Commit Graph

6570 Commits (e32b87d4b3143772889240ce963f33db25487e92)

Author SHA1 Message Date
Stéphane Adjemian (Charybdis) b398a65eb9 Added routine for computing unconditional forecasts of a backward looking model.
(cherry picked from commit d93b6b2f15)
2017-06-14 00:05:32 +02:00
Stéphane Adjemian (Charybdis) cfd82e28e4 Added routine computing IRFs of backward looking model.
(cherry picked from commit 647505526a)
2017-06-14 00:05:16 +02:00
Stéphane Adjemian (Charybdis) ca7f734561 Updated dynare_config (wrt 214b534b25)
(cherry picked from commit 12733e94f3)
2017-06-14 00:04:28 +02:00
Stéphane Adjemian (Charybdis) 5570bf1588 Moved backward models related routines in specific subfolder.
(cherry picked from commit 214b534b25)
2017-06-14 00:01:48 +02:00
Stéphane Adjemian (Charybdis) 57cab69530 Try random initial guess for dynare_solve...
... If for the default initial guess we obtain NaNs or Infs in the residuals
and/or the Jacobian matrix.

(cherry picked from commit d282226100)
2017-06-14 00:01:10 +02:00
Johannes Pfeifer b773a242c8 discretionary_policy_1.m: output which derivative is nonzero 2017-06-12 20:59:45 +02:00
Stéphane Adjemian 0500a69031 Merge pull request #1467 from JohannesPfeifer/line_breaks
Fix two line breaks
2017-06-12 16:05:15 +02:00
Stéphane Adjemian c45f9b776d Merge pull request #1466 from JohannesPfeifer/discret_policy
Adjust error message if number of instruments does not match number o…
2017-06-12 16:05:01 +02:00
Johannes Pfeifer c063fe1843 Fix two line breaks 2017-06-11 10:58:19 +02:00
Johannes Pfeifer 4f06afea9c Adjust error message if number of instruments does not match number of omitted equations 2017-06-11 10:55:14 +02:00
Stéphane Adjemian (Charybdis) be61de1367 Account for negative steady state in case of log-linearization. 2017-06-08 11:59:02 +02:00
Stéphane Adjemian (Charybdis) 3f54ab04d4 Fixed mh_optimal_bandwidth.
Bump killing mode (local bandwidth parameter), ie bandwidth=-2, was not
working. This is without consequences for Dynare because this approach is never
used.

Closes #1463.
2017-06-07 11:02:49 +02:00
Stéphane Adjemian (Charybdis) c8228d71d3 Added missing prior (Weibull). 2017-06-06 20:37:41 +02:00
Stéphane Adjemian (Charybdis) a023839890 Fixed bug instroduced in e5945a4527. 2017-06-05 10:51:30 +02:00
Stéphane Adjemian baf7ba9031 Merge pull request #1462 from JohannesPfeifer/contemp_corr
Make sure oo_.contemporaneous_correlation has same dimensions as othe…
2017-06-04 23:18:26 +02:00
Stéphane Adjemian 8015144817 Merge pull request #1460 from JohannesPfeifer/hessian_zero
Make sure that reverting to order=1 if Hessian is 0 does not crash ot…
2017-06-04 21:42:52 +02:00
Stéphane Adjemian cb25ffebaa Merge pull request #1457 from JohannesPfeifer/ML_error
dynare_estimation_init.m: provide informative error message if ML is …
2017-06-04 15:33:24 +02:00
Johannes Pfeifer f9efc6c10e Make sure oo_.contemporaneous_correlation has same dimensions as other theoretical moments, even if some variables are constant 2017-05-30 19:30:43 +02:00
Johannes Pfeifer d75e7278c2 Make sure that reverting to order=1 if Hessian is 0 does not crash other functions
Closes #1453
2017-05-27 19:26:12 +02:00
Johannes Pfeifer e5945a4527 dynare_estimation_init.m: provide informative error message if ML is run without properly initialized parameters 2017-05-26 09:46:05 +02:00
