Stéphane Adjemian
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d3eca9338b
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Merge pull request #1038 from JohannesPfeifer/kernel_density
Allow computing posterior kernel density
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2015-10-12 23:23:07 +02:00 |
Johannes Pfeifer
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40877685f2
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Add LaTeX-output option to table from stoch_simul.m
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2015-10-12 20:42:04 +02:00 |
Johannes Pfeifer
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38d293b864
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Replace globals in disp_th_moments.m by function arguments
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2015-10-12 20:42:03 +02:00 |
Johannes Pfeifer
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f7ae5e4f60
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Adjust table titles to accommodate new filter options
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2015-10-12 20:42:02 +02:00 |
Johannes Pfeifer
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281e87f807
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Add simulated variance decomposition
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2015-10-12 20:42:01 +02:00 |
Johannes Pfeifer
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a524681e40
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Replace globals in disp_moments.m by function arguments
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2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
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9459ff5d8f
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Add bandpass filtering to simulated moments
Also takes precautions for future implementation of one-sided hp filter
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2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
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a4b04ca9b4
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Fix UnivariateSpectralDensity.m for filtered variables
- Adds bandpass filter
- Writes results to oo_
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2015-10-12 20:41:59 +02:00 |
Johannes Pfeifer
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25df325899
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Add bandpass filter to th_autocovariances.m
Also adds documentation
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2015-10-12 20:41:58 +02:00 |
Johannes Pfeifer
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e9f2be0c1a
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Cosmetic changes to UnivariateSpectralDensity.m
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2015-10-12 20:41:57 +02:00 |
MichelJuillard
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6d23db41d0
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Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
Check whether steady state file returns column vector
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2015-10-12 16:33:29 +02:00 |
Johannes Pfeifer
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8ef96c46ca
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Check whether steady state file returns column vector
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2015-10-12 16:17:56 +02:00 |
Stéphane Adjemian (Charybdis)
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203455d2a1
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Updates particles submodule (mainly bug fixes).
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2015-10-12 15:51:16 +02:00 |
Johannes Pfeifer
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7ebbc41d8a
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Get rid of eval statements by using indirect indexing of structures
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2015-10-12 15:36:42 +02:00 |
Johannes Pfeifer
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b7cbb563d6
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Allow suppressing density of smoother and forecast objects
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2015-10-12 15:34:52 +02:00 |
Johannes Pfeifer
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1ef1f9c75d
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Transform hard-coded kernel density options to real options
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2015-10-12 15:34:51 +02:00 |
MichelJuillard
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aa894f8613
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Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
Condition check for stochastic singularity on maximum of non-missing …
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2015-10-12 09:12:31 +02:00 |
MichelJuillard
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c2565e803f
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Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
Filter out failure of k_order_pert in likelihood computation
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2015-10-11 20:45:51 +02:00 |
Johannes Pfeifer
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fd9f2db79d
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Allow resuming previous run of CMAES
Also enables saving of intermediate results, consistent with the manual.
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2015-10-11 19:13:48 +02:00 |
Johannes Pfeifer
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e3e34e1c7d
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Reduce default accuracy criterion in cmaes.m
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2015-10-11 18:50:05 +02:00 |
Johannes Pfeifer
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df47be4076
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Properly set bounds and H0 for CMAES
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2015-10-11 18:21:25 +02:00 |
Johannes Pfeifer
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d513d38f73
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Filter out failure of k_order_pert in likelihood computation
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2015-10-11 17:55:27 +02:00 |
Johannes Pfeifer
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33aa22a80f
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Condition check for stochastic singularity on maximum of non-missing observations
closes #1071
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2015-10-11 10:49:15 +02:00 |
MichelJuillard
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866ab33575
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Merge pull request #1042 from JohannesPfeifer/discretionary
Various fixes for discretionary_policy
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2015-10-10 22:25:46 +02:00 |
MichelJuillard
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b51b037ef2
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Merge pull request #871 from JohannesPfeifer/prior_posterior_function
Add functionality Prior posterior function
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2015-10-10 22:17:53 +02:00 |
Michel Juillard
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6502c311a0
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replaced global timer by local timer
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2015-10-10 14:33:30 +02:00 |
Stéphane Adjemian (Charybdis)
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18a5eea7e0
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Fixed bug in clear_persistent_variables routine.
