Stéphane Adjemia (Scylla)
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
Stéphane Adjemia (Scylla)
139c58dd76
Added Gauss Newton algorithm for minimizing sum of squared residuals.
2018-11-26 09:48:50 +01:00
Stéphane Adjemia (Scylla)
6b113273d3
Added integration tests (Iterative OLS and NLS for PAC equations).
2018-11-21 16:26:38 +01:00
Stéphane Adjemia (Scylla)
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
Stéphane Adjemia (Scylla)
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
Stéphane Adjemia (Scylla)
524085927d
Removed useless tag (data_type).
2018-10-24 18:45:38 +02:00
Stéphane Adjemia (Scylla)
dcea7514d9
Merge branch 'master' into ecb-master
2018-10-24 18:31:31 +02:00
Stéphane Adjemia (Scylla)
de0ed40f14
Updated preprocessor submodule.
2018-10-24 18:27:46 +02:00
Houtan Bastani
8a2c38cf6c
olsgibbs: save fitted values in dataset; allow use of dictionary as in dyn_ols
2018-10-24 17:17:01 +02:00
Sébastien Villemot
d5731ce18e
Submodules migrated to git.dynare.org
...
(cherry picked from commit 3263fdc9bc
)
2018-10-24 15:41:43 +02:00
Stéphane Adjemia (Scylla)
2c890f924a
Removed useless tags.
2018-10-24 14:28:32 +02:00
Stéphane Adjemia (Scylla)
510bc2e299
Removed unused variable.
2018-10-24 12:08:00 +02:00
Stéphane Adjemia (Scylla)
1c1a3ea0a4
Removed tests on targets.
...
A target does not need to be a random walk. Also added a new integration
test (where the target is a constant, 0).
2018-10-24 12:06:14 +02:00
Sébastien Villemot
c11cdff2c2
Update preprocessor submodule
2018-10-18 10:58:45 +02:00
Sébastien Villemot
3263fdc9bc
Submodules migrated to git.dynare.org
2018-10-16 17:08:59 +02:00
Stéphane Adjemia (Scylla)
d96740c2ef
Added integration tests (var and pac expectations).
2018-10-14 17:01:02 +02:00
Stéphane Adjemia (Scylla)
a53c63d6d5
Added routines to print PAC_EXPECTATION and VAR_EXPECTATION in files.
...
Each new routine pac.print() and var_expectation.print(), creates two files
that can be included (using the macro language) in a mod file. The first
file, {pac,var}expectationmodename-parameters.inc saved under
{M_.fname}/model/{pac,var}expectationmodel, contains the declaration of the
parameters created for the expanded (var or pac) expectation model, with
calibrated values. The second file, {pac,var}expectationmodename-parameters.inc
saved in the same subfolder, contains the expanded version of the (pac or var)
expectation term as a linear combination of the variables in the companion
representation of the expectatino model.
2018-10-14 16:57:51 +02:00
Stéphane Adjemia (Scylla)
67e1126bb9
Updated preprocessor submodule.
...
Fixes var_expectation with trend_component model. The companion representation of the trend_component
model was not correctly expanded, the diff were not rewritten in levels.
2018-10-14 16:45:49 +02:00
Stéphane Adjemia (Scylla)
9358a1544b
Updated integration test (trends->targets).
2018-10-10 16:15:31 +02:00
Stéphane Adjemia (Scylla)
d4bfd6c9f0
Another attempt to fix numerical accuracy issues in integration tests.
2018-10-06 21:44:58 +02:00
Stéphane Adjemia (Scylla)
e5317b17de
Cosmetic change.
2018-10-06 17:52:58 +02:00
Stéphane Adjemia (Scylla)
108854a484
Bug fix. verbosity option was not honoured in simplex algorithm (8).
...
Thanks to Reuben for reporting.
2018-10-06 17:50:37 +02:00
Stéphane Adjemia (Scylla)
9a84129707
Added integration for the bayesian estimation of a single equation.
...
Uses a Gibbs sampling algorithm.
2018-10-06 16:59:00 +02:00
Stéphane Adjemia (Scylla)
dfafe86246
Save teh posterior mean of the slope parameters as a column vector.