Johannes Pfeifer 7cd56e9687 Get rid of unused and superseded options_.colormap and make sure options_.plot_shock_decomp.colormap is set 2017-05-23 13:20:47 +02:00
Stéphane Adjemian (Charybdis) 4195033561 Fixed typo introduced in 88e1701289. 2017-05-20 01:21:28 +02:00
Stéphane Adjemian (Charybdis) 2e9467e511 Fixed copyright year in matlab/dynare_version.in. 2017-05-19 16:16:45 +02:00
Stéphane Adjemian (Charybdis) 803433fa5a Updated submodules (fixed indentation and copyrigth notices). 2017-05-19 08:46:20 +02:00
Stéphane Adjemian (Charybdis) 1bf81c9f5a Fixed copyright notices. 2017-05-18 18:36:38 +02:00
Stéphane Adjemian (Charybdis) b6634940ff Removed unused routine. 2017-05-17 10:27:42 +02:00
Stéphane Adjemian (Charybdis) 5417b27ac7 Fixed indentation of matlab files. 2017-05-16 15:10:20 +02:00
Stéphane Adjemian (Charybdis) a53636e24e Fixed copyright notices. 2017-05-16 14:11:15 +02:00
Stéphane Adjemian (Charybdis) 88e1701289 Removed useless commas and semicolons. 2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis) 9285a80a73 Fixed function name in header. 2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis) 5ef2d650b2 Fixed function name in header. 2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis) 06ae919b87 Removed *.el file that should not have been commited. 2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis) 1a8cba5d26 Removed @dynTimeIndex class (unused). 2017-05-16 13:24:46 +02:00
Stéphane Adjemian ab9b512021 Merge pull request #1450 from JohannesPfeifer/var_list_problems
Make sure varlists are correctly updated after removal of doubly defi…
2017-05-16 13:23:48 +02:00
Johannes Pfeifer c373ed3897 Make sure varlists are correctly updated after removal of doubly defined variables via varlist_indices.m
Otherwise the mapping between i_var and varlist does not match anymore (results in e.g. wrong display of IRFs)
2017-05-14 11:03:05 +02:00
Stéphane Adjemian (Charybdis) ae50f25c76 Fixed detection of stochastic trends orthogonal to the observed variables. 2017-05-12 18:55:15 +02:00
Stéphane Adjemian (Charybdis) 278726f3fc Fixed typo. 2017-05-10 18:42:46 +02:00
Stéphane Adjemian (Charybdis) 3816272414 Make load_m_file_data_legacy.m work with row vectors.
Added unit-tests.
2017-05-10 17:39:11 +02:00
Ferhat Mihoubi 981e31c8c3 Fix issues in bytecode with option extended_path related to the size of endo_simul and exo_simul
(cherry picked from commit ab7acc49e30fbcb292d63d58281581a308716b4c)
2017-05-08 18:40:18 +02:00
Ferhat Mihoubi e248d8bf59 Fix memory and periods issues in bytecode
(cherry picked from commit fa5dd681abcb3243a5ee9be1f71fdfc51bced1cd)
2017-05-08 18:39:44 +02:00
Stéphane Adjemian (Charybdis) 28f1ff8c4a Renamed routine. 2017-05-06 16:38:19 +02:00
Stéphane Adjemian (Charybdis) d471bede09 Call dynare_solve instead of trust region when simulating backward models.
Gives access to other solvers.
2017-05-06 16:32:48 +02:00
Stéphane Adjemian (Charybdis) 36fb15f34c Rewrote header. 2017-05-04 18:17:15 +02:00
Stéphane Adjemian (Charybdis) cfc849fadc Fixed subsample periods for exogenous variables.
Model inversion routine was returning wrong results when the periods in
constrainedpaths where not aligned with the periods in exogenousvariables.

