f01b97da18
Check that freq property is also empty.
2012-11-29 12:56:00 +01:00
7c9ce9152d
fixing bug in error message for failed homotopy (steady)
2012-11-28 21:32:15 +01:00
892df90629
1) Make the occurrence of sequences of univariate steps more likely;
...
2) also impose a sequence of univariate steps in the first iteration;
2012-11-26 08:25:12 +01:00
c9a2dbcb72
Bug fix for when a parameter is orthogonal to any other one in the model.
2012-11-26 08:22:42 +01:00
22956ea4a4
Removed useless instruction (default value of exit_flag is 1).
2012-11-21 10:11:30 +01:00
bb0993973a
Fixed output argument ordering in non_linear_dsge_likelihood.
...
Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-21 10:07:30 +01:00
2ee1ebbe47
fix a bug in the output order
2012-11-21 09:00:43 +01:00
db2615a4c7
Use economy-size decomposition option of qr2 routine.
2012-11-20 14:39:45 +01:00
af23d72cb1
Allow economy-size decomposition with qr2 routine.
2012-11-19 17:43:59 +01:00
9f1ad5568e
New nonlinear filters routines and bug fixes.
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Merge remote-tracking branch 'refs/remotes/fred/master'
2012-11-19 16:23:07 +01:00
93e6b41df5
Added routines that will be used to import data (csv file) in a dynSeries object.
2012-11-19 16:17:00 +01:00
c3ff5d92d3
Cosmetic change.
2012-11-19 16:17:00 +01:00
5c893f501b
making extended path ready for parallel computing with parfor
2012-11-17 20:55:01 +01:00
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
...
Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
92727ed75c
Remove obsolete stoch_simul_sparse.m
2012-11-16 18:55:42 +01:00
ddbeb8ceaa
Remove unused oo_.dr.kae, oo_.dr.kad
2012-11-16 17:51:25 +01:00
31a13db66a
Remove duplicate information in M_.blocksMFS
2012-11-16 17:39:03 +01:00
6139af89d5
add pruning in the auxiliary particle filter.
2012-11-16 17:27:54 +01:00
bf19ab801f
Remove duplicate information in M_.blocksEQU
2012-11-16 17:16:40 +01:00
35c77c2e46
typo fixed.
2012-11-16 13:25:41 +01:00
915a203add
bug fixed.
2012-11-16 13:12:21 +01:00
919bd97682
add minor modifications.
2012-11-16 12:35:11 +01:00
202d8a2bd2
minor modifications
2012-11-16 12:35:11 +01:00
c8c7b9faf6
minor modifications.
2012-11-16 12:35:11 +01:00
eb9bc512d7
fixed bug in calculation of observed mean and variance + add the possibility for smooth resampling
2012-11-16 12:35:11 +01:00
3a9eed00df
fixed bugs for estimating a gaussian-mixture distribution.
2012-11-16 12:25:46 +01:00
186de044f4
fix bugs for sampling in a gaussian-mixture distributions.
2012-11-16 12:25:46 +01:00
f7e3ad7b25
fix bugs in k-means code.
2012-11-16 12:25:45 +01:00
f41e969dbe
computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach.
2012-11-16 12:25:45 +01:00
a184e80a89
computes the nodes and weights for approximating a gaussian distribution.
2012-11-16 12:25:45 +01:00
d5666529af
computes the density of particles in a gaussian-mixture distribution.
2012-11-16 12:25:45 +01:00
2fb1065b4f
computes the density of particles in a gaussian distribution.
2012-11-16 12:25:45 +01:00
56e723c08e
Computes the density of observables as a function of states.
2012-11-16 12:25:45 +01:00
eb72df7bc6
computes the proposal distribution during the importance sampling step for gaussian-mixture filters. Fix many bugs.
2012-11-16 12:25:45 +01:00
ab2ae38e8f
computes incremental weights for gaussian-mixture filters.
2012-11-16 12:25:45 +01:00
7dcdd20f6e
gaussian mixture nonlinear filters: uses gaussian-mixture approximations for particles. Fix bugs and normalize the way likelihood is calculated.
