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133 Commits (ec908386b67d1b27e0dc4174ef64796f74246318)

Author SHA1 Message Date
Johannes Pfeifer 4837a4d444 testsuite: clean up main folder 2023-03-17 10:35:00 -04:00
Stéphane Adjemian (Ryûk) b7693c3273
Add routine for conditional likelihood (first order). 2023-01-06 14:57:45 +01:00
Johannes Pfeifer 563035d070 AnScho/AnScho_MoM_common.inc: use csminwel to prevent fmincon problems under Octave 2022-09-20 12:55:30 +02:00
Johannes Pfeifer 905e7c4344 load_results_after_load_mh: fix location of file 2022-08-10 12:55:00 +02:00
Stéphane Adjemian (Ryûk) cd76bdff9e
Fix and update unit tests for local_state_space_iteration_2. 
Add mat file with git lfs.
 2022-05-13 12:13:46 +02:00
Sébastien Villemot 10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files 
It is now supported by the MATLAB editor (as of R2022a).

The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).

The particles submodule is not updated at this point, because it is in an
inconsistent state.

[skip ci]
 2022-04-13 14:54:25 +02:00
Stéphane Adjemian (Ryûk) d841fc7cc2
Do not run integration tests for NLS with Octave. 
Also moved some integration tests.
 2021-12-19 17:20:15 +01:00
Stéphane Adjemian (Ryûk) 24c817afa7
Add integration tests for NLS estimation. 2021-12-17 18:02:24 +01:00
Sébastien Villemot 4db2899868
estimated_params: fixes for new semantics 
The change implemented in 21a8a5794a broke the
testsuite and was incomplete.

– new option “overwrite” to provide the old behaviour (used to fix the testsuite);
– when concatenating several “estimated_params” block, the preprocessor now
  checks that paramateres are not declared twice across blocks.
 2021-12-16 15:38:09 +01:00
Sébastien Villemot 21a8a5794a
Various new model editing features 
– multiple “model” and “estimated_params” block are supported
– new “model_options” statement to set model options in a global fashion
– new “model_remove” command to remove equations
– new “model_replace” block to replace equations
– new “var_remove” command to remove variables (or parameters)
– new “estimated_params_remove” block to remove estimated parameters
 2021-12-15 17:33:01 +01:00
Johannes Pfeifer 1bfb9ffbb9 heteroskedastic shocks: take into account first_obs 2021-12-14 11:21:16 +01:00
Sébastien Villemot 49a396030b
Yet another batch of Octave compatibility fixes 2021-09-16 18:25:00 +02:00
Willi Mutschler 5199ea414b
Fix for testsuite on Octave AnScho_matched_moments.mod 2021-09-16 12:45:38 +02:00
Sébastien Villemot ff06b9ad10
More Octave compatibility fixes 2021-09-15 18:35:30 +02:00
Sébastien Villemot 4346903c65
Various Octave compatibility issues 
Also improve on e42cf2e5b4 for the compatbilitity
with MATLAB < R2016a in occbin.write_regimes_to_xls.m.
 2021-09-14 17:55:55 +02:00
Johannes Pfeifer cf6621187e
Add example for system prior 
(@stepan removed trailing spaces)
 2021-08-17 19:39:02 +02:00
Stéphane Adjemian (Charybdis) c00307c8cc
Fix encoding. 2021-08-16 11:23:13 +02:00
Stéphane Adjemian (Charybdis) 1c54eb21d2
Cosmetic change (remove trailing spaces). 2021-08-16 11:19:28 +02:00
Willi Mutschler 0d200f3b39
MoM: Fix AFVRR test cases due to 3c67ad 2021-08-16 10:58:35 +02:00
Willi Mutschler f5ec70a06d
MoM: Refactor AnScho test case 
Instead of checking everything in one mod file, this commit separates the checks into individual mod files that test:
- whether the translation from matched_moments works
- whether the duplicate moments are found
- whether GMM and SMM both work with different estimated_params blocks.
wip
 2021-08-16 10:58:35 +02:00
Johannes Pfeifer 440a0e460b
Storage of results: use subfolder 
Ref. #1758
 2021-07-23 14:12:17 +02:00
Stéphane Adjemian (Ryûk) 14bc82b287
Add single equation estimation by NLS. 
Ref. #1798.