The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
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2015-10-10 00:21:18 +02:00 |
Stéphane Adjemian
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3490e400bc
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Merge pull request #1015 from JohannesPfeifer/model_comparison
Bugfixes and improvements for model_comparison
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2015-10-09 17:11:15 +02:00 |
Michel Juillard
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f7f158f078
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Revert "removed global objective_function_penalty_base"
This reverts commit 5ade8d7c6f .
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2015-10-09 14:23:32 +02:00 |
Michel Juillard
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784b8d893c
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Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
This reverts commit a6f123fd50 .
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2015-10-09 14:23:32 +02:00 |
Michel Juillard
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818fa47375
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Revert "adding new functions for penalty optimization"
This reverts commit b9e535e99e .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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295eed6118
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Revert "adapted dsge-var code for new handling of penalties"
This reverts commit 3966296aca .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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f464760c45
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Revert "remove global objective_function_penalty_base"
This reverts commit cf858c7fcb .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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035adeb89e
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Revert "More fixing related to objective_function_penalty_base"
This reverts commit 1ad8df4635 .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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1a9aa17c9e
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Revert "More fixings around objective_function"
This reverts commit 05cd51111c .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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9be5c31761
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Revert "More fixing of the same"
This reverts commit a54dda165f .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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063a548bd3
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Revert "changed persitent variables into local ones in mr_hessian.m"
This reverts commit fe077fc710 .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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bc37c838c7
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Revert "more fixes for penalty objective function"
This reverts commit 3dac7f8809 .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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a7a3bbef89
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Revert "reset newratflag = 0 in dynare_minimize_objective"
This reverts commit d4cf3576e4 .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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7202c497de
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Revert "removed initialization of mr_hessian()"
This reverts commit f48a026d89 .
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2015-10-09 14:23:31 +02:00 |
Michel Juillard
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f48a026d89
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removed initialization of mr_hessian()
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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d4cf3576e4
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reset newratflag = 0 in dynare_minimize_objective
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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3dac7f8809
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more fixes for penalty objective function
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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fe077fc710
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changed persitent variables into local ones in mr_hessian.m
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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a54dda165f
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More fixing of the same
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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05cd51111c
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More fixings around objective_function
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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1ad8df4635
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More fixing related to objective_function_penalty_base
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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cf858c7fcb
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remove global objective_function_penalty_base
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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3966296aca
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adapted dsge-var code for new handling of penalties
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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b9e535e99e
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adding new functions for penalty optimization
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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a6f123fd50
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reducing penalty value to 0.1 when there is no ground to make it proportional
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2015-10-08 20:57:00 +02:00 |
Michel Juillard
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5ade8d7c6f
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removed global objective_function_penalty_base
added penalty_objective_function.m and penalty_hessian.m
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2015-10-08 20:57:00 +02:00 |
Stéphane Adjemian (Charybdis)
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9131472429
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Do not ask for confirmation when deleting a non empty directory (Octave)
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2015-10-07 18:13:44 +02:00 |
Stéphane Adjemian (Charybdis)
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c064e9ed5e
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Make unit test compatible with Octave.
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2015-10-07 17:47:14 +02:00 |
Stéphane Adjemian (Charybdis)
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44c198f3f4
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Updated dseries module (fix for csv files).
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2015-10-07 11:58:17 +02:00 |
MichelJuillard
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f4e8fc74da
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Merge pull request #1068 from JohannesPfeifer/trust_region
Test for solution before breaking with error code -3 in trust_region
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2015-10-06 14:17:25 +02:00 |
Johannes Pfeifer
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934901036b
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Test for solution before breaking with error code -3 in trust_region.m
Fixes #1067
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2015-10-06 13:59:59 +02:00 |
Stéphane Adjemian (Charybdis)
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489bffdfd8
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Fixed option names for mode_compute=6.
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2015-10-06 11:34:56 +02:00 |
Stéphane Adjemian (Charybdis)
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03b92c6387
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Added file to clear all functions with persistent variables.