2012-11-16 12:25:45 +01:00
b0788fae50
computes the proposal distribution during the importance sampling step in gaussian nonlinear filters. Uses a nonlinear Kalman filter and several gaussian approximations.
2012-11-16 12:25:45 +01:00
553c26e0b3
gaussian nonlinear filter : uses a gaussian approximation for particles.
...
fix bugs and normalize the way we write the likelihood.
2012-11-16 12:25:45 +01:00
4725a2054d
compute incremental weights for gaussian filters.
2012-11-16 12:25:44 +01:00
a96850a090
fix bugs on sorting variables.
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test different cases before doing resampling
2012-11-16 12:25:44 +01:00
f0fcfa3b62
fix bugs in the univariate smooth resampling approach.
2012-11-16 12:25:44 +01:00
c6e5368a9d
fix bug for weights initialization.
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fix bug for calculating observed predicted mean and variance with the correct weights.
2012-11-16 12:25:44 +01:00
edf9955c09
fix bug when comparing xparam with upper and lower bounds.
2012-11-16 12:23:18 +01:00
b6c72f18fa
-add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
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-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
2012-11-16 12:18:55 +01:00
6350962186
Fixed copyright.
2012-11-16 12:18:55 +01:00
7fd1df2505
Fixed bug when comparing xparam1 with upper and lower bounds.
2012-11-16 12:18:54 +01:00
79b5db3037
Cosmetic change.
2012-11-15 13:54:21 +01:00
89356ba248
Added a unitary test in the overloaded colon method of the dynDate class, using the new feature introduced in the previous commits.
2012-11-15 13:53:35 +01:00
67e8db365c
Changed subsref overloaded method (dynDate): added a new interface to populate empty dynDate objects with specified frequency. Added unitary test.
...
For instance if we instantiate an empty dynDate object for quaterly dates:
qq = dynDate('Q');
Then we can populate this object as follows (2009 second quarter):
d1 = qq(2009,2);
2012-11-15 12:40:24 +01:00
0b7e5910ae
Changed a condition in dynDate constructor (for yearly dates).
2012-11-15 12:34:11 +01:00
e71ccaef0b
Added the possibility to instantiate empty quaterly, monthly or weekly dynDate objects. Added unitary test.
2012-11-15 11:07:43 +01:00
2313ec2d94
Fixed function name, header and error message.
2012-11-14 12:32:03 +01:00
a1c8c785e0
Added unique method to the dynDates class.
2012-11-14 12:32:03 +01:00
bcaae72338
Added pop method to the dynDates class.
2012-11-14 12:32:02 +01:00
11c30cee3b
Cosmetic change.
2012-11-14 12:32:02 +01:00
28e146fc69
Fixed header.
2012-11-14 12:32:02 +01:00
fde2694e0c
Added append method in dynDates class (with unitary tests).
2012-11-14 12:32:02 +01:00
32905b1ce1
Added more complex calls to subsref overloaded method for dynDate class. Added unitary test.
2012-11-14 12:32:02 +01:00
68a2ce4f49
Fixed bufg in overloaded subsref method for dynDates class.
2012-11-14 12:32:02 +01:00
47dd0d09ad
Changed behavior of ne overload method (dynDate) as in commit ##9dc16fc765bfd8957dbe24a2ac1244fbde1edf09. Removed useless variable. Updated copyright.
2012-11-14 12:32:02 +01:00
55a3129644
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
8b3e6e8c4d
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
62794a10c1
Removed useless variable + Cosmetic change + Updated copyright
2012-11-14 12:32:02 +01:00
42331f2239
Updated copyright
2012-11-14 12:32:02 +01:00
602d266bba
Removed useless variable + Cosmetic change.
2012-11-14 12:32:01 +01:00
4339673431
Removed useless variable in dynDate/eq.
2012-11-14 12:32:01 +01:00
2def9f88dd
Adapted unitary to the previous commit (#9dc16fc765bfd8957dbe24a2ac1244fbde1edf09).