(cherry picked from commit d0071bd80b)
2017-05-03 14:22:04 +02:00
Stéphane Adjemian (Charybdis) 5ce20179bd Added specialized code for the inversion of backward models. 2017-05-02 23:04:44 +02:00
Stéphane Adjemian f6bb392165 Merge pull request #1445 from JohannesPfeifer/ramsey_message
Ramsey: provide informative error messages related to steady state
2017-05-02 22:56:26 +02:00
Johannes Pfeifer 37bffddef8 Provide correct error code if no steady_state-file is provided and Ramsey fails to find steady state 2017-05-02 13:48:25 +02:00
Johannes Pfeifer 5af9af06b4 Provide informative error message if steady state file is used without specifying an instrument 2017-05-01 18:59:11 +02:00
Stéphane Adjemian (Charybdis) e1c983cc7b Fixed bug (ensure that we concatenate column vectors). 2017-04-29 19:20:02 +02:00
Johannes Pfeifer b52c095a6b Add legacy function for loading mat-files with old interface
Follows approach of #758 and closes #1364
2017-04-29 18:25:39 +02:00
Stéphane Adjemian 072246c5ab Merge pull request #1441 from JohannesPfeifer/ksstat
Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
Johannes Pfeifer d7b2e271d7 Update documentation on sensitivity
Closes #789
2017-04-27 12:03:02 +02:00
Johannes Pfeifer 451646ff16 Remove redundant ksstat option
Closes #1431
2017-04-27 11:08:17 +02:00
Stéphane Adjemian (Charybdis) c1b6a58eb7 Manually revert 05fc096569.
Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).

Closes #1437.
2017-04-27 10:44:27 +02:00
Stéphane Adjemian (Charybdis) d6e1d0baa5 Added option rescale_prediction_error_covariance. 2017-04-26 18:22:03 +02:00
Stéphane Adjemian (Charybdis) e21387c874 Bump Octave version.
Octave 4.2.1 32bit or 64bit is now required (should work with 4.2.0 but not
tested anymore, so users should upgrade).
2017-04-26 15:51:24 +02:00
Stéphane Adjemian (Charybdis) 650a3f6da2 Point to mex/octave32 if OCtave 32bit is used on Windows platform. 2017-04-26 15:10:40 +02:00
Johannes Pfeifer 6ca415ce14 stochastic_solvers.m: Suppress redundant warning if order was already set to 1 2017-04-25 20:16:10 +02:00
Houtan Bastani 7829a25238 make stoch_simul solve linear model using order=1, even when order=2,3 specified. Also makes stoch_simul more efficient. closes #1336
(cherry picked from commit e29be9676dd40388919819af2d366b8308763ccc)
2017-04-22 16:26:13 +02:00
Stéphane Adjemian (Charybdis) 767e45db95 Shut off warning about short circuit operators (when calling qzdiv). 2017-04-22 14:44:47 +02:00
Stéphane Adjemian (Charybdis) ad21612967 Removed Octave specific part in mjdgges.m function.
Also force complex QZ factorization in Octave.
2017-04-22 14:44:47 +02:00
Johannes Pfeifer fa1563370c Make resol.m honor nocheck flag
Before, we never tested for correctness, allowing for wrong steady state files in the check command. Fixes bug introduced in 616efb53a448cfa59149951395838627fd1bf719 and restores behavior in 4.4.3
2017-04-21 10:10:03 +02:00
Stéphane Adjemian 7f4c1c6529 Merge pull request #1435 from JohannesPfeifer/cmaes_fitness
mode_compute=9: Make sure initial search volume (SIGMA) is not badly …
2017-04-20 16:33:37 +02:00
Stéphane Adjemian (Charybdis) 7376498e51 Fixed branch for dseries submodule. 2017-04-20 16:28:39 +02:00
Johannes Pfeifer 52a082a1f9 Add check for positive definiteness of Sigma_u^star
Otherwise, complex likelihoods may occur
2017-04-20 16:18:03 +02:00
Stéphane Adjemian (Charybdis) d0682bca30 Updated dseries submodule. 2017-04-20 15:36:06 +02:00
Johannes Pfeifer f1123200e5 mode_compute=9: Make sure initial search volume (SIGMA) is not badly conditioned 2017-04-12 13:39:34 +02:00
Stéphane Adjemian (Charybdis) 97ac502d3d Fixed wrong threshold (unit root detection again). 2017-04-05 14:14:56 +02:00
Stéphane Adjemian (Charybdis) 288f010944 Fixed bug (detection of unit roots). 2017-04-05 14:11:23 +02:00
Stéphane Adjemian (Charybdis) f57fc0a5a3 Added new routine for model inversion. 2017-04-05 13:42:03 +02:00
Stéphane Adjemian (Charybdis) 8a18e87d98 Removed persistent variables in evaluate_smoother routine.
Closes #1412.
