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152 Commits (e9ffb16ec62b8e6cba2ca1dc84e8c4c65d8a45f0)

Author SHA1 Message Date
Johannes Pfeifer 5e010f57c0 Document different treatment of mh_recover and load_mh_file under Octave 
Also adjusts unit tests accordingly. Closes #1332
 2016-12-23 10:47:58 +01:00
Johannes Pfeifer 2d17ff43a4 fs2000.mod unit test: move setting of Laplace marginal density to appropriate place 2016-12-20 08:40:34 +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 5515da191a Add Raftery/Lewis (1992) convergence diagnostics 2016-12-17 17:22:05 +01:00
Johannes Pfeifer 0f04a0f921 Geweke diagnostics: fix bug in interface that prevents setting the respective options 2016-12-17 17:22:05 +01:00
Johannes Pfeifer 7831dccd2a Transform save_tmp_file into an option and change defaults 2016-11-04 19:56:55 +01:00
Johannes Pfeifer 1da488db52 Add test case for stochastic singularity 2016-10-02 12:56:04 +02:00
Houtan Bastani d4f5977380 test suite: when saving use .mat file extension because Octave doesn’t add it by default 2016-09-23 18:49:51 +02:00
Marco Ratto e46a3249c0 fixes testsuite for model comparison 2016-09-08 15:45:38 +02:00
MichelJuillard d27bbe667f Merge pull request #1230 from JohannesPfeifer/load_mh_file 
Save chain's proposal density and make load_mh_file and mh_recover load it
 2016-08-21 16:12:12 +02:00
Johannes Pfeifer b3877b3a9e Save chain's proposal density and make load_mh_file and mh_recover load it 
Closes #504
 2016-06-14 15:09:05 +02:00
Johannes Pfeifer 9b82c72e4f Remove global options structure from dyntable 2016-06-14 11:52:17 +02:00
Johannes Pfeifer aaa7318da4 Add unit test for independent MH 2016-05-19 14:37:05 +02:00
Johannes Pfeifer 969aa44963 Move slice test to separate folder 2016-05-19 14:37:05 +02:00
Johannes Pfeifer fad10d63b6 Adjust unit tests to reflect factorization of posterior sampler interface 2016-05-19 14:37:05 +02:00
Johannes Pfeifer a9fc65fbce Use steady_state_model block in fs2000_slice.mod 2016-05-19 14:37:05 +02:00
Marco Ratto 7b3c42c6e1 provisions for reworked posterior sampling options: 
- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
 2016-05-19 14:37:05 +02:00
Houtan Bastani cf6e3cb14c preprocessor: rework posterior sampler options, #1177 2016-05-19 14:37:05 +02:00
Marco Ratto ab8aa917e3 slice test moved to estimation folder 2016-05-19 14:34:09 +02:00
Johannes Pfeifer 8c8587d89b Add factored unit tests for mh_recover 2016-03-16 19:04:03 +01:00
Johannes Pfeifer 2e359cac02 Widen tolerance criterion in unit test 2015-12-17 17:06:53 +01:00
Stéphane Adjemian (Charybdis) a0119404c5 Added integration test for the Weibull prior. 2015-12-04 15:04:10 +01:00
Michel Juillard 717967f31f adding forgotten test file 2015-11-28 21:02:10 +01:00
Johannes Pfeifer b7cbb563d6 Allow suppressing density of smoother and forecast objects 2015-10-12 15:34:52 +02:00
Johannes Pfeifer 35bd2ed5d0 Add unit test for model_comparison 2015-08-13 17:49:14 +02:00
Johannes Pfeifer 40faefa182 Clarify unit test dependencies 
fs2000 is needed by other tests while fs2000_mf.mod is redundant

