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Author SHA1 Message Date
ratto 697edeb109 updated in compliance with new version of dsgelikelihood. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2306 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-12 07:39:03 +00:00
sebastien 6017007f4f trunk: fixed dsample command (was broken until now) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2301 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-08 16:19:59 +00:00
kamenik 4d9b1869c2 Added empty initialization for the case if estim_params_ is empty. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2297 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-07 09:58:16 +00:00
sebastien 2134146033 trunk: 
* removed obsolete global variables "endval_" and "rplottype_"
* removed duplicate initialization of options_.replic


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2295 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-05 15:34:26 +00:00
michel a6bd42218c diminished tolerance in computation of steady state for linear models. This corrects a bug in estimation of constants in linear models. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2283 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-03 10:12:52 +00:00
michel bf65cb4f10 various bug fixes for filter and smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2282 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-03 07:30:26 +00:00
michel 5bf9ed894c removing dynare_m.exe from SVN 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2281 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-03 07:29:48 +00:00
ferhat 26ae037863 - factorization of simulation methods for static m-file 
- correction of bugs in resid.m

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2280 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-02 21:29:43 +00:00
michel 706651641f adding missing data smoother + small corrections 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2278 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-01 12:50:53 +00:00
michel 6a1c5fbd70 adding report at the end of Lagrange multipliers elimination 
testing shows a mistake in the procedure

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2277 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-01 12:49:17 +00:00
michel 1b7171a11a update OSR 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2275 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:34:21 +00:00
michel eba6164cae fixing bugs around missing observations and starting to add smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:31:37 +00:00
michel dd73be5b7b added arguments passed to child functions 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2273 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:29:12 +00:00
ferhat 23de7b250a - factorization of simulation methods in dynamic m-file 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2266 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-21 17:40:52 +00:00
adjemian 3026575522 v4.1: Bug correction related to the mh_recover mode (needs more tests). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2264 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-20 09:12:12 +00:00
ferhat f904a1a19d - new Incidence_Matrix class 
- lead and lag on exogenous variables
- corrections in dr1_sparse and dr11_sparse
- minor corrections in simulate

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2255 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-14 16:07:47 +00:00
ratto a02e66e12c Updated the call to set_prior with M_ and options_ inputs 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2254 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-12 13:13:24 +00:00
sebastien b65e92c11d trunk: 
* fixed displaying of subtitles when HP filter is present
* fail if HP filter required on empirical simulations (not yet implemented)


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2237 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-04 11:00:54 +00:00
adjemian 00d46f89f9 v4.1: Added calls to new kalman filter routines. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2231 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-29 15:46:16 +00:00
adjemian 6929164339 v4.1: Added univariate approach for the diffuse kalman filter (with correlated measurement errors). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2230 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-29 15:38:34 +00:00
adjemian 6eadbe0005 v4.1: Added univariate approach of the diffuse kalman filter (missing observations and uncorrelated 
measurement errors are allowed).



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2225 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-29 14:18:18 +00:00
michel 3d410b9b8b v4.1: corrected DsgeSmoother.m for unobserved trends 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2219 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 19:47:22 +00:00
adjemian fbeab98711 v4.1 Added calls to new diffuse kalman filter routines (when kalman_algo==3). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2217 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:24:10 +00:00
adjemian 5618fea33b v4.1: Added two routines for diffuse kalman filtering (with or without missing observations). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2216 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:12:44 +00:00
adjemian 76000f99e4 v4.1: Added a new version of DsgeLikelihood.m (to be used for tests). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2215 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:08:20 +00:00
adjemian 42e69283cb v4.1: Cosmetic changes + Added call to univariate kalman filter routine when F is singular and different 
from zero.



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2214 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:04:10 +00:00
michel ae0c71bfd9 correcting bugs in Kalman Smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-26 20:10:58 +00:00
ferhat 7c6ed357b6 Bugs correction in check command with sparse option in model command 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2196 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-24 16:35:06 +00:00
adjemian dcc37a681a v4.1: Correction of the previous commit. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2192 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-24 15:38:34 +00:00
adjemian b1e1ab4853 v4.1: Bug correction related to Laplace approximation of the data marginal density. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2191 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-24 15:12:35 +00:00
adjemian 38b2eb42cb v4.1: Added calls to new filter routines. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2187 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-21 16:31:13 +00:00
adjemian eb1e60e59b v4.1: Errors associated to the simulated deterministic paths (for all periods and endogenous variables) 
are saved in oo_.