2017-04-05 11:44:27 +02:00
Johannes Pfeifer 00299a92c1 Make sure options_.first_obs is properly set 2017-04-05 11:44:27 +02:00
Stéphane Adjemian (Charybdis) 4dcdb81a31 Changed error message introduced in 30c9b3721564d89d1b85abcdc75d493075e6ca77. 2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis) ade89a9ec1 Fixed missing initialization of qz_criterium with nonlinear filters. 2017-04-03 11:25:05 +02:00
Johannes Pfeifer 76c4bd04fe Provide informative error message if non-stationary model is estimated using particle filter
Closes #1377

(cherry picked from commit efaa7e54136ffd48fb69e075ecacf9708a553d3b)
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis) f9a462bf07 Added option nonlinear_filter_initialization.
Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).

If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.

A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis) 97e185bc6e Cosmetic changes in doc header. 2017-04-03 11:25:05 +02:00
Houtan Bastani f18c16653e Merge pull request #1428 from JohannesPfeifer/patch-1
Test the rank of Pinf in univariate smoother for the subset of observables
2017-04-01 09:57:32 +02:00
Johannes Pfeifer 1755192e63 Make 792924 consistent with cases where Pinf is an empty matrix
Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
Houtan Bastani ac851b0bac preprocessor: initial_condition_decomposition front end. closes #1425 2017-03-31 13:19:04 +02:00
Houtan Bastani 3e779ebfee initial_condition_decomposition: fix options_ substructure 2017-03-31 13:09:21 +02:00
Marco Ratto 792924a3b7 - test the rank of Pinf in univariate smoother for the subset of observables, in order to trap cases where this is not already trapped in compute_Pinf_Pstar.m
- issue warning when diffuse steps never end [maybe we should issue an error?]
2017-03-30 11:21:54 +02:00
Johannes Pfeifer bf607ce630 Make sure no stale _posterior_draws.mat files are present
May crash compute_moments_varendo.m due to more files being present than generated in the current run
2017-03-29 14:52:32 +02:00
Johannes Pfeifer 839e7075f6 dsge_simulated_theoretical_covariance.m: fix bug that led to last _2ndOrderMoments*.mat file not being saved, instead overwriting the prior one
Produced wrong posterior covariance estimates in large models, because the moments matrix contained zeros that were not overwritten by loaded draws due to missing file
2017-03-29 14:52:32 +02:00
Houtan Bastani 37dd5fd077 Merge pull request #1422 from JohannesPfeifer/real_time_shock
realtime_shock_decomposition.m: Delete variable that produced unwante…
2017-03-27 11:37:16 +02:00
Houtan Bastani 2240b06487 fix typo 2017-03-27 11:20:34 +02:00
Marco Ratto e24b1ea76e fixes in preamble and plot_shock_decomp structure of options. 2017-03-27 08:29:52 +02:00
Johannes Pfeifer 4380b4a973 realtime_shock_decomposition.m: Delete variable that produced unwanted output 2017-03-25 12:21:47 +01:00
Marco Ratto bab401ebbc utility to decompose initial condition effect 2017-03-25 08:16:33 +01:00
Houtan Bastani 7315b5ae73 fix bug in merge commit e103462050 2017-03-24 18:11:45 +01:00
Houtan Bastani b3fa669717 bug fix introduced in 234aaacf92 2017-03-24 17:13:03 +01:00
Houtan Bastani ae921f6bf1 Merge remote-tracking branch 'rattoma/shock_decomp' 2017-03-24 16:20:47 +01:00
Houtan Bastani b5262ca1e8 Merge remote-tracking branch 'rattoma/deterministic' 2017-03-24 16:20:01 +01:00
Houtan Bastani e103462050 Merge remote-tracking branch 'rattoma/gsa' 2017-03-24 16:19:44 +01:00
Houtan Bastani 732aa8c30c Merge remote-tracking branch 'rattoma/slice' 2017-03-24 16:19:04 +01:00
Houtan Bastani 598422931b reporting: submodule update 2017-03-24 16:16:48 +01:00
