in solution by including appropriate 0 column. (Thanks to Junior Maih)
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Reverts 3b64c37cb3
2016-04-18 21:48:28 +02:00
Michel Juillard
e8c430a923
replaced transtion_matrix.m by kalman_transition_matrix.m
2016-04-16 17:21:42 +02:00
MichelJuillard
3d6c184566
Merge pull request #1168 from JohannesPfeifer/filter_tests
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Improve speed of filtering unit tests and clean up setting of options
2016-04-15 09:50:49 +02:00
MichelJuillard
a047b42dd3
Merge pull request #1167 from JohannesPfeifer/shock_decomp_fix
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Add missing deblank to fieldname setting in shock_decomposition.m
2016-04-15 09:50:39 +02:00
MichelJuillard
a21aa064c9
Merge pull request #1166 from JohannesPfeifer/kalman_fixes
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Kalman fixes
2016-04-15 09:50:25 +02:00
Johannes Pfeifer
c509f6d463
Add missing deblank to fieldname setting in shock_decomposition.m
2016-04-15 09:41:38 +02:00
Johannes Pfeifer
3542d086ae
Transform hard-coded bandpass filter order into option
2016-04-15 09:23:35 +02:00
Michel Juillard
800d79d6e5
add option colormap for shocks_decomposition
2016-04-15 09:02:53 +02:00
Michel Juillard
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
Johannes Pfeifer
8908d46567
Initialize s to make sure univariate_kalman_filter_d.m does not crash if newRank is 0 initially
2016-04-14 20:11:49 +02:00
Johannes Pfeifer
9a9b8f2a70
Account for smoother setting parameter count fields in dynare_estimation_init.m
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Otherwise, subsequent calls to the smoother will result in crashes
2016-04-14 20:11:22 +02:00
Stéphane Adjemian(Charybdis)
7c53ea1e96
Fixed unit tests.
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(cherry picked from commit 2cdfc0518350e4f26dd406b1730f2cf20ce29e07)
2016-04-14 17:21:37 +02:00
MichelJuillard
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
MichelJuillard
62efd9930e
Merge pull request #1148 from JohannesPfeifer/foresight_imaginary
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Add check whether real part of complex solution solves the model
2016-04-12 13:06:26 +02:00
MichelJuillard
8f1eb47a5e
Merge pull request #1104 from JohannesPfeifer/solve_algo_0
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Only accept steady state when fsolve retuns with normal return code 1
2016-04-12 13:05:28 +02:00
MichelJuillard
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
MichelJuillard
d7e4469a28
Merge pull request #1153 from JohannesPfeifer/steady_check_flag
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Make evaluate_steady_state.m honor nocheck flag
2016-04-12 12:04:57 +02:00
Johannes Pfeifer
6ad876cc18
Rename write_smoother_results to store_smoother_results.m to avoid confusion about its purpose
2016-04-12 11:37:12 +02:00
Johannes Pfeifer
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
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Closes #1161
2016-04-12 11:36:43 +02:00
Johannes Pfeifer
df20a394fc
Fix variable sorting in with ML without selected_variables_only, which was erroneously in decision rule order
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Also fixes wrong output when selected_variables_only was used
2016-04-12 11:30:14 +02:00
Johannes Pfeifer
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
Johannes Pfeifer
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
Johannes Pfeifer
00bfa2a0a9
Fix header of dynare_resolve.m
2016-04-12 10:52:36 +02:00
Johannes Pfeifer
b749a3ce75
Improve header and variable naming in write_smoother_results.m
2016-04-12 10:52:07 +02:00
Johannes Pfeifer
a78ebbce72
Document setting of element of restricted state space
2016-04-12 10:51:33 +02:00
Johannes Pfeifer
6d35dad894
Remove duplicate setting of bayestopt_.mf* in dynare_estimation_init Closes #820
2016-04-12 10:46:44 +02:00
MichelJuillard
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
Johannes Pfeifer
efee7b1a47
Remove duplication of restrict_var_list in bayestopt_
2016-04-12 10:43:28 +02:00
Johannes Pfeifer
80086ff4ab
Clarify naming of var_obs_index to indicate it refers to decision rule order
2016-04-12 10:42:44 +02:00
Johannes Pfeifer
6dddd7a8d4
Add corr.m to missing/stats
2016-04-09 15:22:40 +02:00
Johannes Pfeifer
f85d2ef970
Make shock_decomposition.m rely on smoothed deviations from mean
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Necessary after adding trend and mean to smoothed variables
2016-04-09 09:45:21 +02:00
Johannes Pfeifer
d737c7d1d8
Allow corner solution as starting point for MCMC
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Bound is treated as admissible solution in previous steps like mode-finding, so it should be here, too
2016-04-09 09:45:21 +02:00
Johannes Pfeifer
7e56302a04
Assure that log-file is closed when aborting metropolis_hastings_initialization.m
2016-04-09 09:45:21 +02:00
Johannes Pfeifer
352a4fd3ae
Port bugfix b8c6c87908
to area graphs of conditional_forecast
2016-04-09 09:45:21 +02:00
Johannes Pfeifer
1d13a5dd02
Make imcforecast.m account for presence of trends
2016-04-09 09:45:21 +02:00
Stéphane Adjemian
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
Johannes Pfeifer
358ba0181c
Save skewness and kurtosis when simulated moments are requested
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Closes #1157
2016-04-06 09:23:54 +02:00
Michel Juillard
1628f01fdb
fixing problems with Ramsey policy and auxiliary variables
2016-04-04 17:11:03 +02:00
Michel Juillard
70bcef4933
analytic derivation: cleaning up
2016-04-01 18:45:19 +02:00
Michel Juillard
e446aaddb1
analytic derivation: use <fname>_static_params_deriv where needed
2016-04-01 18:45:19 +02:00
Michel Juillard
2313f20a35
completing replacement of auxiliary variables in static model
2016-04-01 18:45:19 +02:00
Johannes Pfeifer
bf5a3ab6da
Add headers to identification routines
2016-03-31 11:20:01 +02:00
Johannes Pfeifer
a93d68fb35
Make evaluate_steady_state.m honor nocheck flag
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Closes #1054
2016-03-25 22:12:52 +01:00
Johannes Pfeifer
16d8ee0c7b
Cosmetic changes to various function headers
2016-03-25 22:05:36 +01:00
Johannes Pfeifer
0669ac4c1c
Adjust verbosity of solvers
2016-03-25 20:14:25 +01:00
Johannes Pfeifer
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
Stéphane Adjemian(Charybdis)
e714dc1a9f
Fixed bug in homotopy.