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2015-10-06 11:34:56 +02:00 |
Houtan Bastani
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07e29125a2
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Revert "Merge pull request #1064 from JohannesPfeifer/trust_region"
This reverts commit 9cc96b93c0 , reversing
changes made to 1bc965625c .
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2015-10-06 09:52:16 +02:00 |
Houtan Bastani
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51463929d1
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reporting submodule update
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2015-10-02 16:22:35 +02:00 |
Stéphane Adjemian (Charybdis)
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a42a9a427f
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Added a routine to test if a file is older than all the files in a folder (and subfolders).
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2015-09-25 23:37:45 +02:00 |
Johannes Pfeifer
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c01352ea3b
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Fix exit criterion in trust_region.m
Otherwise, error code -3 (Trust region became uselessly small) was accepted as a solved steady state
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2015-09-25 09:11:47 +02:00 |
ferhat
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7c5272d852
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Allows to compute the extended path and the conditional forecasts with bytecode
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2015-09-22 15:39:49 +02:00 |
Stéphane Adjemian (Charybdis)
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a911568b37
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Updated dseries submodule and reference manual.
Remove the possibility to instantiate an empty dseries with a range of dates.
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2015-09-14 14:07:51 +02:00 |
Houtan Bastani
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268384572b
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Merge pull request #1017 from JohannesPfeifer/gsa_fix
Fix bugs in gsa with morris and posterior sampling
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2015-09-09 11:44:49 +02:00 |
Stéphane Adjemian (Charybdis)
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e5e9bdb892
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Adding missing exception...
For cases where a generalized eigenvalue is too close to 0/0.
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2015-09-04 11:02:39 +02:00 |
Stéphane Adjemian (Charybdis)
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59618d132e
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Do not print warning backtrace when some parameters are not initialized.
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2015-09-03 18:31:02 +02:00 |
Stéphane Adjemian (Charybdis)
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267218b5b2
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Updated m-unit-tests submodule.
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2015-09-01 14:55:23 +02:00 |
Stéphane Adjemian
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edcddd9008
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Merge pull request #1037 from JohannesPfeifer/rolling_window
Add capacities for rolling window estimation
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2015-08-31 12:56:02 +02:00 |
Stéphane Adjemian
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ffa281a058
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Merge pull request #1043 from JohannesPfeifer/check_matlab_path
Make check_matlab_path.m able to deal with one-letter files
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2015-08-31 09:12:35 +02:00 |
Johannes Pfeifer
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b592987fb4
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Base evaluation of linearity at steady state for exogenous variables
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2015-08-30 11:56:26 +02:00 |
Johannes Pfeifer
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9e504a1293
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discretionary_policy: Add check whether equation number is consistent with declared number of instruments
Also fixes unit test that violated this.
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2015-08-30 11:43:54 +02:00 |
Johannes Pfeifer
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3b64c37cb3
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Update information in M_ if discretionary_policy_1.m changes lead_lag_incidence
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2015-08-30 11:42:49 +02:00 |
Johannes Pfeifer
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9d90a204f7
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Clean up evaluate_planner_objective.m
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2015-08-30 11:16:26 +02:00 |
Johannes Pfeifer
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c66ee8941a
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Document discretionary_policy_engine.m
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2015-08-30 11:14:35 +02:00 |
Stéphane Adjemian (Charybdis)
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d8eff0843f
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Updated particles submodule.
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2015-08-28 11:20:24 +02:00 |
Johannes Pfeifer
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14e2b6ec67
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Make check_matlab_path.m able to deal with one-letter files
Closes #1040
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2015-08-27 15:34:54 +02:00 |
Stéphane Adjemian
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9179d331e0
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Merge pull request #1036 from JohannesPfeifer/cosmetics
Speedup and compatibility
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2015-08-27 11:46:16 +02:00 |
Stéphane Adjemian (Charybdis)
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d125c2effc
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Fixed bug (wrong syntax for switch, case 5).