2012-11-14 12:32:01 +01:00
131c423059
Changed behavior of eq overloaded method (dynDate class). Trigger an error message if the two compared objects have no common frequency.
2012-11-14 12:32:01 +01:00
3c911e5b2c
Updated copyright.
2012-11-14 12:32:01 +01:00
c40dd62531
Fixed error messages.
2012-11-14 12:32:01 +01:00
cae06f3d80
Added unitary test in colon overladed method (dynDate).
2012-11-14 12:32:01 +01:00
1df227ce21
Updated copyright.
2012-11-14 12:32:01 +01:00
244395c2e7
Changed subsref overloaded method in dynDate class.
...
Allow to populate an empty dynDate object or update a dynDate object. For instance, if we instantiate
the dynDate class as follows:
a = dynDate()
a is an empty dynDate object. We can "populate" this object as follows
a('1938Q4')
Note however that a ins not modified in place (due to a limitation of Octave's class design), a copy
has to be made.
2012-11-14 12:32:01 +01:00
52ebca922b
Updated copyright.
2012-11-14 12:32:01 +01:00
05cfedfd51
Added comment.
2012-11-14 12:32:01 +01:00
50a2f94197
Updated copyright
2012-11-14 12:32:01 +01:00
c1616872a4
Removed useless path informations in (dynSeries) horzcat overloaded method.
2012-11-14 12:32:00 +01:00
d92a7775b9
Removed debug info in first unitary test of dynSeries constructor.
2012-11-14 12:32:00 +01:00
bc1276a218
Removed useless path information in unitary test (dynSeries constructor).
2012-11-14 12:32:00 +01:00
b8803c149e
Added unitary test for dynSeries class.
2012-11-14 12:32:00 +01:00
ddddb5ad0f
console => nodisplay (Completes ticket #282 )
2012-11-12 16:48:44 +01:00
4604148d2f
Put back pruning in particle filter (implemented in sequential_importance_particle_filter).
2012-11-07 15:58:56 +01:00
c7bd05224f
Fixed issue with weights when computing first and second order moments.
2012-11-07 10:48:05 +01:00
a9d3ecb0ed
Added comments.
2012-11-07 10:13:11 +01:00
2e59409df4
corrected bug introduced in recent commit 48e00c5789
2012-11-01 09:26:05 +01:00
ea504638fc
fixing bug for local approximation of models with variables appearing
...
only as forward looking (I believe that such models can't be solved,
but it is a different issue).
2012-10-31 17:56:42 +01:00
0ab230b474
Fix copyright notices
2012-10-31 17:03:49 +01:00
a23b497a49
bug fix: none instead of pdf to graph_format
2012-10-31 16:16:45 +01:00
48e00c5789
corrected and clarified error messages when steady state computation fails
2012-10-31 11:09:25 +01:00
6c7501d906
move console setting to global_initialization.m
2012-10-30 14:10:54 +01:00
fc7ea133d9
force console mode when matlab started with -nojvm or -nodisplay flags or octave started with --no-window-system flag (ticket 283)
2012-10-30 13:50:51 +01:00
34db22c3bc
ms-sbvar: made option final_year optional is using the entire sample
2012-10-24 14:05:54 +02:00
74c300939a
making sure that dsge_likelihood.m always returns a value in fval
2012-10-24 10:02:17 +02:00
b326636d0b
sbvar: replaced warning about sample size different from available
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data by error if available data are shorter than declared sample
2012-10-23 14:33:02 +02:00
d5f29e0b89
sbvar: made option final_year optional is using the entire sample
2012-10-23 14:33:01 +02:00
bb6d3f539e
fixing bug in writing variance decomposition files
2012-10-21 10:14:38 +02:00
7922366f71
fix bug in setting oo_.dr.state_var. This bug could generate wrong row
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labels in Policy and Transition Functions.