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2186 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-21 15:33:51 +00:00
adjemian 42bdc2726c v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and 
correlated measurement errors. Tests show that there is a "significant" discrepancy between the 
univariate filter and the standard filter in presence of correlated measurement errors... 

 


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-21 15:29:33 +00:00
adjemian 9da509936c v4.1: Added ./matlab/kalman in the path. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2181 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-20 14:46:00 +00:00
adjemian 616f47377f v4.1: Bug corrections. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2180 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-20 12:58:08 +00:00
ferhat f59bba3ddc - Adding SOLVE_FORWARD_COMPLETE and SOLVE_BACKWARD_COMPLETE simulation type for sparse model option 
- Adding dyn2vec at the end of a deterministic simulation with sparse or sparse_dll option

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2178 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-19 15:44:08 +00:00
adjemian ccf0c4b9f9 v4.1: Factorization of missing data related part of dynare_estimation.m. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2169 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-17 12:51:06 +00:00
adjemian c5e73fcbaf v4.1: Added subfolders in ./matlab/kalman. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2162 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 21:15:07 +00:00
adjemian 8c030e7eb0 v4.1: Changed header. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2161 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 18:04:43 +00:00
adjemian d0e8345536 v4.1: Changes related to kalman filter with missing observations. 
* Changed header of missing_observations_kalman_filter
 * Added the univariate approach. This file handles the cases with measurement errors and/or missing data.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2160 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 18:03:33 +00:00
adjemian 09a808bd4f v4.1: Changed calls to optimization routines. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2159 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 15:42:29 +00:00
adjemian c57a8c4776 v4.1: Removed hessian_sparse.m (unused function). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2158 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 14:34:15 +00:00
adjemian b820667698 v4.1: Changes related to kalman filter with missing observations. 
* Adapted mode_check.m and hessian.m
 * Removed global from hessian.m
 * Changed call to metropolis
 * Changed the test deciding between KF and KF with missing observations in DsgeLikelihood

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2157 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 14:24:35 +00:00
adjemian 09e32240bd v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 13:40:40 +00:00
michel 63f5008305 v 4.0.2: simpler solution to problem with unobserved stochastic trends 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2149 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 20:08:13 +00:00
adjemian f58cdcf676 v4.1: Files related to kalman filter (likelihood evaluation of a state space model with or without missing observations). 
* Added a new tolerance parameter specific to the iteration on the riccati equation.
 * Added a kalman filter routine allowing for missing observations.
 * I do not distinguish anymore models with and without measurement errors (the same m file is used for both models to evaluate the likelihood). For a model without measurement errors H hat to be set to 0 scalar.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2148 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 18:54:42 +00:00
sebastien 73c513802f trunk: 
* DynareBison.yy: use "filename" rule for initval_file, dynasave, dynatype and datafile option
* DynareBison.yy: removed some spurious syntaxes for dynatype and dynasave
* ComputingTasks.cc: bugfix for dynatype
* cosmetic changes to dynatype.m and dynasave.m


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2145 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 16:06:07 +00:00
sebastien 68f9ca256e trunk: added information message on the presence/absence of simulate.dll 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2144 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 15:20:43 +00:00
sebastien 26288f2ab1 trunk irf.m: added missing documentation for parameter 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2143 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 15:20:13 +00:00
ratto 2ff703ca40 Fixes to avoid error on non-stationary variables not observed. 
This works on a rather complex model, with 4 RW trends and 80 equations (QUEST III). Hopefully ...