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2015-08-27 11:37:07 +02:00 |
Johannes Pfeifer
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cc3aeafd00
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Save planner objective function with discretionary_policy
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2015-08-26 10:00:35 +02:00 |
Johannes Pfeifer
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f5dac58ffc
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Remove redundant check whether nobs is empty from dynare_estimation.m
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2015-08-25 15:40:44 +02:00 |
Johannes Pfeifer
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f80f0f9258
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Add capacities for rolling window estimation
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2015-08-25 15:37:25 +02:00 |
Johannes Pfeifer
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26437e1c32
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Replace eval by indirect addressing of fields.
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2015-08-25 09:45:39 +02:00 |
Johannes Pfeifer
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24a91ab6bc
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Replace inline by anonymous functions
Inline will be removed from future Matlab versions
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2015-08-25 09:44:48 +02:00 |
Michel Juillard
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511801c903
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finalize svar_global_identification_check
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2015-08-24 14:53:27 +02:00 |
Houtan Bastani
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a88d1bd0f8
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Merge pull request #1032 from JohannesPfeifer/mode_check
Add missing fclose to mode_check.m
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2015-08-17 14:45:25 +02:00 |
Johannes Pfeifer
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ee66f892ca
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Add missing fclose to mode_check.m
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2015-08-17 14:42:52 +02:00 |
Houtan Bastani
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e8b894c791
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submodule update: dseries
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2015-08-17 12:16:21 +02:00 |
Houtan Bastani
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b7b9202672
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Merge pull request #1029 from JohannesPfeifer/display_Jacobian
Fix wrong display type in display_problematic_vars_Jacobian.m
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2015-08-17 11:00:25 +02:00 |
Johannes Pfeifer
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6f8000f0f3
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Condition test whether varobs was defined on existence of field
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2015-08-17 10:48:41 +02:00 |
Johannes Pfeifer
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c322315010
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Fix wrong display type in display_problematic_vars_Jacobian.m
Equation number is a double, not a string.
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2015-08-15 11:58:43 +02:00 |
Johannes Pfeifer
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9b6d7dc68a
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Make irf_plot_threshold consistent with manual
IRFs smaller and not smaller equal should not be displayed
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2015-08-14 12:36:08 +02:00 |
Johannes Pfeifer
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6e93c83b69
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model_comparison: Do not issue warning if all prior densities are 1
If the user specifies nothing, this is the default, which should not result in a warning
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2015-08-13 17:49:15 +02:00 |
Johannes Pfeifer
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a072294cab
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Improve documentation for model_comparison.m
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2015-08-13 17:49:15 +02:00 |
Johannes Pfeifer
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680625f260
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Save results of model_comparison to oo_
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2015-08-13 17:48:09 +02:00 |
Johannes Pfeifer
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9651f62aa0
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Fix bug preventing selecting modified harmonic mean for model_comparison
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2015-08-13 17:48:09 +02:00 |
Stéphane Adjemian
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de9f5cd8e1
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Merge pull request #1023 from JohannesPfeifer/posterior_std
Clarify that oo_.posterior_std comes from mode computing
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2015-08-13 16:10:12 +02:00 |
Stéphane Adjemian (Lupi)
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1fa050830b
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Manually merged PR #1022.