2012-10-14 22:54:49 +02:00
4c18bfea47
allow for missing column headings in XLS(X) data file. Such a column
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can't be used for data, but it happens that dates for example don't
have a column headings
2012-10-14 22:50:50 +02:00
c2c88600a1
More explicit error message when no estimated_params and no smoother
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Closes : #222
2012-10-08 14:42:09 +02:00
cc26a1d806
Add comment for the use case when there is no estimated_params
2012-10-08 14:32:22 +02:00
2f9e34c5e5
Various fixes related to data-loading
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- fix support for filenames with extension (.m, .mat, .xls), since the manual
and the bison grammar both support it
- fix support for XLS files under Octave
- add support for XLSX files
- run test for loading XLS files
2012-10-08 13:00:55 +02:00
c88a8aaaa6
changed warnings into errors when load_mh_file or recovery is used and
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there is no metropolis history file
2012-10-08 11:50:48 +02:00
c722f53955
fixed bug with options mode_compute=0,mode_file=....
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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
e835c7d945
Bug fix: graphic options are not passed to global options_ (for the next release try to skip the use of the global here).
2012-10-02 08:59:49 +02:00
dd8f16c8db
Revert "reset penalty to 1.e8." Too big a penaly is not desirable.
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This reverts commit fcceec896a
2012-10-01 14:23:21 +02:00
fcceec896a
reset penalty to 1.e8.
2012-10-01 08:53:50 +02:00
560771bedc
Trap the case when second output of objective function is empty.
2012-10-01 08:50:47 +02:00
285e40eb2c
Pass new options nodisplay and graph_format to options_
2012-10-01 08:49:58 +02:00
e81f9d48ac
Improved display of mode_compute=6 optimization algorithm. Fixed bugs. Changed the options.
2012-09-29 00:08:05 +02:00
3744061112
Save the names of the estimated parameters in <MODEL_NAME>_mode.mat when mode_compute is equal to six (stochastic optimization).
2012-09-29 00:08:05 +02:00
421e1a39fc
Merge remote-tracking branch 'ratto/master'
2012-09-27 16:36:00 +02:00
7c6ae272f6
ms-sbvar: remove field removal for file tags
2012-09-27 15:32:33 +02:00
12af7298ef
ms-sbvar: remove unused field removal statements (and set options_.datafile='' in global_initialization)
2012-09-27 15:32:33 +02:00
894b3d69f4
Added an option to decide if dsge_likelihood should call univariate filters when the covariance matrix of
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the prediction error is singular (default is yes).
2012-09-27 14:48:07 +02:00
868afeb953
ms-sbvar bug fix: store no_create_init as number instead of string
2012-09-26 18:07:49 +02:00
16fa6efc8d
Replace NaN with numeric penalty when diffuse filter does not kill unit roots.
2012-09-26 16:00:18 +02:00
7f42c66723
Fixed bug. Added missing routine which set the step length when computing a numerical gradient.
2012-09-24 12:59:04 +02:00
7e3fbe0b2f
Fixed bug in get_prior_info. Initialize objective_function_penalty_base.
2012-09-24 12:59:04 +02:00
da159038e6
Added check for BK and steady state in the optimization of the prior density.
2012-09-24 12:59:04 +02:00
af7ac86996
Initialize returned variables.
2012-09-24 12:59:04 +02:00
df26c6686d
Fixed bug.
2012-09-24 12:59:03 +02:00
233d0ae0d2
Added output to get_prior_info (non empty iff info=1).
2012-09-24 12:59:03 +02:00
e552b0c0e0
Added fake outputs.
2012-09-24 12:59:03 +02:00
8db0fee155
removed useless lines
2012-09-23 21:04:22 +02:00
d0d0b6ed52
Use new numgrad routines.
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options_.gradient method = {12,22} two points formula.
options_.gradient method = {13,23} three points formula.
options_.gradient method = {15,25} four points formula.
Still need to decide what to do with (local) option zgrad.
2012-09-21 17:05:36 +02:00
4ce4242d0d
Added new numgrad* routines (h specific to each direction).
2012-09-21 17:05:36 +02:00
e67d3d3fea
Added missing semicolon.