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2141 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-09 07:21:43 +00:00
ratto b3c8df4aec Use economy-size option for qr. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2137 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-06 14:28:10 +00:00
adjemian f51ba0bd93 v4.1: Removed globals. Removed call to generalized Cholesky. Added handling of datasets with missing observations (NaN), not yet ready. Changed the covariance matrix of the jumping distribution when the posterior mode is not computed (or used). Changed call to dynare_estimation. Removed pindx in dynare_estimation. + Cosmetic changes. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2135 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-04 21:22:08 +00:00
michel 7a93a8cda8 correcting r2131 for saving additional variables in oo_ 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2133 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-03 09:09:22 +00:00
michel 57240cf01e modified computation of log(det(invhess)) to solve cases in large models where det(invhess) is smaller than machine precision 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2132 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-03 08:43:28 +00:00
michel f4e7a003eb corrected bug related to saving oo_.FilteredVariablesKStepAheadVariances and oo_.FilteredVariablesShockDecomposition 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2131 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-02 14:36:12 +00:00
michel 2a8a507b3f tentative bug correction in DsgeLikelihood when stochastic trends are unobservable (QR instead of SVN) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2122 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-29 13:57:34 +00:00
sebastien 81ada88de2 trunk: fixed copyright header of generalized_cholesky?.m files 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2119 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 16:55:26 +00:00
sebastien 2af294a5e6 trunk: removed remnants of dr_algo option 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2118 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 16:49:51 +00:00
sebastien 928fa74a2f trunk: removed bicgstab.m because of name collision (and there is already a copy of this file called bicgstab_.m which had been created by Ferhat) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2117 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 16:29:31 +00:00
sebastien 26adb11ae0 trunk: renamed sec2hms.m to dynsec2hms.m (name collision with Matlab package) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2116 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 16:26:21 +00:00
sebastien 919c2af259 trunk: 
* added back model_comparison logic
* added QUOTED_STRING token in lexer
* added filename rule in parser (filename is NAME or QUOTED_STRING)


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2115 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 16:24:13 +00:00
michel 18c74cc295 added missing ';' 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2113 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-26 05:39:02 +00:00
sebastien a03af050af undoing r2110 and r2111 changesets 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2112 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-25 12:29:35 +00:00
michel 464e29706f reverted r2010 because of problem with FILENAME token 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2111 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-25 12:10:12 +00:00
adjemian 20bc1b1401 v4.1: Added Model comparison. Not yet ready but can be used. The preprocessor, surprisingly, seems to sort the compared models (listed after the model_comparison command) by decreasing order of the model names (including path and extension). 
TODO: 
+ Add an option to define the benchmark model (bayes ratio).
+ Add comparison to estimated BVAR models.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2110 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-24 21:52:11 +00:00
sebastien 1d4f437499 trunk: merged 2106 changeset from 4.0 branch (typo in dynare_estimation.m) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2109 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-24 20:00:07 +00:00
sebastien 108030d2a6 trunk: merged 2105 changeset from 4.0 branch (Octave graphics compatibility issues) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2108 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-24 19:59:28 +00:00
michel fc4b201e79 correcting typo in writing estim_params_ 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2103 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-24 10:09:26 +00:00
michel dc5904dc1e removed character put by mistake at the top of the file 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2093 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-23 04:50:52 +00:00
sebastien d4e2d6c27f trunk dynare_solve.m: 
* fail if solve_algo=0 and we don't have the optimization toolbox (or under Octave); the previous behavior was to fallback on solve_algo=1
* fail if solve_algo is not between 0 and 4


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2090 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-22 13:13:04 +00:00
sebastien ae68da82ff trunk: added new solve_algo=4 in dynare_solve.m; this mode is the same than solve_algo=2, except that the solver behaves differently when the Jacobian is badly scaled or nearly singular (see header of solve2.m) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2089 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-22 12:52:17 +00:00
adjemian 082e7e3292 v4.1: Added SquareRoot mode for the decomposition of the covariance matrix (Cholesky is the default). Results are saved in oo_. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2088 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-19 16:04:08 +00:00
sebastien 772e3be8b3 trunk: fixed bugs in homotopy mode 3 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2084 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-18 16:59:20 +00:00
adjemian 6d08e65071 v4.1: Code factorization and cosmetic changes, the marginal density use a recursive approach to compute the posterior mean and covariance. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2083 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-18 16:28:57 +00:00
sebastien dd7dcca15e trunk: increased verbosity of homotopy modes 1,2,3 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2079 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-16 17:25:42 +00:00
sebastien e9c7351aee trunk dynare_solve.m: for solve_algo = 2: 
* when solve1() fails on a block, immediately return with info=1 instead of trying to solve subsequent blocks
* added debug messages