See example in tests/estimation/example_nls.mod.
 2021-07-15 16:55:49 +02:00
Sébastien Villemot 766fff88f6
Use secure URL for link to GNU licenses 2021-06-09 17:35:05 +02:00
Sébastien Villemot c4e0cd0565 Merge branch 'posterior_smoother' into 'master' 
prior_posterior_statistics_core.m: filter out cases where model does not solve

See merge request Dynare/dynare!1860
 2021-05-27 16:09:19 +00:00
Johannes Pfeifer 5d1d5b8a85 prior_posterior_statistics_core.m: filter out cases where model does not solve 
Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
 2021-05-27 16:46:28 +02:00
Marcoo Ratto 1645f38269
Implement heteroskedastic filter and smoother 2021-05-26 18:45:16 +02:00
Sébastien Villemot 0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc' 
Ref. !1841
 2021-05-11 18:51:57 +02:00
Marco Ratto a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one 
If an additional parameter is estimated, it is initialized using prior_draw.
 2021-05-11 18:48:43 +02:00
Marco Ratto 74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation 
(like deficient # of shocks in the presence of stockflow observed)
 2021-05-07 17:51:03 +02:00
Sébastien Villemot 7cbb86bb64
Testsuite: rename estimation/univariate/ols/ols.mod 
Under Octave, the +ols folder conflicts with the builtin ols() function.
 2021-02-09 16:58:07 +01:00
Johannes Pfeifer e9ea837b28 Reduce run-time of tune_mh_jscale/fs2000.mod 2021-01-26 10:10:29 +01:00
Johannes Pfeifer c507eefc23 testsuite: check values of analytic derivation likelihood to prevent regression 2021-01-24 17:41:50 +01:00
Sébastien Villemot 783598bdeb
Testsuite / methods of moments: compatbility fix for MATLAB R2014a 
MATLAB R2014a does not like some of the variable names that are passed to
table(). Disable that call, as under Octave.
 2021-01-19 16:10:40 +01:00
Sébastien Villemot 68af1c80fe
Testsuite: cosmetic changes to TeX and debug options 
– Whenever possible, pass the “tex” option to Dynare commands instead of
  fiddling with options_.TeX;
— For the remaining explicit options_.TeX and also for options_.debug,
  use a boolean value instead of an integer.
 2021-01-19 15:50:14 +01:00
Willi Mutschler 0a880825a1
MoM: Testsuite fixes for Octave 2021-01-14 10:04:10 +01:00
Willi Mutschler a697002a4e
MoM: Gradient-based optimizers can use analytical Jacobian for GMM 
New option analytic_jacobian for mode_compute 1, 3, and 13
 2021-01-14 10:03:39 +01:00
Stéphane Adjemian (Odysseus) 0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise 2021-01-11 11:06:55 +01:00
Willi Mutschler dabe0ada33
MoM: Add test for optimizers 
Note that mode_compute=11 and 12 need some fixing
 2021-01-07 14:14:13 +01:00
Willi Mutschler 2b554e0511
MoM: cosmetical changes to description of options in testsuite 2021-01-07 13:39:45 +01:00
Willi Mutschler ba8d5d364d
MoM: Update copyright years 2021-01-07 10:32:35 +01:00
Willi Mutschler 562a9c737f
MoM: Improve testsuite 
- add Andreasen, Fernandez-Villaverde, Rubio-Ramirez (2017) test models
- move models to dedicated folders
- add `make m/method_of_moments` and `make o/method_of_moments` commands to run testsuite only for method of moments
 2021-01-06 14:19:17 +01:00
Willi Mutschler eae5e2f029
MoM: Add analytical standard errors for GMM 
Reset analytic_derivation_mode for steadystate file parameter changes


MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
 2020-12-18 16:16:10 +01:00
Stéphane Adjemian (Odysseus) 248ad18846 Merge remote-tracking branch 'Dynare/master' into enterprise 
Fixed conflicts in:

 - .gitlab-ci.yml
 - matlab/dynare_config.m
 - matlab/dynare_solve.m
 - matlab/initvalf.m
 - matlab/perfect-foresight-models/make_ex_.m
 - matlab/perfect-foresight-models/perfect_foresight_setup.m
 - mex/build/matlab/Makefile.am
 - mex/build/matlab/configure.ac
 - mex/build/octave/Makefile.am
 - mex/build/octave/configure.ac
 - mex/sources/Makefile.am
 - preprocessor
 - tests/Makefile.am
 2020-09-17 14:53:32 +02:00
Johannes Pfeifer 96be513ecf Remove matched_moments_ as input argument as it is now a field of M_ 2020-08-05 15:58:58 +02:00
Johannes Pfeifer 9fa24aa7be RBC_MoM: filter out additional pathological cases with try-catch 2020-07-17 20:35:53 +02:00
Johannes Pfeifer 791e5e9d97 RBC_MoM-test: filter out pathological cases 
[skip CI]
 2020-07-17 15:16:05 +02:00
Willi Mutschler 19b7d202d2 testsuite: Add test cases 2020-07-16 14:54:04 +02:00
Johannes Pfeifer 540f0454d2 Code Review of GMM routines 
- fix prefilter option
- Implement iterative GMM
 2020-07-16 11:38:40 +02:00
Willi Mutschler 3615962a61 First draft of method of moments toolbox with GMM and SMM 2020-07-16 11:38:38 +02:00
Johannes Pfeifer ac728c0492 Add test cases for moments with measurement errors 2020-06-29 13:21:08 +02:00