Houtan Bastani b3ecc8c003 preprocessor: add plot_shock_decomposition command. closes #1406 2017-03-24 12:11:36 +01:00
Houtan Bastani b8b6228d67 graph_decomp_detail: fix bug, extra argument not referenced 2017-03-24 11:24:14 +01:00
Houtan Bastani 93130ee922 fix bug in WriteShockDecomp2Excel 2017-03-24 10:34:59 +01:00
Houtan Bastani c467c92d29 shock_decomposition: move fig_names to fig_name (fixing typo) 2017-03-24 10:34:59 +01:00
Houtan Bastani e5f1d20221 change dyn_figure to take a nodisplay and graph_format arguments as opposed to options_. closes #1415 2017-03-23 17:59:05 +01:00
Houtan Bastani 2aa85f978a change dyn_figure to take a nodisplay argument as opposed to options_. #1415 2017-03-23 14:30:16 +01:00
Marco Ratto afcb8eab35 catch M_ output argument from evaluate_smoother;
remove unused variable lead_lag_incidence
2017-03-23 08:25:14 +01:00
Marco Ratto 234aaacf92 factorized display of critical values. 2017-03-23 00:08:05 +01:00
Marco Ratto c60379ae96 upgrade call to evaluate_smoother 2017-03-22 23:32:19 +01:00
Marco Ratto 1db86865f7 better trap missing input arguments 2017-03-22 23:24:41 +01:00
Marco Ratto 99dbc8c74d bug fix with redundant call to prior_bounds 2017-03-22 23:08:18 +01:00
Marco Ratto b77791c541 ensure invhess is empty with slice for proper prior initialization of chains 2017-03-22 23:06:19 +01:00
Marco Ratto 780c1f5216 provide userdata with info on actual varlist used 2017-03-22 22:37:59 +01:00
Marco Ratto a9dd046db7 fill in end of sample conditional shock decompositions. 2017-03-22 22:30:14 +01:00
Stéphane Adjemian (Charybdis) 76097a799f Added missing struct2array routine. 2017-03-22 15:20:13 +01:00
Stéphane Adjemian (Charybdis) ee2c30fd97 Partialm cherry-pick of 28e95d817a181f758dab595d6a14de0ff348bed5
Give more informations in case of NaN, Inf or non real variables.

Closes PR #1385.
2017-03-22 14:04:35 +01:00
Stéphane Adjemian (Charybdis) 85fe69b265 Cosmetic change (use logicals). 2017-03-20 11:39:22 +01:00
Johannes Pfeifer 9abac8ccdb Store indicator whether smoother was used with loglinear
Required to keep track of whether estimates were logged. Related to #1407
2017-03-20 11:36:10 +01:00
Johannes Pfeifer 5424fde74e metropolis_draw.m: Replace round by ceil to avoid crashes when 0 draws would be used
(cherry picked from commit 2dc3ad22fdb8fedee7fdd2ed3577978bd8f37324)
2017-03-20 10:19:14 +01:00
Johannes Pfeifer 94ef60556e Account for loglinear option when reading in M_.endo_histval
(cherry picked from commit d088420c21eba397459015b6a957c7eff7eafc36)
2017-03-20 09:37:58 +01:00
Johannes Pfeifer 6e268c34d4 Cosmetic fixes to dynare_estimation_init.m
(cherry picked from commit 7ea24165c0a26393753c58170f74fab3f7076b3e)
2017-03-20 09:27:04 +01:00
Marco Ratto 9427b58bfd add parameter names to mean file, to ensure same behavior of standard mode files. 2017-03-19 12:19:24 +01:00
Marco Ratto 389123d0b5 bug fixes. 2017-03-19 12:19:24 +01:00
Marco Ratto 121333d913 currently, the mode_file specified by the user is re-set to empty. This re-sets mode_file to the user defined value. 2017-03-19 12:19:24 +01:00
Marco Ratto b916d788f4 trap cases where both point and posterior estimates are available 2017-03-19 12:19:24 +01:00
Stéphane Adjemian (Charybdis) a869f5a2c4 Updated m-unit-tests submodule. 2017-03-19 12:15:22 +01:00
Marco Ratto 2b28ba70d9 Make remote parallel computation compatible with new steadystate and auxiliary variable files 2017-03-18 17:28:44 +01:00
Stéphane Adjemian (Charybdis) 6c21d44968 Fixed encoding.
For a non identified an enconding issue was leading scatter_plots function to crash...