Closes #1018
 2015-08-06 14:27:36 +02:00
Johannes Pfeifer 244462adb6 Add unit test for disallowing mixed ML/Bayesian estimation 2015-07-23 14:44:26 +02:00
Johannes Pfeifer 3c5705d8d4 Make covariance matrix in example positive definite 2015-07-21 16:18:45 +02:00
Johannes Pfeifer d76b3a722e Make use of preprocessor to set options_.silent_optimizer 2015-07-06 08:22:13 +02:00
Stéphane Adjemian 71700dff76 Merge pull request #942 from JohannesPfeifer/TaRB_integration 
Integrate the TaRB-algorithm into Dynare
 2015-06-19 14:30:56 +02:00
Johannes Pfeifer aa4b07610e Add unit test for TaRB MH-algorithm 2015-06-08 16:48:58 +02:00
Johannes Pfeifer 0104f91f4b Replace initval blocks by steady_state_model blocks in fs2000 unit tests 
Speeds up estimation
 2015-06-07 17:11:39 +02:00
Stéphane Adjemian (Hermes) ad8586f87c Removed integration tests estimation/{fs2000_mc4.mod, fs2000_mc4_mf.mod}. 2015-06-01 16:42:02 +02:00
Stéphane Adjemian (Hermes) 5b0be85ba8 Removed integration tests estimation/{fs2000_mc6.mod, fs2000_mc6_mf.mod}. 2015-06-01 16:42:02 +02:00
Stéphane Adjemian (Hermes) b7f8fb5710 Removed e_f from shocks (declared but unused in the model block). 
=> Removed the first test (calibrated covariance of structural
shocks). We probably want to put it back, but need to change
the model for that (by adding e_f in the model).
 2015-05-29 12:19:54 +02:00
Stéphane Adjemian (Hermes) d3ce3aaca5 Removed e_f from shocks and estimated_params block (declared but not used in the model). 2015-05-29 12:13:49 +02:00
Stéphane Adjemian (Hermes) 60c18a0cef Fixed typo. 2015-05-29 12:06:08 +02:00
Stéphane Adjemian (Hermes) 5fea7a4049 Fixed typos. 2015-05-29 11:52:04 +02:00
Houtan Bastani 89828e56cc preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925 2015-05-19 12:31:22 +02:00
Johannes Pfeifer 0120fc16c1 Cut number of draws in fs2000_student.mod unit test to speed it up 2015-05-12 16:50:35 +02:00
Johannes Pfeifer 787f6d37c2 Add unit test for t-distribution as proposal density 2015-05-10 10:06:22 +02:00
Johannes Pfeifer d7293b110a Add unit test for mh_recover option 2015-04-25 19:28:58 +02:00
Johannes Pfeifer fd8820a883 Change unit test for H-matrix to be positive definite 2013-11-06 16:59:01 +01:00
Houtan Bastani 1893dd2220 modify test to use use_calibration option 2013-11-06 14:05:26 +01:00
Houtan Bastani 0fdc18e7fb Merge branch 'ifc' 
Conflicts:
	matlab/dynare_estimation_1.m
	matlab/global_initialization.m
 2013-11-06 13:58:57 +01:00
Sébastien Villemot a72cc3ff48 Merge remote-tracking branch 'github/master' 2013-11-05 17:17:53 +01:00
Sébastien Villemot 73944a10c4 Finish implementation of mcmc_jumping_covariance option 
Closes #112, #514
 2013-11-05 17:16:32 +01:00
Johannes Pfeifer fddee8e1db Bugfixes for correlated shocks 
Uses preprocessing capabilities introduced in 07137e804b

Fixes #392 and #494. Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions

Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.

Adds unit test
 2013-11-05 15:55:29 +01:00
Johannes Pfeifer 0d669a73cb Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities 
Deals with #507 and #112
Includes a unit test
 2013-11-04 19:09:24 +01:00
Johannes Pfeifer e1b92dc588 Add unit test for initialization from calibrated model 2013-10-30 21:35:53 +01:00
Michel Juillard b7b50fa901 adding data file for test case 2012-10-06 20:45:09 +02:00
Michel Juillard c722f53955 fixed bug with options mode_compute=0,mode_file=.... 
added tests for mode_compute=4 and mode_compute=6. They increase computing time of the
test suite by about 30 minutes.
 2012-10-06 16:51:42 +02:00