Commit Graph

2818 Commits (e637319be5eb6436fea72fd9e49abd2a88dc557e)

Author SHA1 Message Date
Marco Ratto e637319be5 bug fix. the diffuse filter should simply penalize the likelihood with the NaN without breaking the estimation (this is in line with missing_observations_kalman_filter_d.m). 2012-09-14 17:05:35 +02:00
Sébastien Villemot c74b1d1bdc Provisions for MATLAB 8.0 (R2012b) 2012-09-14 11:10:47 +02:00
Marco Ratto 428b193c11 Need to pass the entire global workspace, if subroutines called by the _core loops need them. Updated parallel test. 2012-09-11 15:45:08 +02:00
Sébastien Villemot c65ff9d988 Fix crash with MATLAB 7.1 and 7.2 under Windows
Closes: #277
2012-09-11 12:32:27 +02:00
Sébastien Villemot 2d66c68301 Fix function header 2012-09-11 11:16:40 +02:00
Michel Juillard 07193b2cfa fixing bug in computing full_rank for purely backward models 2012-09-11 10:06:38 +02:00
Michel Juillard 92833d3ceb In CHECK, use the eigenvalues as computed by the reordered real
generalized Schur decomposition, rather than the ones computed by
eig()
2012-09-10 14:27:56 +02:00
Michel Juillard a22d1d415a replaced rank() by rcond() in evaluating whether Z22 is full rank in
checking Blanchard and Kahn conditions with CHECK
2012-09-10 13:26:05 +02:00
Stéphane Adjemian (Scylla) 205b455ad7 Added the possibility, for each given size of the sample, to restart an arbitrary number of times the estimation when estimating a model with a recursive approach.
Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
2012-09-06 14:13:29 +02:00
Stéphane Adjemian (Scylla) 8a0fe91480 Removed annoying warning messages. 2012-09-06 12:22:32 +02:00
Stéphane Adjemian (Scylla) 43e2c9ecef Added a routine to test if a file exist. 2012-09-06 12:21:28 +02:00
Stéphane Adjemian (Scylla) 19c46dba55 Improved recursive estimation. Run the estimation using previous results (saved in <M_.fname>_mode.mat). 2012-09-06 11:14:48 +02:00
Marco Ratto 6beb4e3f8f small bug fix 2012-08-30 14:59:32 +02:00
Michel Juillard e8f159f66b fixing bugs in previous commit 2012-08-30 12:44:46 +02:00
Michel Juillard 1bac2d34c3 adding a trap to catch the case where the random generator of the
master is not available on the slave
2012-08-30 12:24:05 +02:00
Michel Juillard f77b101d7b fixing bugs in random generator handling code 2012-08-29 22:12:50 +02:00
Michel Juillard 378413ed14 fixing typo in previous commit 2012-08-29 21:02:33 +02:00
Michel Juillard dbdbfdd926 adding set_dynare_random_generator_state() and
get_dynare_random_generator_state(). Use now different seeds for
different Metropolis chains. Fixed handling of random generator state
thourghout the code.
2012-08-29 17:58:54 +02:00
Stéphane Adjemian (Charybdis) d9f3ab5be8 Partially revert commit #69efc894c6dc9ac1250bd7450bd57443f088c242. Test for Octave/Matlab to decide how to call the print command. Added a warning stating that Octave cannot create pdf files. 2012-08-29 16:50:08 +02:00
Michel Juillard d60202616a fixed problem with penalty in estimation. Created a new global scalar:
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
Michel Juillard 526d6ca76c removing unused function 2012-08-28 11:55:16 +02:00
Marco Ratto e519b04713 bug fix: when nograph=1, SmoothedShocks were not saved. 2012-08-27 17:45:47 +02:00
Marco Ratto 1193cab7c8 Make the function compatible with multiple file formats. 2012-08-27 16:37:14 +02:00
Stéphane Adjemian (Charybdis) 0508bf9a41 Added missing default options for stochastic simulation of nonlinear backward looking models.