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2015-08-13 14:49:39 +02:00 |
Johannes Pfeifer
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2476ffdbb9
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Add indicator for successful run of MCMC and provide error message if load_mh_file is used with crashed chain
Closes #917
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2015-08-11 14:37:37 +02:00 |
Johannes Pfeifer
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7bdc6de481
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Cosmetic improvements in *_mh_history_file
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2015-08-11 14:33:45 +02:00 |
Johannes Pfeifer
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698a44c98a
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Add option for storing contemporaneous correlation
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2015-08-11 11:27:55 +02:00 |
Johannes Pfeifer
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8a09c61adb
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Redefine oo_.posterior_std and add oo_.posterior_std_at_mode
Makes clear that oo_.posterior_std_at_mode comes from mode-finding while oo_.posterior_std comes from MCMC
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2015-08-11 11:24:58 +02:00 |
Johannes Pfeifer
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beab158a67
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Various cosmetic fixes
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2015-08-10 21:35:51 +02:00 |
Houtan Bastani
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6e3a73190f
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fix general oo_ conversion function: make recursive, works in both directions, #915
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2015-08-07 11:42:33 +02:00 |
Johannes Pfeifer
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df54dcaddb
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filt_mc: Fix saving of variables that might not exist
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2015-08-06 11:56:56 +02:00 |
Johannes Pfeifer
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ef4200b3c3
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Fix compatibility of gsa with new data interface
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2015-08-06 11:56:15 +02:00 |
Houtan Bastani
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e13a59eb64
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preprocessor: add one_sided_hp_filter to stoch_simul. #1011
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2015-08-03 17:34:34 +02:00 |
Houtan Bastani
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d9a1b99899
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preprocessor: add bandpass_filter option to stoch_simul. #1011
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2015-08-03 17:28:55 +02:00 |
Michel Juillard
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8fb08096b2
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fixed bug introduced in commit caa04fb251
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2015-07-31 19:37:55 +02:00 |
Houtan Bastani
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f216b9194b
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modify version checking files to work with versions with 2 and 3 numbers, #915
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2015-07-31 13:46:37 +02:00 |
MichelJuillard
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7567c04421
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Merge pull request #1007 from JohannesPfeifer/ml_use_calibration
Filter out non-fully calibrated model when use_calibration is used wi…
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2015-07-31 11:34:28 +02:00 |
Michel Juillard
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caa04fb251
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add explicit opts in calls to linsolve to solve a bug in linsolve.m
for Octave 4.0.0
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2015-07-31 11:25:54 +02:00 |
Johannes Pfeifer
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64889b7335
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Filter out non-fully calibrated model when use_calibration is used with ML
Required after 9557142cc4 .
Closes #849
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2015-07-31 11:23:58 +02:00 |
Houtan Bastani
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c88c17728e
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preprocessor: issue warning when param used with lead/lag. closes #976
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2015-07-30 14:40:03 +02:00 |
Michel Juillard
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7d11ed7642
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histval: use now the same treatment for exogenous and exogenous det
variables as for endogenous ones. Closes issue #617.
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2015-07-29 16:12:53 +02:00 |
Michel Juillard
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fe861fee76
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fixed bug introduced in commit 1bd2a1b1c2
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2015-07-29 11:54:10 +02:00 |
Michel Juillard
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1bd2a1b1c2
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ep: fixed return of solve_stochastic_perfect_foresight() and solve_stochastic_perfect_foresight_2()
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2015-07-28 17:17:25 +02:00 |
Michel Juillard
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448bece904
|
ep: set default algorithm for solve_algo = 9 (trust region on a single block)
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2015-07-28 17:17:25 +02:00 |
Johannes Pfeifer
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4c15342e98
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Add option for selection of draw number to execute_prior_posterior_function.m
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2015-07-28 15:37:01 +02:00 |
Johannes Pfeifer
|
161f2d8bc7
|
Add functionality for prior and posterior computations
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2015-07-28 15:37:00 +02:00 |
Johannes Pfeifer
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2620322122
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Cosmetic improvements in prior_draw.m
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2015-07-28 15:37:00 +02:00 |
Johannes Pfeifer
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f57cf46df9
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Make GetOneDraw.m only compute posterior for prior if needed
Potentially saves a lot of time
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2015-07-28 15:37:00 +02:00 |
Johannes Pfeifer
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ca5c714e29
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Replace global variables in CutSample.m and metropolis_draw.m by function arguments
Makes them usable outside of their current environment
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2015-07-28 15:36:59 +02:00 |
Johannes Pfeifer
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5131f3907f
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Make sure the used global variables are correctly set and available in the base workspace
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2015-07-28 15:36:59 +02:00 |
Johannes Pfeifer
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0f50f33c2c
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Initialize M_.dname=M_.fname in global_initialization.m
Closes #979
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2015-07-28 15:23:53 +02:00 |
MichelJuillard
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1a5c379a86
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Merge pull request #1001 from JohannesPfeifer/steady_state_file_crash
Add missing return statement to evaluate_steady_state_file.m
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2015-07-27 21:56:30 +02:00 |
MichelJuillard
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2209944c7c
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Merge pull request #1000 from JohannesPfeifer/collect_latex
Bugfixes related to collect_LaTeX_Files.m
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2015-07-27 21:55:09 +02:00 |
MichelJuillard
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6864a5fad6
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Merge pull request #999 from JohannesPfeifer/init_fix
Add check whether bayestopt_ is empty
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2015-07-27 21:54:05 +02:00 |
MichelJuillard
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fb77b447bd
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Merge pull request #998 from JohannesPfeifer/prior_distributions
Prior distributions
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2015-07-27 21:53:19 +02:00 |
MichelJuillard
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c8f11ba162
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Merge pull request #995 from JohannesPfeifer/steady_fail_message
In debugging modus, provide termination values of steady state finding.
