stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
2,087 Commits
56 Branches
0 Tags
117 MiB
Commit Graph

52 Commits (e6f1a53e6059afc5bc501768c34bac13903070e2)

Author SHA1 Message Date
stepan 4a0a0c1ab9 * Added an exit condition in DsgeLikelihood when the jacobian of the 
dynamic model (evaluated at the steady state) is complex.
* Added case 6 inf print_info (complex steady jacobian).



git-svn-id: https://www.dynare.org/svn/dynare/trunk@2890 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-09-03 11:39:06 +00:00
stepan a089e59f3c dynare/trunk:: 
+ Added a  new option for likinit=2 used to define  the numbers on the
initial diagonal Pstar matrix.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2828 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-09 15:41:11 +00:00
sebastien 4e9b23363a Reorganized the way we deal with functions which exist under only some versions of MATLAB and/or some versions of Octave: 
* Created a directory matlab/missing to store them under subdirectories
* Add the needed subdirectories to the path from dynare_config.m
* Moved content of matlab/matlab/ and matlab/octave/ to matlab/missing/*/
* matlab/missing/ordeig/ordeig.m: new name of matlab/my_ordeig
* matlab/missing/ordschur/ordschur.m: fake replacement, displays an error message
* Removed old matlab/matlab/ and matlab/octave/ directories


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2805 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-03 10:20:42 +00:00
stepan ec4b45cc7c Bug correction (condition info==19 was not used in DsgeLikelihood and DsgeVarLikelihood). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2667 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-12 11:38:06 +00:00
stepan aa31417a05 Efficiency & Cosmetic changes related to the design of bayestopt_ and 
the computation of the prior density.

bayestopt_.p1 is always the prior mean
bayestopt_.p2 is always the prior standard deviation
bayestopt_.p3 is unchanged
bayestopt_.p4 is unchanged
bayestopt_.p5 [new field] is the prior mode
bayestopt_.p6 [new field] is the first hyper-parameter of the prior density
bayestopt_.p7 [new field] is the second hyper-parameter of the prior density
 
These fields are defined in  set_prior and are never changed after. In
the previous version of Dynare,  the hyper parameters of the densities
were  updated at  each iteration  of the  optimization routine  or the
metropolis.

Removed fields pmean and pstdev.

Vectorized the code in priordens.

Fixed the bug mentionned by Gianni. If a (logged) density is evaluated
outside the  prior domain, the  output of priordens if  minus infinity
(instead of a complex number).


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2556 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-06 14:38:37 +00:00
stepan c42f33ff47 Bug fix + Cosmetic change. Do not compute the likelihood if the steady 
state is complex.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2554 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-03 22:23:46 +00:00
stepan ba080ab910 v4.1:: Changes related to lyapunov_symm. 
+ Fixed a bug introduced in the previous commit.
+ Added a threshold parameter for the complex blocks in the upper
triangular matrix T in lyapunov_symm.m (new field in options_)
+ Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2414 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-12 14:16:10 +00:00
sebastien 2495aca72a trunk: 
* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-21 14:39:24 +00:00
michel 1aac4e7e0a fixing update issues for mode_compute=5,6 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2350 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-02 08:36:45 +00:00
michel eba6164cae fixing bugs around missing observations and starting to add smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:31:37 +00:00
adjemian 42e69283cb v4.1: Cosmetic changes + Added call to univariate kalman filter routine when F is singular and different 
from zero.



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2214 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:04:10 +00:00
michel ae0c71bfd9 correcting bugs in Kalman Smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-26 20:10:58 +00:00
adjemian 38b2eb42cb v4.1: Added calls to new filter routines. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2187 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-21 16:31:13 +00:00
adjemian b820667698 v4.1: Changes related to kalman filter with missing observations. 
* Adapted mode_check.m and hessian.m
 * Removed global from hessian.m
 * Changed call to metropolis
 * Changed the test deciding between KF and KF with missing observations in DsgeLikelihood

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2157 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 14:24:35 +00:00
adjemian 09e32240bd v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 13:40:40 +00:00
michel 63f5008305 v 4.0.2: simpler solution to problem with unobserved stochastic trends 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2149 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 20:08:13 +00:00
ratto 2ff703ca40 Fixes to avoid error on non-stationary variables not observed. 
This works on a rather complex model, with 4 RW trends and 80 equations (QUEST III). Hopefully ...