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Convex combination for initial/terminal endogenous variables paths was wrong.
2016-03-24 22:42:44 +01:00
Stéphane Adjemian (Lupi)
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
Johannes Pfeifer
6bca322809
Add check whether real part of complex solution solves the model
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Fixes #896
2016-03-23 21:25:58 +01:00
Stéphane Adjemian(Charybdis)
d3f702f47b
Fixed bug (wrong number of arguments count).
2016-03-23 13:59:10 +01:00
Stéphane Adjemian(Charybdis)
109b57c35c
Fixed typo (misplaced underscore).
2016-03-23 12:24:19 +01:00
Stéphane Adjemian (Lupi)
703cc97421
Merge branch 'master' into johannes-prefiltering_rebased
2016-03-23 11:32:20 +01:00
Johannes Pfeifer
b4f06dd2d6
Account for options_.nk potentially being empty
2016-03-23 10:48:28 +01:00
Johannes Pfeifer
94fe1de08a
Make sure loglinear option correctly set logged_steady_state option for use in stoch_simul.m
2016-03-23 10:48:27 +01:00
Johannes Pfeifer
f597709228
Condition setting of nobs and first_obs on existence of dataset
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Required in identification.
2016-03-23 10:48:26 +01:00
Johannes Pfeifer
c17de9f6b8
Fix accounting for third input argument in dyn_forecast.m
2016-03-23 10:48:25 +01:00
Johannes Pfeifer
14a15ec68b
Make sure options_-field logged_steady_state is correctly set in stoch_simul.m
2016-03-23 10:48:24 +01:00
Johannes Pfeifer
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
Johannes Pfeifer
acd08bba0e
Add means and trends to Bayesian smoother results
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Also adjusts unit test
2016-03-23 10:47:25 +01:00
Johannes Pfeifer
a534b63383
Add constant to filtered and updated ML variables
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Harmonizes treatment across ML and Bayesian estimation
2016-03-23 10:46:29 +01:00
Johannes Pfeifer
f3d7e946e3
Make simult_.m account for logged steady state
2016-03-23 10:36:00 +01:00
Johannes Pfeifer
de4d90f88e
Make sure oo_.logged_steady_state is always correctly set
2016-03-23 10:35:59 +01:00
Johannes Pfeifer
df1c7fce8a
Do not condition handing over of observable index on requesting forecasts
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Already the smoother uses them due to potential trends being present
2016-03-23 10:35:58 +01:00
Johannes Pfeifer
6f8ca74490
Factorize saving of smoother results
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Also takes care of prefilter and loglinear option for calib_smoother
Closes #803 and #804
2016-03-23 10:31:11 +01:00
Johannes Pfeifer
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
Johannes Pfeifer
6a3c2b7b44
Cosmetic changes to forcst2.m and forcst2a.m
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Cleans and documents files
2016-03-23 10:19:42 +01:00
Johannes Pfeifer
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Johannes Pfeifer
d1bbe8f852
Restore backward compatibility with old data interface
2016-03-23 10:10:42 +01:00
Johannes Pfeifer
f64b76f0d3
Move saving of data mean to data initialization instead of posterior computations
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Makes it accessible for other functions that also need it
2016-03-23 10:10:41 +01:00
Johannes Pfeifer
b235040ae1
Fix setting of no-constant option in dynare_estimation_init.m when loglinear option is used
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Setting was based on unlogged steady states
2016-03-23 10:09:17 +01:00
Johannes Pfeifer
e37448faaf
Fix exceptions when prefiltering was requested with loglinear option
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The check for an existing mean was based on the unlogged steady state, resulting in wrong error messages
2016-03-23 10:09:15 +01:00
Johannes Pfeifer
b8377b8de5
Fix constant part of forecasts with loglinear option
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Erroneously, the unlogged steady state was added
2016-03-23 10:09:14 +01:00