2017-03-18 16:28:30 +01:00
Marco Ratto d1550293bf bug fix for the rare case where r2 does not change for some observable 2017-03-18 10:27:36 +01:00
Marco Ratto 576b2d0f85 end-of-line fix 2017-03-18 10:27:36 +01:00
Marco Ratto 0845aa8430 Fixed header and license of GSA. 2017-03-18 10:27:36 +01:00
Marco Ratto a40a854a59 Set copyright for pick.m 2017-03-18 10:27:36 +01:00
Marco Ratto 0f07d17d8c Introduced scatter plot analysis of output results, borrowing from by GLUWIN toolbox. 2017-03-18 10:27:36 +01:00
Marco Ratto a47f6fc2ca - save also info on selected endo names
- bug fix for one single endo variable
- when nograph, no older plot is deleted
2017-03-18 10:27:36 +01:00
Marco Ratto 0752d6a8e6 Trap incompatible user define options in a more transparent way. Fixes #1016. 2017-03-18 10:27:36 +01:00
Marco Ratto a5a086040b Bug fixes for latex and to new smooth* files saved by posterior sampler 2017-03-18 10:27:36 +01:00
Stéphane Adjemian (Charybdis) e71ed1bad6 Partially revert f70f45d1271e716498a8761a8e8476f54da3607d. Do not discard repetitions. 2017-03-18 00:06:15 +01:00
Marco Ratto c02de3c652 fixed text to error message 2017-03-18 00:06:15 +01:00
Marco Ratto e180e2f075 1) fixed while for b index
2) ensure there are no repeated draws in sub-draws;
3) speed-up subdraw sampling when all retained draws are used.
2017-03-18 00:06:15 +01:00
Marco Ratto 20b0fc8bac update mh_mode with slice and load_mh_file 2017-03-18 00:06:15 +01:00
Marco Ratto 1e3e2f70a9 set posterior sampler options when load_mh_file 2017-03-18 00:06:15 +01:00
Marco Ratto 49b45a3ba7 sampler options to be set also when load_mh_file = 1 2017-03-18 00:06:15 +01:00
Marco Ratto fd8073720e For very short chains, maximize the max number of sub_draws across chains 2017-03-18 00:06:15 +01:00
Stéphane Adjemian (Charybdis) bc6c6fc486 Removed remaining calls or references to cputime. 2017-03-17 22:49:01 +01:00
Marco Ratto a68e958cf7 As agreed in #1375, moved treatment of filtered_vars in dynare_estimation_init.m 2017-03-17 15:43:00 +01:00
Marco Ratto 4f93c3df15 proper use of varlist in smoothed variables + sort in alphabetic order to find more easily plots for large numbers of variables. 2017-03-17 15:43:00 +01:00
Marco Ratto 4b2d139c7a - store oo_.FilteredVariablesKStepAheadVariances only if options_.filter_covariance. this can save a lot of memory for large models
- oo_.FilteredVariables must be stored independently to a previous MCMC. evaluate_smoother must in any case provide full info in oo_
- options_.filtered_vars does not always imply filtered variables are computed. options_.nk is more robust.
2017-03-17 15:43:00 +01:00
Stéphane Adjemian (Charybdis) 510bbe200e Bug fix (wrong number of output arguments when calling evaluate_smoother). 2017-03-17 15:09:05 +01:00
Stéphane Adjemian (Charybdis) 0adb065b7e Bug fix (wrong count of the number of output arguments). 2017-03-17 14:21:53 +01:00
Johannes Pfeifer 5d8d5e90d8 evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
Closes #1373
2017-03-17 13:15:39 +01:00
Stéphane Adjemian (Charybdis) b6a8887da3 Bug fix (missing declaration of freq if initial_date is empty). 2017-03-17 12:42:00 +01:00
Marco Ratto 6b64c47ec2 Bug fix with stored shock_decomp options 2017-03-17 12:41:59 +01:00
Marco Ratto ab21c383a6 Added check for change in options_.nobs, for rolling calls to smoother
Use select_qz_criterium_value
to fix all cases where the default
options_.qz_criterium = [];
is passed to evaluate_smoother and dataset_ is already set.