(cherry picked from commit 4053f664ecec14ffb7269c6bbf78355ca46b6b92)
2012-08-27 12:53:11 +02:00
Marco Ratto a7ba2b51e7 Trap error when the model does not solve for point estimation (prior mean-mode posterior mean-mode) 2012-08-24 17:09:13 +02:00
Marco Ratto 9edce5414f bug fix for octave. 2012-08-24 16:40:24 +02:00
Marco Ratto fda047e19c updated penalty has to be properly passed to the objective function.
This relates should fix behaviour after commit 6b3bd9dd0b.
2012-08-24 16:39:04 +02:00
Stéphane Adjemian (Charybdis) fe98a0875d Added the possibility to save the plots generated by the shock_decomposition command. 2012-08-24 15:03:35 +02:00
Stéphane Adjemian (Charybdis) 150256268f Fixed mixed indices (j was used for indexing two nested loops). 2012-08-24 15:00:21 +02:00
Stéphane Adjemian (Charybdis) 69efc894c6 Fixed bug. Removed extension declaration for Encapsulated PostScript graphics file format. 2012-08-24 14:56:44 +02:00
Stéphane Adjemian (Charybdis) b89bdb6fd6 Bug fix. Call evaluate_steady_state_routine, otherwise evaluate_smoother crashes if the steady state of the model is specified using the steady state model block (or writing a steadystate2.m routine). 2012-08-24 12:51:44 +02:00
Sébastien Villemot 56914e3d4c Require at least Octave 3.4 (linsolve does not compile against 3.2) 2012-08-23 16:40:00 +02:00
Marco Ratto 6b91301365 Reduce memory requirements for analytic Hessian.
Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
2012-08-21 16:00:55 +02:00
Marco Ratto b02303cf69 Force analytic_derivation = 1; 2012-08-21 15:53:02 +02:00
Marco Ratto b1dd7a5137 Allow quicker evaluation of likelihood with analytic derivatives. 2012-08-21 15:46:35 +02:00
Marco Ratto 7683175e8e Bug fix in terms for outer product gradient with analytic derivatives 2012-08-21 15:45:25 +02:00
Marco Ratto 9fd8bf954e bug fix in formula for analytic Hessian. 2012-08-15 14:19:34 +02:00
Marco Ratto f7aae77f16 removed useless elements + reduce loops for efficiency
(cherry picked from commit f2271264994af253ccdc7f01478320e4d2c2c0e7)
2012-08-13 13:04:34 +02:00
Marco Ratto 3ddafb164b -) Added missing terms for analytic Hessian when steady state depends on estimated params;
-) bug fixes;
(cherry picked from commit c84f70f6630f4988716dcb4ea59315180bbb36e7)
2012-08-13 13:04:07 +02:00
Michel Juillard 70e162c736 removed globals from solve1.m 2012-08-06 23:32:40 +02:00
Sébastien Villemot db62e3d7a0 issquare exists under Octave and returns the matrix dim if it is square 2012-08-06 18:26:16 +02:00
Sébastien Villemot 2e65a9ab96 Provide a better implementation of linsolve for Octave
Closes: #273
2012-08-06 18:26:16 +02:00
Michel Juillard a400305f20 updating list of info codes returned by dynare_resolve() in DsgeVarLikelihood 2012-08-06 12:02:35 +02:00
Michel Juillard 2e9ae5df28 dealing with info == 8 (Nan in Jacobian) during estimation 2012-08-06 12:00:03 +02:00
Sébastien Villemot 336fc56518 Merge remote-tracking branch 'jpfeifer/master' 2012-08-06 11:44:15 +02:00
Michel Juillard 7e221e5d31 factoring setting of bayestop_.penalty = Inf in Metropolis 2012-08-05 15:27:14 +02:00
Michel Juillard 7959102d43 removed global and varargin in Metropolis routines 2012-08-05 15:10:21 +02:00
Johannes Pfeifer 1a968d5f22 Added check for NaN in Jacobian to stochastic_solvers and added explicit error message to print_info.m 2012-08-05 13:09:24 +02:00
Michel Juillard b1ad31cf56 removed seeding random generators from clock in cmaes and metropolis hastings 2012-08-05 10:59:59 +02:00
Michel Juillard 6b3bd9dd0b penalty is now passed as a field of bayestopt_ (or BayesInfo) 2012-08-02 22:23:29 +02:00