d1120da658
fixing bugs in evaluation of steady state file introduced in last
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related commit
2012-04-21 11:39:21 +02:00
6131e597f3
changed option name discretion_tol -> discretionary_tol, added the option
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to the preprocessor, added to documentation
2012-04-21 10:40:24 +02:00
f8ecc4d6ba
reorganized code for evaluating steady state file
2012-04-21 10:12:00 +02:00
abc60b6037
Test if control toolbox is present if lyapunov=square_root_solver
2012-04-20 21:37:29 +02:00
4e537fcdcc
New function for testing an Octave Forge package
2012-04-20 21:36:49 +02:00
1dfba1b99f
Merge remote-tracking branch 'ferhat/master'
2012-04-20 21:15:09 +02:00
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
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- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
f4e3925860
Rename bfgsi.m to bfgsi1.m to avoid clash with the one provided by Tao Zha
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Closes : #215
2012-04-20 17:25:08 +02:00
edbf3bd175
Remove useless calls to set_default_option
2012-04-20 17:08:11 +02:00
6a23afdd48
RandStream: compatibility fix for MATLAB >= 7.12
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setDefaultStream has been renamed setGlobalStream
getDefaultStream has been renamed getGlobalStream
Closes : #198
2012-04-20 14:42:30 +02:00
ccc3c513fb
Fixed bug (initialization of zero_delta).
2012-04-19 14:17:02 +02:00
6180bc2212
Add TZcode submodule to repository
2012-04-19 12:27:39 +02:00
973302e42e
fixing bugs in smoother
2012-04-18 21:15:18 +02:00
41e027aee3
added steady option stop_on_error. stop_on_error = 0 permits to
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continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
1014bb038d
made loglinear option available for purely backward and purely forward
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models (for now only with order==1)
2012-04-15 14:06:37 +02:00
2f5d76dc8c
ms-sbvar: set A0, A+, Zeta, and Q based on output_file_tag passed to estimation
2012-04-13 16:12:24 +02:00
b96c35a1a4
ms-sbvar: remove unused code
2012-04-13 15:56:25 +02:00
a44fa426c4
Simplify logic of test since Octave 3.2 is now the minimal requirement
2012-04-04 22:16:39 +02:00
339d88220d
qz() has changed between Octave 3.2 and 3.4
2012-04-04 22:13:34 +02:00
9bcb1883bd
fixing bug related to use of QZ decomposition in Octave
2012-04-04 21:46:24 +02:00
d4723038be
1) fixed infinite loop
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2) fixed names of sylvester functions
2012-04-04 16:43:44 +02:00
32de0fd675
fixed typos
2012-04-04 16:41:49 +02:00
f455557376
compact all sylvester routines, with generic dimension of d argument
2012-04-04 16:38:22 +02:00
76093094a6
Force precision in sylvester equation solution, particularly useful for different behaviour of the function schur under octave
2012-04-04 10:39:19 +02:00
a49e550448
typo fixed
2012-04-04 10:36:54 +02:00
fe6aa88c27
1) check if AHess is positive semi-definite;
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2) fix memory issues related to chh
3) fix issue for the rare case of empty indok (octave)
2012-04-04 10:36:32 +02:00
3ca9485edd
bug fix when calling gsa
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set default order=1
set analytic derivation =1
2012-04-04 10:35:18 +02:00
28d985433b
bug fix: wrong index used in test
2012-04-03 18:33:24 +02:00
08bcf39fe7
estimation: clear subsamples substructure whenever a subsamples statement is encountered
2012-04-03 18:33:23 +02:00
7e6bd80f17
estimation: remove s from parameters substructure
2012-04-03 18:33:23 +02:00
31e0bc2e1e
estimation: simplify global_initialization
2012-04-03 18:33:23 +02:00
2057365143
Require at least Octave 3.2.2 (and therefore drop rcond.m and bicgstab.m)
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Octave 3.2 has been around for a long time, and is included in most
distributions.