2018-10-06 16:55:42 +02:00
Stéphane Adjemian (Charybdis)
82187f9d41
Fixed olsgibbs routine.
2018-10-06 16:08:28 +02:00
Houtan Bastani
2d674e0c55
update year in license file
2018-10-05 23:07:28 +02:00
Stéphane Adjemian (Charybdis)
798aaaa968
Cosmetic change.
2018-10-04 23:17:49 +02:00
Houtan Bastani
ee2ad1ee15
olsgibbs: linear regression with Gibbs sampler
2018-10-04 17:12:47 +02:00
Houtan Bastani
57bf291c00
add comment
2018-10-04 17:12:47 +02:00
Stéphane Adjemian (Charybdis)
084b7ac537
Changed optimization algorithm in integration tests.
...
fs2000_uncorr_ME_missing was failing on some servers due to a numerical
precision issue. It appears that the problem drops off if the smoothed
variables are computed on another point (given by another optimization
algorithm).
2018-10-04 12:02:31 +02:00
Stéphane Adjemian (Charybdis)
6a847931dc
Dynare computes the excess kurtosis.
...
See https://forum.dynare.org/t/simulated-kurtosis-reported-incorrectly/12534
2018-10-03 23:22:33 +02:00
Stéphane Adjemian (Charybdis)
03bd2b73e6
Fixed integration test for the automatic tuning of mh_jscale.
2018-10-03 18:21:16 +02:00
Sébastien Villemot
ffb36e5713
Remove obsolete kludges for MinGW
2018-10-02 17:10:36 +02:00
Sébastien Villemot
8f6b89ab56
Gitlab CI: include test results at 2nd level of the filesystem hierarchy
2018-10-02 15:51:55 +02:00
Sébastien Villemot
24cb1c0719
Provisions for MATLAB R2018b (9.5)
2018-10-01 18:26:03 +02:00
Sébastien Villemot
c6a17abc72
Testsuite: suppress MATLAB splash screen when generating .m.tls file
2018-10-01 16:40:26 +02:00
Sébastien Villemot
59642c3312
C output of preprocessor now splits generated fcts into several smaller fcts
...
Adapt the k-order DLL as a consequence.
2018-10-01 16:13:12 +02:00
Stéphane Adjemian(Charybdis)
ae71599292
Switch to new get_companion_matrix routine.
2018-09-28 19:27:17 +02:00
Stéphane Adjemian(Charybdis)
a680cea095
Fixed integration test for trend component model (equation ordering).
2018-09-28 17:39:14 +02:00
Stéphane Adjemian(Charybdis)
bbbaabc702
Cosmetic change.
2018-09-28 12:26:59 +02:00
Stéphane Adjemian(Charybdis)
11a882d66f
Fixed bug in integration tests (trends-->targets).
2018-09-28 12:23:37 +02:00
Stéphane Adjemian(Charybdis)
76c4df129c
Added integration tests.
2018-09-27 18:58:52 +02:00
Michel Juillard
3ad654b9b8
Allowing for different number of periods in conditional_forecast_path.
...
Updated preprocessor submodule.
2018-09-27 18:58:24 +02:00
Sébastien Villemot
39110b3087
Test for analytical_derivatives: use mode_compute=9
...
This optimizer seems more robust accross different hardware (with other
optimizers, the algorithm does not converge to a local maximum, e.g. on the
runner "lupi").
2018-09-27 15:05:14 +02:00
Sébastien Villemot
feeda74dfb
Remove spurious executable permission
2018-09-27 12:24:57 +02:00
Stéphane Adjemian(Charybdis)
07141a8681
Various optimizations.
2018-09-26 22:51:05 +02:00
Stéphane Adjemian(Charybdis)
7c83ba7ea7
Fixed documentation header.
2018-09-26 22:51:05 +02:00
Houtan Bastani
bd36a0c109
Merge branch 'master' into ecb-master-targets
2018-09-25 15:51:18 +02:00
Houtan Bastani
35aaf24d95
preprocessor: submodule update
2018-09-25 15:49:24 +02:00
Houtan Bastani
973c3955f0
adjust for ‘targets’ keyword instead of ‘trends’
2018-09-25 14:58:36 +02:00