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2078 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-16 17:24:11 +00:00
sebastien 4fd7ad4b62 trunk: merged r2071 and r2072 changesets from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2075 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-15 12:29:19 +00:00
sebastien ee392aba3f v4.1 simultxdet.m: 
* fixed function name
* fixed copyright header


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2068 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-14 21:06:38 +00:00
michel ec53cae4d0 bugs correction for exo_det 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2067 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-14 16:36:58 +00:00
michel ea271e7e84 added missing function 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2066 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-14 15:38:23 +00:00
michel 68d00f20d9 bugs correction in diffuse filter 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2064 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-14 12:14:31 +00:00
michel dbe69c1942 bug correction in diffuse filter/smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2060 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-12 18:15:20 +00:00
adjemian eb0ccd8f5b v4.1: Added posterior IRFs for bvar a la Sims (not yet ready. Results are not saved in oo_, more general identification conditions should be allowed, and the code has to be tested). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2059 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-12 10:14:36 +00:00
adjemian 4da95da54c v4.1: Posterior forecasts plots of bvar à la Sims report the median instead of the mean (because the median is less affected by the posterior draws such that the eigenvalues of the companion matrix are outside the unit circle). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2057 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-10 15:40:31 +00:00
adjemian ee67508c0f Correction of the last commit. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2056 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-10 08:41:53 +00:00
adjemian 7aadec0ec5 v4.1: 
+ Moved functions located in ./distribution to ./distributions/toolbox
+ Moved distribution related functions to ./distributions

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2055 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-09 21:47:13 +00:00
sebastien 652c48069e v4.1: added new {save,load}_params_and_steady_state functions (along with their documentation in the manual) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2052 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-09 10:53:10 +00:00
sebastien 8e6bca8228 v4.1: merged r2050 changeset from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2051 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-09 10:46:46 +00:00
michel 463b6f900f v4.1: adding parentheses to make it run faster 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2048 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-08 07:52:25 +00:00
sebastien 0ee09b5b07 v4.1: merged r2044, 2045 and 2046 changesets from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2047 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-05 16:48:39 +00:00
sebastien fa0a9f2784 v4.1: merged r2042 from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2043 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-05 15:03:03 +00:00
sebastien a946f85a74 v4.0 v4.1: fixed buggy dynare_version.m 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2040 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-05 14:23:03 +00:00
sebastien 544dbe9ecb v4.1 matlab/AIM: added license notice 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2036 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-04 09:14:09 +00:00
sebastien 6aab28794a v4.1: bump release number 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2034 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-04 08:02:27 +00:00
michel 7785819203 - updated dynare_m.exe (for old changes, unrelated to current modifications) 
- added missing smoother function (DiffuseKalmanSmootherH3corr_Z.m is still missing)
- added computation of updated variable in smoother functions
- used same names for variables computed by smoother when results are only for posterior mode or for all posterior distribution

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2032 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-04 01:25:02 +00:00
michel 70d8a84490 added updated variables (a_t|t) and reverted the change in name for filtered_variables 
various bug corrections for posterior statistics


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2031 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-04 01:16:50 +00:00
adjemian 2845115b5f + Removed global variables. 
+ Added try and catch to handle cases where oo_ is broken and (mh_replic==0 & load_mh_file==1).
+ Added computation of posterior moments for endogenous variables (triggered by moments_varendo option). First order moments are still missing.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2028 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-03 16:05:35 +00:00
adjemian 348345843b Bug correction (missing parenthesis). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2027 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-03 12:02:29 +00:00
george 5613e7acb2 Removed SPQZ SPEigQZ and SPSSparse as unused 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2025 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 21:06:10 +00:00
george 57ad15fd7a Replaced SPSparse() with sparse() 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2024 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 21:03:40 +00:00
adjemian 0f24420d69 Added a test to warn the user when he tries to estimate a model with non zero steady state (for the observed endogenous variables) using demeaned data (ie prefilter=1). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2023 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 20:50:30 +00:00
george 786b12bc0b Corrected addpath for AIM 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2022 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 18:46:10 +00:00
adjemian a646281137 If var_list_ is empty the user is asked to confirm that he wants to obtain posterior statistics for all the endogenous variables of the model. The user can then choose between: 
[1] var_list_ is the set of all the endogenous variables,
[2] var_list_ is the set of all observed variables,
[3] Stop Dynare and edit the mod file (to add a list of variables after the estimation command).