2012-04-03 17:57:38 +02:00
90cb2ffb59
Under Octave >= 3.4, don't sleep for 2 seconds
2012-04-03 17:46:48 +02:00
3be6b610c8
Merge remote-tracking branch 'houtanb/master'
2012-04-02 15:18:12 +02:00
a35e0cb3e3
fixed bug in initial estimation checks when mode_compute == 5
2012-03-31 11:01:32 +02:00
9741b3b3ec
estimation: reorganize options output
2012-03-30 15:37:15 +02:00
93db8937ab
estimation: reorganize Matlab structure output
2012-03-30 15:37:14 +02:00
2be333da55
estimation: change name handling for correlation statements
2012-03-30 15:37:14 +02:00
be33621ca5
Fixed texinfo header + Cosmetic changes.
2012-03-30 12:08:13 +02:00
9bfc3f6ec6
Fixed bugs and typos.
2012-03-30 12:00:08 +02:00
2db0c98b9b
Fixed texinfo header.
2012-03-30 11:55:01 +02:00
795d0fce16
Cosmetic changes.
2012-03-30 11:48:23 +02:00
6c6b62937f
Added smooth resampling.
2012-03-30 11:47:24 +02:00
294dbdc52c
Fixed bug in the evaluation of the likelihood.
2012-03-30 11:21:24 +02:00
9cc4661942
Fixed bug in initial_estimation_checks + Cosmetic changes.
2012-03-30 11:12:59 +02:00
7feb27fe1c
estimation: rewrite options output
2012-03-29 16:45:46 +02:00
d54e4c4b17
estimation: rewrite prior output
2012-03-29 16:07:01 +02:00
46a655fbd5
estimation: rewrite subsamples statement as an actual statement
2012-03-28 18:51:52 +02:00
90e5c6e7c6
Replace str2mat (deprecated in MATLAB, removed in Octave 3.6) by char
2012-03-21 10:11:17 +01:00
a899594f3d
initializing globals ys0_ ex0_ ex_det0_
2012-03-17 20:34:58 +01:00
41db06f5ae
removing dr1.m
2012-03-15 16:50:41 +01:00
8fa6a9883a
replacing call to dr1() by call to stochastic_solvers()
2012-03-15 16:45:25 +01:00
d6f8e252e5
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-15 16:18:37 +01:00
5d4d318bc7
fixing bug in estimation by maximum likelihood
2012-03-15 15:33:02 +01:00
5954cf2011
Disable more warnings under Octave
2012-03-14 16:39:34 +01:00
e62613e6cb
Fix string warnings for Octave 3.6
2012-03-14 16:35:20 +01:00
c5fa0b82a9
Merge remote-tracking branch 'marco/master'
2012-03-14 12:49:56 +01:00
ebfeae2ccf
Provisions for MATLAB 7.14 (R2012a)
2012-03-13 17:43:30 +01:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
4aedf7e9c0
Added a commented line to print the effective number of particles if needed.
2012-03-12 10:29:25 +01:00
1fcf708b80
Merge remote-tracking branch 'origin/master' into dr1break
2012-03-10 18:21:14 +01:00
4ba016cc16
Merge remote-tracking branch 'ferhat/master'
2012-03-09 20:13:22 +01:00
323e6fdf4f
Added a second gstep option used as a parameter for the routine computing the hessian matrix.
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In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:
h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
13eb218513
Fixed bug (ub is unknown but defined as a field in bayestopt_).
2012-03-09 15:06:04 +01:00
1ac55d8be8
Fixed bug.