2012-09-20 16:38:19 +02:00
f944a43b0c
added code for computing risky steady state in regular models (not
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portfolio models)
2012-09-19 22:51:44 +02:00
c8c102b43a
reorganized code and added comments
2012-09-19 22:51:44 +02:00
0a5909f1d2
fixed bug with deterministic exogenous variables at order==2 (moved
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all relevant code to stochastic_solvers.m)
2012-09-19 22:51:44 +02:00
c29fa9d81c
Fixed bug (wrong index).
2012-09-19 17:03:07 +02:00
914d97fb53
Added waitbar to prior_sampler routine.
2012-09-19 16:27:43 +02:00
0f7076846f
Save *all* the prior draws generated by prior_sampler, even if info(1) returned by resol is positive.
2012-09-19 13:44:57 +02:00
465bb6c144
Added missing call to set_state_space.
2012-09-19 12:27:11 +02:00
59a3db051f
Temporarly set options_.order equal to one in get_prior_info routine.
2012-09-19 12:07:16 +02:00
7fd9ab1473
Remove unused variables
2012-09-19 10:47:12 +02:00
9d555075d6
Fixed bug in dyn_second_order_solver.m where ghuu was not correctly stored in dr
2012-09-19 00:05:28 +02:00
7de6be31e6
Upgrade the minimum requirement to MATLAB 7.3 (R2006b)
2012-09-18 11:54:40 +02:00
6adb58dbc1
Remove workaround for Octave 3.2 (we now require 3.4)
2012-09-18 11:42:11 +02:00
c41ce4ae69
Merge remote-tracking branch 'ratto/master'
2012-09-18 11:13:50 +02:00
fd7386b593
Merge remote-tracking branch 'jpfeifer/master'
2012-09-18 11:13:46 +02:00
cba7a3fcc8
Homogeneize behavior for PDF and FIG under Octave
2012-09-18 11:12:11 +02:00
fce6c5cc31
Increase accuracy in printing cosn for collinearity patterns
2012-09-18 10:42:01 +02:00
dbbc8e66b7
Fix to compute derivatives with Kronecker products (just for testing).
2012-09-18 10:41:16 +02:00
8d4c812671
Merge remote-tracking branch 'ratto/master'
2012-09-17 10:29:53 +02:00
d50e68ef2d
Merge branch 'master' of ssh://kirikou.dynare.org/srv/d_kirikou/git/dynare
2012-09-16 12:11:51 +02:00
24a5bd4868
Fixed bug where when using mode_compute=0 with a mode-file from mode_compute=6, mh_jscale is not loaded.
2012-09-16 12:10:53 +02:00
c2ce75aa45
Fixed bug in set_prior.m when correlations are estimated. Corrected description in header of prior_bounds.m
2012-09-14 18:00:12 +02:00
b756ee1819
Analytic derivatives: make them work for lik_init==2 as well
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(lik_init =3 and =4 still to be worked out)
2012-09-14 17:07:38 +02:00
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
3658b02455
Fixed bug. If info==19 (steady state routine returns check=1) info(2) is NaN, so that it is not possible to define an endogenous penalty. In this case we just add one to objective_function_penalty_base.
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(cherry picked from commit d2912b264c326b3f349984b605787045b028b992)
2012-09-14 17:05:31 +02:00
c74b1d1bdc
Provisions for MATLAB 8.0 (R2012b)
2012-09-14 11:10:47 +02:00
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
c65ff9d988
Fix crash with MATLAB 7.1 and 7.2 under Windows
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Closes : #277
2012-09-11 12:32:27 +02:00
2d66c68301
Fix function header
2012-09-11 11:16:40 +02:00
07193b2cfa
fixing bug in computing full_rank for purely backward models
2012-09-11 10:06:38 +02:00
92833d3ceb
In CHECK, use the eigenvalues as computed by the reordered real
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generalized Schur decomposition, rather than the ones computed by
eig()
2012-09-10 14:27:56 +02:00
a22d1d415a
replaced rank() by rcond() in evaluating whether Z22 is full rank in
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checking Blanchard and Kahn conditions with CHECK
2012-09-10 13:26:05 +02:00
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.
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Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
2012-09-06 14:13:29 +02:00
8a0fe91480
Removed annoying warning messages.