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2015-07-27 21:50:16 +02:00 |
MichelJuillard
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62ded1d250
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Merge pull request #994 from JohannesPfeifer/doc_shock_decomp
Add headers and more documentation to shock_decomposition.m and graph…
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2015-07-27 21:49:33 +02:00 |
Johannes Pfeifer
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f5e8aeb552
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Add missing return statement to evaluate_steady_state_file.m
Otherwise, the code will subsequently crash if the steady state file does not return a conformably sized vector, although an error code was returned
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2015-07-27 18:10:27 +02:00 |
Michel Juillard
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c3c72192ac
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small bug corrections
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2015-07-27 16:52:36 +02:00 |
Michel Juillard
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ef8f36565b
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initializing options_.instruments = []
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2015-07-27 15:52:14 +02:00 |
Michel Juillard
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2207b51aaa
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correcting typo
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2015-07-27 15:51:48 +02:00 |
Michel Juillard
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22eb824c6f
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extended path: fixing bug
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2015-07-27 14:31:42 +02:00 |
Johannes Pfeifer
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19fdb309ac
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Fix computation of prior mode for uniform distribution
While this code is never actually used, we return the prior mean, which is directly given by the first hyperparameter.
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2015-07-27 10:19:02 +02:00 |
Johannes Pfeifer
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19b7f5ea7f
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Bugfixes related to collect_LaTeX_Files.m
- deals with potentially unset M_.dname
- loads missing float package
- prevents crash when longnames is not used
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2015-07-26 17:49:54 +02:00 |
Johannes Pfeifer
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f679594908
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Add check whether bayestopt_ is empty
Otherwise crashes for calibrated smoother occur
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2015-07-25 07:32:48 +02:00 |
Johannes Pfeifer
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8b49b30f91
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Add unit tests for prior sampling
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2015-07-24 16:32:05 +02:00 |
Johannes Pfeifer
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b5aeefe526
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Make prior_draw.m check for uniform distribution violation of bounds
Follows the logic for all other distributions
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2015-07-24 16:23:40 +02:00 |
Johannes Pfeifer
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560d9719db
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Correct copy and paste mistake in prior_draw.m for inverse gamma II
In case of bound violations, it was instead sampled from inverse gamma I
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2015-07-24 15:59:40 +02:00 |
Johannes Pfeifer
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3d9f12d769
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Add check whether prior mean violates Generalized (Inverse) Gamma
Performs check as for generalized beta distribution
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2015-07-24 15:08:52 +02:00 |
Johannes Pfeifer
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f788271b9c
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In debugging modus, provide termination values of steady state finding.
Closes #3
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2015-07-24 10:44:46 +02:00 |
Johannes Pfeifer
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36e7bcdbcd
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Add headers and more documentation to shock_decomposition.m and graph_decomp.m
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2015-07-24 10:08:43 +02:00 |
MichelJuillard
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61d514c9eb
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Merge pull request #991 from JohannesPfeifer/marginal_density
marginal_density.m: performance improvements
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2015-07-23 18:26:06 +02:00 |
Johannes Pfeifer
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5d775d3d76
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marginal_density.m: Rely on already computed inverse of SIGMA
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2015-07-23 18:18:31 +02:00 |
Johannes Pfeifer
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4202dff6c9
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marginal_density.m: only compute determinant once
Uses log(det(SIGMA*increase))=log(increase^npar*det(SIGMA))=npar*log(increase)+log(det(SIGMA))
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2015-07-23 18:13:15 +02:00 |
Johannes Pfeifer
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9e3f89fd3b
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marginal_density.m: move inversion out of loop
Related to #270
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2015-07-23 17:54:46 +02:00 |