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2141 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-09 07:21:43 +00:00
ratto b3c8df4aec Use economy-size option for qr. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2137 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-06 14:28:10 +00:00
michel 2a8a507b3f tentative bug correction in DsgeLikelihood when stochastic trends are unobservable (QR instead of SVN) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2122 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-29 13:57:34 +00:00
michel dbe69c1942 bug correction in diffuse filter/smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2060 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-12 18:15:20 +00:00
sebastien db50368418 v4 matlab: fixed some existing copyright headers (and some other minor header issues) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1974 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 12:40:33 +00:00
george 3bf9d8d487 Corrected and commented out the penalty power on info(2) because penalty power is already raised in DR1.m and resol respectively. 
GP July'08

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1968 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-28 10:15:27 +00:00
michel 994af45929 made it possible to force the univariate filter in estimation, mostly for testing purpose 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1958 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-18 23:02:53 +00:00
sebastien e8d6dd1ef3 v4 matlab: use my_ordeig instead of ordeig for Octave and for Matlab < 7.0.1 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1938 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-07 21:48:12 +00:00
michel b1c4c4537b added missing ';' 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1925 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-03 11:23:32 +00:00
michel fe54c7ca07 adding functions and fixing bugs for diffuse filter 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1924 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 12:53:24 +00:00
michel 2c8a9d2f60 cleaning diffuse algorithms 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1922 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:48:14 +00:00
michel a148c0a3f1 undoing changes 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1919 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:38:44 +00:00
michel 36f264a1ca put back DsgeLikelihood_hh.m that is used by option 5 of the optimizer 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1918 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:15:19 +00:00
adjemian 341adad2e9 Added new functions for posterior distribution processing (second order moments) + Removed global variables. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1890 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-06-21 08:33:31 +00:00
assia f1b3da91df header updated 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1729 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-03-03 10:37:14 +00:00
michel 806c29cc4a v4: made dynare_estimation safe for computing Smoother of a calibrated model (temporary) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1702 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-02-09 17:27:26 +00:00
michel 12436db725 v4 added new triangular algorithm for diffuse kalman filter (options_.kalman_algo=4,5) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1648 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-01-27 09:34:20 +00:00
michel 7a87a7b200 v4: corrected bug in handling of trend_coeff 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1402 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-10-01 09:39:32 +00:00
michel f3375020fc v4: bug in handling of options_.trend_coeffs 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1399 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-09-27 15:35:40 +00:00
michel 4e1122f014 v4: merge changes to dynare_estimation.m 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1183 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-02-11 12:48:41 +00:00
adjemian 47ae595059 Bug corrections : TeX output, oo_ structure (posterior density), posterior IRF. 
Added : Posterior IRFs for BVAR-DSGE, conditional forecasts

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1119 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-12-15 11:37:24 +00:00
michel cb9fb1b353 v4: changes around restricted state space representation 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@918 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-17 15:23:45 +00:00
adjemian 9e266024f8 Added : No constant for estimation of nonlinearly specified models with detrended data, BVAR-DSGE (not ready). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@911 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-13 12:39:23 +00:00
michel a11ff2f9aa v4 DsgeLikelihood.m: added info return codes for early return; Diffuse filter is still broken 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@908 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-10 08:18:17 +00:00
adjemian 455493c132 Added, option logdata (=1 if data provided to dynare are in log, default is 0) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@833 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-07-25 13:08:43 +00:00
adjemian 0fd478dd6f Small changes in gmhmaxlik.m 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@814 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-07-05 12:42:01 +00:00
michel e424c799ce adding dynare_v4/matlab/doc with m2html documentation 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@805 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-06-27 19:46:58 +00:00
michel 21f989819e v4: reduced state space for likelihood computation 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@781 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-06-03 19:45:05 +00:00
adjemian 02a051047b git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@776 ac1d8469-bf42-47a9-8791-bf33cf982152 2006-05-23 19:44:02 +00:00
michel 742df69762 v4 added M.Ratto's change to diffuse filter/smoother and optmizer 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@641 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-03-03 13:13:00 +00:00
michel 71a4fd49c8 v4: bugs in trend_coeff, steady state; changed handling of penalty by csminwel 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@590 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-01-08 08:39:00 +00:00
adjemian 884bff3678 posterior irf and bug corrections. New files : PosteriorIRF.m and GetOneDraw.m. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@462 ac1d8469-bf42-47a9-8791-bf33cf982152
 2005-09-26 12:40:14 +00:00
adjemian 51798798db Correction of a bug in dynare_estimation.m 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@460 ac1d8469-bf42-47a9-8791-bf33cf982152
 2005-09-24 11:48:17 +00:00
michel b14188d039 correction setting of parameters 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@446 ac1d8469-bf42-47a9-8791-bf33cf982152
 2005-09-11 09:38:52 +00:00