   

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2020 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 15:52:55 +00:00
sebastien 0c23ac2b06 v4 matlab: 
* fixed various copyright headers
* added URL pointer to C. Sims' original files
* removed obsolete dgamma.m


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2018 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 15:18:05 +00:00
adjemian b4c04a27cc Added autocorrelogram for the posterior draws. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2017 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 10:16:44 +00:00
adjemian 25e20a2b5b Removed unused variable. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2016 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 10:00:15 +00:00
adjemian b5f0fa26ee Changed default value for options_.trace_plot_ma 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2015 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 09:09:36 +00:00
adjemian 9dbe4e9411 Added comments. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2014 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-01 14:45:26 +00:00
adjemian fb3899018e + Added trace plots. 
+ Correction of a bug related to ferhat's recent commits (options_.model_mode has to be declared somewhere).

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2013 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-01 11:44:26 +00:00
adjemian 7ab0fab21c Added missing semi colon. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2012 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-01 11:19:04 +00:00
adjemian 4580290dae Bug correction related to initialization of deterministic simulations (i forgot to commit this file). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2011 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-01 10:13:10 +00:00
ferhat 6a3d20452b Minor corrections: 
- Bug in check.m with model without sparse options
- Display in simulate.dll
- "Model_InfoStatement" renamed "Model_InfoStatement" in ComputingTasks

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2010 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-29 12:31:25 +00:00
adjemian a9be2e5f13 Added Independent Metropolis Hastings and multivariate student as an alternative to multivariate normal for the proposal distribution. The default posterior sampling algorithm is random walk metropolis with a gaussian proposal distribution. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2009 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-28 13:38:07 +00:00
ferhat 08688fd7f3 Check command compatible with sparse model 
- New version of dr1.m (dr1_sparse.m & dr11_sparse.m) to handling sparse model (dr1_sparse and dr11_sparse could replace dr1.m)
- model_info command to describe the block structure of the model 
- transition_matrix.m modified to be compatible with sparse model



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2006 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-28 13:18:09 +00:00
michel fcfb2fb578 functions return E_t Y_t in atilde 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2005 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-26 12:18:00 +00:00
michel 999d95cb7e a is E_t Y_t and a1 is E_t Y_{t+1}; function returns a 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2004 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-26 12:17:16 +00:00
adjemian 0d01f1b3e1 Informations about the deterministic simulations (number of iterations, error,...) are saved in oo_ (usefull for homotopic approach). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2003 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 21:22:28 +00:00
adjemian 70acbdb89f Removed a useless global (dsge_prior_weight) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2002 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 21:17:25 +00:00
adjemian 469eb87f40 Cosmetic change for Junior. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2001 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 21:09:49 +00:00
michel 26038a6df7 fixing bugs in prior_posterior_statistics.m 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2000 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 19:59:46 +00:00
michel 842fc6631b fixing bug for ML estimation when no priors are available 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1999 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 19:59:08 +00:00
michel f6019fe5ab updating dynare_m.exe 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1998 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 19:58:30 +00:00
michel 36ad3d293b fixing bug related to exogenous deterministic variables in forecast 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1996 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 19:04:06 +00:00
michel 4f3d871b77 fixing posterior analysis output. filtered_vars and step_ahead_filter still don't work correctly 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1992 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-24 19:30:55 +00:00
michel 1a1281bd07 updating dynare_m.exe 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1991 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-24 15:14:31 +00:00
george 8a5450638d Commenting out a line as a temporary fix for a missing function filtered_values: 
> Error in ==> DsgeSmoother at 253:
>   oo_.NewFilteredVariables = QT*filtered_values(data1,ahat,P,T,Z);


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1986 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-08 07:37:01 +00:00
sebastien b3470f646f v4 prior_bounds.m: small simplification 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1985 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 14:12:31 +00:00
sebastien 19e9bb3bd1 v4 draw_prior_density.m: 
* factorized code for PDFs
* multiplied by 10 the truncation for inv gamma type 2 (so as to mimic the truncation for inv gamma type 1)
* various cosmetic changes