2012-03-09 12:57:58 +01:00
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
ec2528ae9b
estimation: fixes to options statement
2012-03-09 11:47:25 +01:00
75331d7a4f
The global oo_.steady_state should also be updated in the homotopy loop
2012-03-09 11:47:13 +01:00
dd67a81e57
estimation: place parameter priors in their own substructure
2012-03-09 11:46:09 +01:00
7889ac21b2
Merge remote-tracking branch 'ferhat/master'
2012-03-09 10:30:01 +01:00
ad580b8cc6
MS-SBVAR: clean up plotting functions
2012-03-08 18:25:37 +01:00
d212772212
MS-SBVAR: change state to regime to coincide with name previous name change
2012-03-08 17:55:40 +01:00
402363bab2
MS-SBVAR: rewrite ms_variance_decomposition
2012-03-08 17:54:35 +01:00
5f60f1bd27
MS-SBVAR: rewrite ms_forecast
2012-03-08 17:54:05 +01:00
11c63e5050
MS-SBVAR: clean up plot_ms_*.m
2012-03-08 17:54:05 +01:00
4e41ad7285
MS-SBVAR: remove unused argument to plot_ms_irf.m
2012-03-08 17:54:05 +01:00
864e0b7c7e
MS-SBVAR: rewrite ms_irf
2012-03-08 17:53:58 +01:00
f12e8a3754
Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
2012-03-08 16:36:31 +01:00
8184ff3fdd
Fixed bug (wrong calling to the resample routine: missing inputs).
2012-03-08 15:53:20 +01:00
7f1ab166f5
Fixed bug.
2012-03-08 15:44:14 +01:00
dfbd6c8f2a
Adds the index of equations (M_.blocksEQU) for a block decomposed model without bytecode option and use this index in resid.m to retrieve the residuals
2012-03-08 15:29:56 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
f932fc8c78
Return the whole simulated paths instead of only the contemporaneous reaction of the endogenous variables.
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Otherwise we can not test the number of periods and we cannot use the previous solution
to initialize the following (stochastic) perfect foresight problem.
2012-03-08 12:49:04 +01:00
464dcb651e
Changed defaults related to extended path. Removed some unused options.
2012-03-08 12:45:53 +01:00
895b58cec4
Merge remote-tracking branch 'ferhat/master'
2012-03-07 09:22:42 +01:00
de07d3b1d7
Removed useless else statement.
2012-03-06 22:54:21 +01:00
93fa8a6c94
Bug fix. Definition of the penalty when the updated parameters are complex.
2012-03-06 22:54:21 +01:00
746fb8ca56
Fixed bug related to the update of the deep parameters in the steady state model.
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When a deep parameter was initialized to NaN (this is the default) any update of this parameter
done in the steady state model block was not propagated to M_.params. The problem was caused by
the definition of updated_params_flag.
2012-03-06 22:54:20 +01:00
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
6c091015eb
Fixed texinfo header.
2012-03-05 23:11:49 +01:00
cf19df92ef
Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode.
2012-03-05 15:03:55 +01:00
cf9e8a6714
Bug fix. When the estimation command is used, do not issue an error message if options_.order>1. In this
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case reset the options_.order equal to one (except if options_.particle.status==1).
2012-03-05 14:56:02 +01:00
0d58e1855d
Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands
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to set the seed of the random number generators).
2012-03-05 14:37:55 +01:00
59d3d30c90
Fixed typo. Do not use the non linear filter automatically when order==2, otherwise the non linear filters are used if the estimation command is used after a stoch_simul command with order==2. The non linear filter is used only if options_.particle.status is explicitely set to 1 (before the estimation command). A new estimation option is needed...
2012-03-05 14:21:52 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
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and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
e1a5e0de53
Objective function needs to be passed as a string to CMAES optimization routine.
2012-03-04 22:13:00 +01:00
83b536c618
Moved CMAES options in global_initialization, so that the options of this routine can be modified by
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the user by writting in options_.cmaes.
2012-03-04 22:13:00 +01:00
cc281897e0
Added new routine for non linear filter (auxiliary particle filter).
2012-03-04 22:13:00 +01:00
8de93c21f2
Fixed bug (cost_flag->exit_flag).
2012-03-04 22:13:00 +01:00
Michel Juillard
Sébastien Villemot
Ferhat
Stéphane Adjemian (Charybdis)
Houtan Bastani
Marco Ratto
Ferhat Mihoubi