Commit Graph

25 Commits (ec908386b67d1b27e0dc4174ef64796f74246318)

Author SHA1 Message Date
Johannes Pfeifer 563035d070 AnScho/AnScho_MoM_common.inc: use csminwel to prevent fmincon problems under Octave 2022-09-20 12:55:30 +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
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
Willi Mutschler 5199ea414b
Fix for testsuite on Octave AnScho_matched_moments.mod 2021-09-16 12:45:38 +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
Sébastien Villemot 766fff88f6
Use secure URL for link to GNU licenses 2021-06-09 17:35:05 +02:00
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
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
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
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