qz_criterium also set to fix evaluate_likelihood.m for similar issues
2017-03-17 12:41:59 +01:00
Marco Ratto 19cc38b39e allow to start from quarterly growth rate variables 2017-03-17 12:41:59 +01:00
Marco Ratto ce6f76713d cosmetic change 2017-03-17 12:41:59 +01:00
Marco Ratto 7a6b4f3464 extra option about choosing the time periods for which to plot decompositions 2017-03-17 12:41:59 +01:00
Marco Ratto 1920fb0bfe fixed timing bugs in annualized shock decomposition 2017-03-17 12:41:59 +01:00
Marco Ratto d7723877cf bug fixes for annualized nominal variables 2017-03-17 12:41:59 +01:00
Marco Ratto ac43beb801 bug fix with 'others' in conditional decomposition 2017-03-17 12:41:59 +01:00
Marco Ratto 9005054c6f optional output argument for plot_shock_decomposition.m + several fixes to annualized computations and plots. 2017-03-17 12:41:59 +01:00
Marco Ratto 39c3cf7718 bug fix with realtime conditional shock decomp 2017-03-17 12:41:59 +01:00
Marco Ratto a8107e154a added new annual aggregation types, for consistent quantity/price aggregations, if required. 2017-03-17 12:41:59 +01:00
Marco Ratto cb3362b89d missing utility for xls export of shock decomps. 2017-03-17 12:41:59 +01:00
Marco Ratto 5a51e9cc78 fixed zero line in all cases 2017-03-17 12:41:59 +01:00
Marco Ratto a50a4f458a Bug fix: all shock decomp options need to be stored in mydata for uimenu's. 2017-03-17 12:41:59 +01:00
Marco Ratto e21c887775 bug fix with steady state option 2017-03-17 12:41:59 +01:00
Marco Ratto 61d55127ed Fixed bug with naming of screen option 2017-03-17 12:41:59 +01:00
Marco Ratto e7442bcf78 added geometric average.
Set neutral type names, replacing stock/flow/deflator.
2017-03-17 12:41:59 +01:00
Marco Ratto 46d6e59c9a small fix to file names 2017-03-17 12:41:59 +01:00
Marco Ratto bfe6d04bf2 - Added the possibility to compute annualized variables and associated decompositions out of quarterly ones, without blowing up variable definitions
- Fixed call to plot realtime conditional shock decomposition
2017-03-17 12:41:59 +01:00
Marco Ratto bb4ecbf5a8 Realtime conditional forecast is better computed as residual from the realtime shock decomposition and the model unconditional forecast 2017-03-17 12:41:59 +01:00
Marco Ratto a7ae355e8f Fixed dating issues in some plot shock decomps 2017-03-17 12:41:59 +01:00
Marco Ratto 441d34a6ee Fixed bug with realtime conditional shock decompo 2017-03-17 12:41:59 +01:00
Marco Ratto f87e240b30 Some better diversification of fig names and captions 2017-03-17 12:41:59 +01:00
Marco Ratto 92f79a14f4 Added realtime conditional forecast shock decomposition 2017-03-17 12:41:59 +01:00
Marco Ratto 3bebeb1832 Legend for detailed plots 2017-03-17 12:41:59 +01:00
Marco Ratto 3fdf7be6e8 - removed useless internal option fig_mode
- better captions/figure nsmes
- moved plots to graphs subdir
- fixed latex issuea [label and caption].
2017-03-17 12:41:59 +01:00
Marco Ratto 10773e2cbb results of realtime_shock_decomposition.m should be plotted using only plot_shock_decomposition.m, so avoid unexpectable behavior. 2017-03-17 12:41:59 +01:00
Marco Ratto d304fd26c1 shock_decomposition.m has to rely on plot_shock_decomposition.m, to make behaviour robust. 2017-03-17 12:41:59 +01:00
Marco Ratto c2d2c46edf fixed figure name 2017-03-17 12:41:59 +01:00
Marco Ratto 02b3e20377 allow uimenu's also for colored graphs + better organization of userdata info 2017-03-17 12:41:59 +01:00
Marco Ratto 4ff586247e bug fix in Others group label 2017-03-17 12:41:59 +01:00
Marco Ratto 2c54d4432a - Bug fix with screen_shocks option
- fix to figure title
2017-03-17 12:41:59 +01:00
Marco Ratto ad55e1b085 initialize screen_shocks option of shock decomp 2017-03-17 12:41:59 +01:00
Marco Ratto 9e73a9e86b add steady state line 2017-03-17 12:41:59 +01:00
Marco Ratto 94297b71cc bug fixes around plot_shock_decomposition.m utilities 2017-03-17 12:41:59 +01:00
Marco Ratto 0bf30889f9 Fixed header + bug fix for default options + set only local nograph 2017-03-17 12:41:59 +01:00
Marco Ratto e3c825f01a fixed header 2017-03-17 12:41:59 +01:00
Marco Ratto 73e5650dcc Revert "shock_decomposition should also follow global options_.nograph"
This reverts commit 01971dbeb032642421f60b468517fbbe0995a222.