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1984 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 13:31:33 +00:00
sebastien b61c9e6a69 v4 matlab: 
* added preprocessor support for inverse gamma of type 2
* added support for this distribution in prior_bounds.m and rndprior.m
* other cosmetic changes


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1983 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 10:48:04 +00:00
sebastien a5b3c829d8 v4 matlab: replaced CDF and quantile functions of the beta by GPL'd ones 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1982 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 09:52:45 +00:00
sebastien 7c25303258 v4 matlab: 
* replaced CDF, PDF, quantile functions of the gamma by a GPL'd one
* replaced quantile function of the chi-square by a GPL'd one


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1981 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 09:40:36 +00:00
sebastien f76badf151 v4 matlab: rreplaced beta_rnd.m and gamm_rnd. by GPL'ed custom ones 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1980 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-05 09:07:02 +00:00
sebastien 8bef1f0399 v4 matlab: 
* replaced dnorm, pnorm and qnorm by GPL alternatives in distributions/
* only add distributions/ to the path if under Matlab without Statistics toolbox


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1979 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-04 13:33:57 +00:00
sebastien 4bd6b02ec9 v4 matlab/sec2hms.m: replaced it by a custom version 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1978 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-02 12:54:36 +00:00
sebastien 47a4d91700 v4 matlab: 
* fixed copyright headers of remaining files
* deleted old ChangeLog


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1977 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 18:53:30 +00:00
sebastien dbe05bd9c8 v4 matlab: added copyright notice to C. Sims' files 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1976 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 13:28:14 +00:00
sebastien 9f5beff89e v4 matlab: fixed remaining copyright headers (those files which are in the CR+LF endline convention) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1975 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 13:08:13 +00:00
sebastien db50368418 v4 matlab: fixed some existing copyright headers (and some other minor header issues) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1974 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 12:40:33 +00:00
george 3bf9d8d487 Corrected and commented out the penalty power on info(2) because penalty power is already raised in DR1.m and resol respectively. 
GP July'08

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1968 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-28 10:15:27 +00:00
george 827261166c Added use of G Anderson AIM - see Readme.txt in the new AIM subdirectory. 
DR1 tries to invoke AIM if options_.useAIM == 1 is set.
for start, options_.useAIM = 0 is set by default in global_initialization.m so that system uses mjdgges by default. 
If AIM is to be used, options_.useAIM = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul. 

However, if other exceptions occur and aimcode is higher than 5, the system resets options_.useAIM = 0 tries to use mjdgges instead.

GP July '08

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1967 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-28 09:53:36 +00:00
george bee92a9714 The path to the AIM directory is added by dynare_config.m 
for start, options_.useAIM = 0 is set by default in global_initialization.m so that system uses mjdgges by default. 

If AIM is to be used, options_.useAIM = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul. 
GP July '08

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1966 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-28 09:46:07 +00:00
george 8225da0e7e git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1965 ac1d8469-bf42-47a9-8791-bf33cf982152 2008-07-28 09:42:22 +00:00
michel c9cf49e30b options_.nk default is now set to 1 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1963 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-26 14:15:21 +00:00
adjemian 6b0ba30fb9 Bug correction. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1962 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-25 08:26:20 +00:00
michel 6ff7605f58 added missing semicolon 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1960 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-21 20:20:53 +00:00
michel f78c7f3400 corrected bug in returned argument sequence 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1959 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-21 13:51:43 +00:00
michel 994af45929 made it possible to force the univariate filter in estimation, mostly for testing purpose 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1958 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-18 23:02:53 +00:00
sebastien 308166f1f5 v4 matlab/doc: removed obsolete directory 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1953 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-11 14:13:28 +00:00
sebastien 491e5aabd0 v4 lyapunov_symm.m: fixed bug (one cannont change the counter of a 'for' loop from inside the loop) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1950 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-10 13:22:50 +00:00
adjemian eeb0bee292 Initialization of the deterministic simulation is made optional. Added an option for homotopic solution to deterministic models (not ready). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1944 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-09 08:47:38 +00:00