2012-09-06 12:22:32 +02:00
43e2c9ecef
Added a routine to test if a file exist.
2012-09-06 12:21:28 +02:00
19c46dba55
Improved recursive estimation. Run the estimation using previous results (saved in <M_.fname>_mode.mat).
2012-09-06 11:14:48 +02:00
6beb4e3f8f
small bug fix
2012-08-30 14:59:32 +02:00
e8f159f66b
fixing bugs in previous commit
2012-08-30 12:44:46 +02:00
1bac2d34c3
adding a trap to catch the case where the random generator of the
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master is not available on the slave
2012-08-30 12:24:05 +02:00
f77b101d7b
fixing bugs in random generator handling code
2012-08-29 22:12:50 +02:00
378413ed14
fixing typo in previous commit
2012-08-29 21:02:33 +02:00
dbdbfdd926
adding set_dynare_random_generator_state() and
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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
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
d60202616a
fixed problem with penalty in estimation. Created a new global scalar:
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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
526d6ca76c
removing unused function
2012-08-28 11:55:16 +02:00
e519b04713
bug fix: when nograph=1, SmoothedShocks were not saved.
2012-08-27 17:45:47 +02:00
1193cab7c8
Make the function compatible with multiple file formats.
2012-08-27 16:37:14 +02:00
0508bf9a41
Added missing default options for stochastic simulation of nonlinear backward looking models.
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(cherry picked from commit 4053f664ecec14ffb7269c6bbf78355ca46b6b92)
2012-08-27 12:53:11 +02:00
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
9edce5414f
bug fix for octave.
2012-08-24 16:40:24 +02:00
fda047e19c
updated penalty has to be properly passed to the objective function.
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This relates should fix behaviour after commit 6b3bd9dd0b
2012-08-24 16:39:04 +02:00
fe98a0875d
Added the possibility to save the plots generated by the shock_decomposition command.
2012-08-24 15:03:35 +02:00
150256268f
Fixed mixed indices (j was used for indexing two nested loops).
2012-08-24 15:00:21 +02:00
69efc894c6
Fixed bug. Removed extension declaration for Encapsulated PostScript graphics file format.
2012-08-24 14:56:44 +02:00
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
56914e3d4c
Require at least Octave 3.4 (linsolve does not compile against 3.2)
2012-08-23 16:40:00 +02:00
6b91301365
Reduce memory requirements for analytic Hessian.
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Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
2012-08-21 16:00:55 +02:00
b02303cf69
Force analytic_derivation = 1;
2012-08-21 15:53:02 +02:00
b1dd7a5137
Allow quicker evaluation of likelihood with analytic derivatives.
2012-08-21 15:46:35 +02:00
7683175e8e
Bug fix in terms for outer product gradient with analytic derivatives
2012-08-21 15:45:25 +02:00
9fd8bf954e
bug fix in formula for analytic Hessian.
2012-08-15 14:19:34 +02:00
f7aae77f16
removed useless elements + reduce loops for efficiency
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(cherry picked from commit f2271264994af253ccdc7f01478320e4d2c2c0e7)
2012-08-13 13:04:34 +02:00
3ddafb164b
-) Added missing terms for analytic Hessian when steady state depends on estimated params;
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-) bug fixes;
(cherry picked from commit c84f70f6630f4988716dcb4ea59315180bbb36e7)
2012-08-13 13:04:07 +02:00
70e162c736
removed globals from solve1.m
2012-08-06 23:32:40 +02:00
db62e3d7a0
issquare exists under Octave and returns the matrix dim if it is square
2012-08-06 18:26:16 +02:00
2e65a9ab96
Provide a better implementation of linsolve for Octave
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Closes : #273
2012-08-06 18:26:16 +02:00
a400305f20
updating list of info codes returned by dynare_resolve() in DsgeVarLikelihood
2012-08-06 12:02:35 +02:00
2e9ae5df28
dealing with info == 8 (Nan in Jacobian) during estimation
2012-08-06 12:00:03 +02:00
336fc56518
Merge remote-tracking branch 'jpfeifer/master'
2012-08-06 11:44:15 +02:00
7e221e5d31
factoring setting of bayestop_.penalty = Inf in Metropolis
2012-08-05 15:27:14 +02:00
7959102d43
removed global and varargin in Metropolis routines
2012-08-05 15:10:21 +02:00
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
b1ad31cf56
removed seeding random generators from clock in cmaes and metropolis hastings
2012-08-05 10:59:59 +02:00
6b3bd9dd0b
penalty is now passed as a field of bayestopt_ (or BayesInfo)
2012-08-02 22:23:29 +02:00
47353a276b
bug fix: the anlytic hessian was wrong with estimated stderr.
