e043966906
Merge pull request #486 from JohannesPfeifer/prior_check
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Check initial values for violation of inverse gamma prior
2013-09-30 08:23:08 -07:00
7e7cadb878
Check initial values for violation of inverse gamma prior
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The inverse gamma distribution does not allow for the value 0, but the current check at the lower bound set LB=0 and tested for <LB instead of <=0.
Also fixes
2013-09-30 17:10:16 +02:00
1f8b4d9a86
Fix bug in display of parameter names violating the bounds condition
2013-09-30 17:02:25 +02:00
22968497ad
Fixed bug manifesting if a model is first estimated with cova_compute=0 and if the resulting mode file is loaded after.
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Added condition on the existence of hh in the mode_file.
2013-09-19 15:25:23 +02:00
9f63c4081f
Fixed bug affecting fs2000/fs2000_calib.mod and shock_decomp_calibrated_model/example1_calib_shock_decomp.mod.
2013-09-18 11:38:58 +02:00
a29db4175d
fixed bug with calibrated models in dyn_estimation_init.m introduced
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in commit 952139b
2013-09-18 11:23:47 +02:00
952139bbc9
Changes related to the treatment of the (optionally) provided mode file.
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(1) Added more checks on the content of the provided mode file compared the the list of declared parameters (the condition on the number of parameters is not strong enough).
(2) Added a mechanism to adapt the content of the mode file if possible. For instance, if the estimated parameters are a subset of the parameters in the mode file, we only need to discard some of the parameters in the mode file.
(3) Added output argument in dynare_estimation_init, which returns the hessian matrix (hh) with the estimated mode.
2013-09-10 22:25:16 +02:00
b4f8532bea
Merge pull request #441 from JohannesPfeifer/mode_check
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Bugfix for mode_check and display of parameters out of bounds
2013-08-12 03:31:50 -07:00
4052d4ccaf
Cosmetic changes. Use skipline() instead of disp(' ').
2013-07-10 17:12:34 +02:00
d9579418fd
Bugfix for correct display of names of parameters outside of bounds
2013-07-06 00:20:07 +02:00
120db8f1ea
Cosmetic changes.
2013-06-24 10:24:55 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
dce8e74c33
Fix bug where initial_estimation_checks was performed on prior mean instead of specified mode
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If the mode_file option was used, xparam1 was reloaded from the
mode-file after the initial checks, sometimes leading to very cryptic
errors. Now the initial checks already load the correct parameter
vector.
2013-04-26 21:10:36 +02:00
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
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Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
c2c88600a1
More explicit error message when no estimated_params and no smoother
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Closes : #222
2012-10-08 14:42:09 +02:00
cc26a1d806
Add comment for the use case when there is no estimated_params
2012-10-08 14:32:22 +02:00
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
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objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
2012-08-28 12:17:07 +02:00
b02303cf69
Force analytic_derivation = 1;
2012-08-21 15:53:02 +02:00
b10b2160ed
Made error message if initial parameter values are outside prior bounds more explicit.
2012-07-19 12:30:41 +02:00
3414d4d468
Fix crash in estimation introduced in 1fb89a07
2012-07-06 09:50:30 +02:00
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
1fb89a07e9
Removed global from set_state_space.
2012-07-03 11:29:18 +02:00
3ff832ddcc
added test for too large standard deviation in beta distribution;
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cleaned up error messages related to priors; set error trap for
initilial likelihood Nan or complex
2012-06-13 15:47:01 +02:00
a39a0b3b67
fixed bug when only variances are estimated, but no deep parameter
2012-06-13 14:08:58 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
e692185c6b
storing oo_.prior.mean oo_.prior.variance
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oo_.posterior.optimization.mode oo_.posterior.optimization.variance
oo_.posterior.metropolis.mean oo_.posterior.metropolis.variance as
aggregate arrays in addition to previous storage variable by variable
2012-04-21 21:28:03 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
978f29f59d
Added missing field in bayestopt_ (restrict_var_list, indices for the state and observed variables).
2012-03-04 22:12:59 +01:00
f798118902
Updated test on options_.order (current version can estimate dsge models with non linear filters considering a second order approximation of the model).
2012-03-04 22:12:59 +01:00
09a3f3a084
Updates M_params only if estim_params_ has a field param_vals (not the case for a kalman_smoother)
2012-02-17 10:36:21 +01:00
ad2a3a7ecc
fixing problem in computation of initial posterior density when steady
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state model is provided by the user
2011-12-15 17:35:27 +01:00
244e0ffb14
Corrects a minor bug related to a matrix transposition
2011-11-25 13:07:50 +01:00
e4c803d0db
fixed issues with estimation of non-stationary models. Option lik_init=2
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is contradictory with diffuse_filter or unit_root_variables
declaration. Models with non-stationary variables, but only stationary
observed variables need diffuse_filter option and make a useless call
to kalman_filter_d (this seems better than trying to distinguish these
rare cases)
2011-11-21 12:39:02 +01:00
bcf7e88217
Do not plot the priors if option nograph is used.
2011-11-14 17:56:27 +01:00
f0efbee26d
adding short circuit operator
2011-11-02 18:34:53 +01:00
b4e7e55031
fixing bug with univariate filter
2011-11-02 17:54:48 +01:00
9ac3e7a582
fixing bug when estimating models with a steady state different from
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zero. Introduced in commit bd00dc11d8
2011-11-01 18:23:12 +01:00
bd00dc11d8
removing 8th output argument of dynare_estimation_init and
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corresponding seemingly useless code
2011-10-21 22:09:45 +02:00
7e3225680f
fixing logic flaw in setting lik_init as a function of diffuse filter or kalman_algo
2011-10-21 14:21:40 +02:00
ddc029394c
Clean-up last remnants of unit_root_vars ( Closes : #167 )
2011-10-14 16:22:47 +02:00
c6a9650d20
Adapt identification routines after new dynare estimation commits.
2011-09-28 20:48:47 +02:00
f1ffeb29bb
Correction of the previous commit ( 3412d5e20a). Set options_.lik_init=3 if lik_init==1 and unit_root_vars
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keyword appears in the mod file.
2011-09-21 19:05:34 +02:00
3412d5e20a
Bug fix. Do not override option lik_init (declared in the estimation command) if unit_root_vars
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keyword is present in the mod file, by forcing options_.lik_init to be equal to 3 (diffuse kalman
filter).
2011-09-21 18:54:11 +02:00
b04738b36f
resetting options_.nobs following previous change
2011-09-18 14:49:43 +02:00
80c69c404b
Revert "added default options_.nobs = []; reset options_.nobs after call to"
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This reverts commit 8dc6b78dde
2011-09-18 14:37:29 +02:00
8dc6b78dde
added default options_.nobs = []; reset options_.nobs after call to
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intialize_dataset()
2011-09-18 12:00:11 +02:00
e9764d0538
Use a structure for the dataset. Bug fixes.
2011-09-17 15:38:49 +02:00
322adb92a5
Removed global from prior_bounds. Added texinfo header.
2011-09-14 23:41:37 +02:00
1317e04c28
block option needs a specific index for the kalman smoother
2011-06-21 13:23:06 +02:00
Sébastien Villemot
Johannes Pfeifer
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Michel Juillard
Johannes Pfeifer
Marco Ratto
Sébastien Villemot
Ferhat
Michel Juillard