2017-03-17 12:41:59 +01:00
Marco Ratto ba7802204f end of lines 2017-03-17 12:41:59 +01:00
Marco Ratto d2d6e19d87 fixes around default options in shock decompositions 2017-03-17 12:41:59 +01:00
Marco Ratto 7733484912 New utility plot_shock_decomposition.m
new graph_decomp_detail.m for detailed plots of shock contributions
new expand_group.m for optional uimenu operation in case of grouped shocks.
2017-03-17 12:41:59 +01:00
Marco Ratto 3ed94b2e46 New realtime_shock_decomposition.m routine + provisions in global initialization 2017-03-17 12:41:59 +01:00
Marco Ratto 4a314f7f8a shock_decomposition should also follow global options_.nograph 2017-03-17 12:41:59 +01:00
Marco Ratto a092cc3b73 Set default graph options and extend graph_decomp.m accordingly. 2017-03-17 12:41:59 +01:00
Marco Ratto e174d04579 - New option init_state [options_.shock_decomp.init_state] to compute the shock decomposition conditional to the state variables in period 1;
- force plot_priors=0
- when grouping shocks, include the residual group Others, since user defined groups may not add up to the smoothed variable.
2017-03-17 12:41:59 +01:00
Marco Ratto f27f210654 New utility for changing M_.params only locally 2017-03-17 12:41:59 +01:00
Marco Ratto a6f7e02d17 added utilities for optimal distinguishable colors. 2017-03-17 12:41:59 +01:00
Stéphane Adjemian (Charybdis) 06326d4477 Fixed bug introduced in cad7adc01f. 2017-03-16 18:14:23 +01:00
Stéphane Adjemian (Charybdis) dbffe2a841 Do not check boundaries if the model is not estimated. 2017-03-16 15:50:44 +01:00
Stéphane Adjemian (Charybdis) cc34e16458 Set temporarily mode_compute and mh_replic to zero if estim_params_ is empty. 2017-03-16 15:45:08 +01:00
Stéphane Adjemian (Charybdis) cad7adc01f Added routine for testing if we are currently estimating a model. 2017-03-16 15:03:46 +01:00
Stéphane Adjemian (Charybdis) 5f5c093b2e Renamed isestimation function + Cosmetic changes. 2017-03-16 15:00:02 +01:00
Stéphane Adjemian d0ab90275b Merge pull request #1402 from JohannesPfeifer/prior_asymptote
Add warning if prior has an asymptote
2017-03-15 16:33:10 +01:00
Stéphane Adjemian (Charybdis) 1ff816d7bf Updates particles submodule. 2017-03-15 16:30:29 +01:00
Stéphane Adjemian (Charybdis) 4f3b35acba Account for Matlab 2017a.
(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
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.
Introduced in ffebf6b262.
2017-02-15 13:35:33 +01:00
Stéphane Adjemian (Charybdis) ffebf6b262 Check positive steady state for loglinear option...
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.
+ 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.

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).
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.
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
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
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
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
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
Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
Stéphane Adjemian 90982d5fa0 Merge pull request #1357 from rattoma/parallel
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
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
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.
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
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
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
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
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.
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
refactored code
2016-11-22 18:40:10 +01:00
Michel Juillard 73e0f9d591 made evaluate_steady_state file consistent with evaluation of auxiliary
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
Houtan Bastani a11e355587 Merge pull request #1327 from JohannesPfeifer/line_break
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
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
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
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
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
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
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
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
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
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
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
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
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
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
- 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
Closes #1215
2016-10-02 10:51:47 +02:00
Houtan Bastani 68bc9cb9bb Merge pull request #1281 from rattoma/master
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
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"
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
Describes option introduced in 5e398559f4
2016-09-14 18:04:01 +02:00