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Manual cherry pick from Commit: 36853cb7615de41ca61ed92decf8bbe81ab40cba
2012-08-02 14:57:20 +02:00
fe8ae2c565
adding doc *.m file for k_order_perturbation MEX
2012-08-02 11:25:52 +02:00
9e6c58572e
fixing bug in pruning at order=3
2012-08-02 10:09:44 +02:00
2244af9c62
adding pruning option for 3rd order
2012-07-31 21:50:59 +02:00
488de200cf
Merge remote-tracking branch 'jpfeifer/master'
2012-07-30 15:50:30 +02:00
87b78f657b
dynatable: fixed bug when table contains Inf or NaN
2012-07-25 17:52:00 +02:00
24e1c49928
simulations: draw random shocks so that, given a seed, the sequence is the same, independently of the number of periods
2012-07-25 15:00:57 +02:00
d32e076b77
adding missing function linsolve for Octave (inefficient and minimal implementation
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for current needs)
2012-07-22 22:18:32 +02:00
e7a8261b17
first order and cycle reduction: fixing bugs in previous commits
2012-07-22 19:54:12 +02:00
ba1f5eedc2
first order solver:
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-pass along errors returned by cycle reduction algorithms;
-logarithmic reduction fails on error
-replace expensive and random condest() by call to linsolve()
-uses linsolve() to compute hx
2012-07-22 12:56:51 +02:00
2c450c79f8
cycle reduction: return error codes for over- and under-determined
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dynamic systems
2012-07-22 12:51:55 +02:00
edf826f315
added code to optionally run cycle_reduction algorithm on GPU. Added
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options_.gpu (no interface yet, use options_.gpu=1). Added test
./tests/first_order/fs2000_cr.mod
2012-07-20 17:06:12 +02:00
8d33a434e5
fixing bugs in dyn_first_order_solver()
2012-07-19 18:57:56 +02:00
d39bbdaa85
forcing reinitialization of persistent variables of
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dyn_first_order_solver.m in global_initialization.m This is necessary
if noclearall option is used.
2012-07-19 17:08:42 +02:00
b10b2160ed
Made error message if initial parameter values are outside prior bounds more explicit.
2012-07-19 12:30:41 +02:00
fcc262db7a
fixing bugs introduced in 1b3aa73c04
2012-07-17 10:07:09 +02:00
36cce4e629
Merge remote-tracking branch 'ratto/master'
2012-07-16 17:24:00 +02:00
5bda6afad0
adding missing semi-colon
2012-07-16 16:05:08 +02:00
1b3aa73c04
adapted dyn_first_order_solver.m for models without lagged variables
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and singular coefficient matrix for current variables
2012-07-16 15:52:36 +02:00
80a9ac90f0
Fixed random bug of MC identification test, occurring when there is no solution at the very first iteration of the MC loop.
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(cherry picked from commit 906bf8e02feb8370153bc6407bf95d2592be3cc2)
2012-07-15 22:21:10 +02:00
1732db842f
fixing bug in evaluating rank condition for BK when using check (introduced in commit 4d51f38bd2)
2012-07-14 21:07:05 +02:00
37f5ac850b
Fixed bug (karaba:/var/tmp/dynare-master-check-WMwywKtbcz.log). dr.state_var is not defined in all cases...
2012-07-13 10:30:09 +02:00
54aff15b6a
Added a new routine to solve quadratic matrix equation (based on a Newton algorithm with line search).
2012-07-12 14:43:21 +02:00
91499d7961
Added a routine to test if an array is a square matrix.
2012-07-12 14:43:21 +02:00
4d183aa920
Fixed bug fix introduced in git#6d6e337f5bec0d9728746ce60f7fb09d12042adb.
2012-07-12 09:23:06 +02:00
6d6e337f5b
Fixed bug (reported in karaba:/var/tmp/dynare-master-check-o0FCvBRHnf.log). dr.state_var was defined in the wrong place.
2012-07-12 09:18:04 +02:00
c850f03be3
Added the possibility to use the logarithmic reduction algorithm (mainly for testing purpose).
2012-07-11 18:26:22 +02:00
4d51f38bd2
Added the possibility to use the cyclic reduction algorithm without the block option.
2012-07-11 18:26:22 +02:00
b02c83a926
Added unitary test.
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Comparison of the solutions returned by the cyclic reduction and logarithmic reduction algorithm. Note
that in the case considered here the logarithmic reduction algorithm is faster.
2012-07-11 18:26:22 +02:00
56339bb3cf
Added logarithmic reduction algorithm to solve quadratic matrix equation.
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This algorithm is a slower alternative to the cyclic reduction algorithm (useful for testing purpose).
2012-07-11 18:26:22 +02:00
47e543409c
Added texinfo header.
2012-07-11 18:26:22 +02:00
a86a904823
Cosmetic changes.
2012-07-11 18:26:22 +02:00
b4c60eeebf
Efficiency changes.
2012-07-11 18:26:22 +02:00
877cc55e78
Fixed bug.
2012-07-11 18:26:22 +02:00
38b493dacc
Changed copyright date.
2012-07-11 18:26:22 +02:00
3414d4d468
Fix crash in estimation introduced in 1fb89a07
2012-07-06 09:50:30 +02:00
40e1e60fd1
1) changed options of optimizer n. 1 with analytic derivs;
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2) force no analytic derivative with mode_check;
2012-07-05 10:22:36 +02:00
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
379972d715
Removed prior_penalty in dsge_likelihood.
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If options_.prior_trunc is set to zero (the default is strictly positive) then prior_correction is infinite because the prior density is zero (this is not true for the uniform prior)... This does not help the optimizer. Even if we do not fall in this case (because options_.prior_trunc>0 or becuase only uniform priors are used for the bounded parameters) the meaning of this correction is unclear.
2012-07-04 13:04:49 +02:00
a05b9d6a8a
Removed globals from simult.
2012-07-03 11:29:18 +02:00
1fb89a07e9
Removed global from set_state_space.
2012-07-03 11:29:18 +02:00
fcd016dc25
Removed global from check_model routine.
2012-07-03 11:29:18 +02:00
99c35e22f1
- Added trap to avoid infinite loops when type is not 'prior';
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- Recover value of nosaddle from _core routine (bug fix when type is 'prior');
2012-07-02 10:55:02 +02:00
4cba20f231
Fixed bug in parallel_test
2012-07-02 10:15:38 +02:00
307d5d5d6a
Initializes the s variable
2012-07-01 15:19:36 +02:00
4488357f59
Adds the cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients
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associated to the endogenous variables in the decision rule.
2012-07-01 15:19:10 +02:00
bd9af2fa5a
Fixed bug reported by Rob Luginbuhl in dynare forum
2012-06-29 00:50:54 +02:00
a74f7c0285
Reduce the number of plots produced by default with rmse filtering and redform filtering
2012-06-29 00:48:24 +02:00
2510454bd1
Add missing figures when filtering is applied
2012-06-29 00:36:22 +02:00
3307b4b70e
Use Sobol sequence with seed = 1 (to avoid [0 0 0 0 0 ... ] point )
2012-06-29 00:36:02 +02:00
Stéphane Adjemian (Charybdis)
Michel Juillard
Marco Ratto
Frédéric Karamé
Sébastien Villemot
Houtan Bastani
Michel Juillard
Houtan Bastani
Sébastien Villemot
Johannes Pfeifer
Ferhat Mihoubi