Johannes Pfeifer
3a115d4fcc
Remove full oo_ input from likelihood functions
2023-10-02 09:48:34 +02:00
Johannes Pfeifer
268a668f32
occbin.dynare_resolve.m: remove oo_ structure as full input
2023-10-02 09:29:15 +02:00
Johannes Pfeifer
8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
Johannes Pfeifer
01f29784d7
bug: initialize undefined variable in OccBin smoother
2023-09-25 12:08:44 +02:00
Johannes Pfeifer
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
Marco Ratto
f0aa2fb86f
cosmetic change
2023-02-03 14:25:59 +01:00
Marco Ratto
22e6fb1814
make sure also ALL updated variables in period 1 are reconstructed with smoother_redux. test model changed accordingly.
2023-02-03 14:20:28 +01:00
Marco Ratto
21c9d59e8c
incorporate information about states in period 0 for occbin with smoother_redux
2023-02-03 14:18:32 +01:00
Marco Ratto
b90dff1986
retrieve states in period 0 from smoother and deploy this to:
...
- allow having binding regimes in period 1 with occbin
- further improve recovering of smoothed variables in period 1 under smoother_redux option
2023-02-03 14:18:10 +01:00
Sébastien Villemot
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
Marco Ratto
178e892e04
big fix for initialization of diffuse filter with correlated observation error covariance matrix
2022-11-18 12:41:15 +01:00
Marco Ratto
f8adfa3fa5
with smoother_redux, factor out definition of nk to reconstruct filtered variables, and use a local variable nk (so options_.nk may remain empty).
2022-10-20 15:30:37 +02:00
Marco Ratto
6d03a65488
bug fix for smoother_redux and state uncertainty with OCCBIN
2022-07-26 18:07:39 +02:00
Johannes Pfeifer
74672bb294
DsgeSmoother.m: delete redundant line
2022-06-27 11:23:19 +02:00
Marco Ratto
9304b535f4
port to occbin smoother the same computational improvements done for standard one under smother_redux option. This also require to provide occbin reduced state-space matrices as output argument of missing_DiffuseKalmanSmootherH3_Z.m
2022-06-02 09:52:47 +02:00
Marco Ratto
12c4e03d7b
bug fixes in retrieving the k-step ahead predictions and updated variables from occbin simulations
2022-06-02 09:52:47 +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
Marco Ratto
06a7e6c7be
bug fixes with occbin smoother: reset nested waitbars and fix names of outut structure of solver
2022-01-06 15:01:35 +01:00
Marco Ratto
bec52fe731
with occbin smoother do not overwrite updated variables that have been already computed with reduced state space
2021-07-21 17:50:58 +02:00
Marco Ratto
02072dde39
Add Occbin routines
...
Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
Johannes Pfeifer
f7a232061a
Remove unused options_-output
...
Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
Johannes Pfeifer
e5b51f3257
DsgeSmoother.m: header cosmetics
...
[skip CI]
2021-06-15 11:16:41 +02:00
Sébastien Villemot
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
Marco Ratto
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
...
Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
Marcoo Ratto
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
Marco Ratto
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
Johannes Pfeifer
7c8f486727
Allow setting initial state for Kalman filter
...
Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
Johannes Pfeifer
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
Sébastien Villemot
7e770f69e7
Remove workaround for errors in MEX files
...
Because at some point throwing exceptions from MEX files (with mexErrMsgTxt())
was not working under Windows 64-bit, we had designed a workaround to avoid
using exceptions.
Most MEX files were returning an error code as their first (or sometimes last)
argument, and that code would have to be checked from the MATLAB code.
Since this workaround is no longer needed, this commit removes it. As a
consequence, the interface of many MEX files is modified.
For some background, see https://www.dynare.org/pipermail/dev/2010-September/000895.html
2020-01-10 18:33:11 +01:00
Stéphane Adjemian (Charybdis)
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
Marco Ratto
cf8213f7a0
fix to the Kitigawa transformation that allows to reduce the computing time of the likelihood in large models, with a lot of static variables, by 30-50%.
...
This fixes the bug in e97e5c3407
that led to 2f9dc09285
It is tested and completely fixes the issue highlighted in #1312 .
2018-01-26 11:47:39 +01:00
Johannes Pfeifer
8ccebd9e23
DsgeSmoother.m: provide informative error instead of crashing when model cannot be solved
2017-08-16 19:26:24 +02:00
Stéphane Adjemian (Charybdis)
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
Stéphane Adjemian (Charybdis)
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
Johannes Pfeifer
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
...
Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
Johannes Pfeifer
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
Johannes Pfeifer
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
Michel Juillard
42acb96b3d
renamed compute schur_statespace_transformation.m
...
refactored code
2016-11-22 18:40:10 +01:00
Johannes Pfeifer
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
Houtan Bastani
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
Johannes Pfeifer
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
...
Closes #1161
2016-04-12 11:36:43 +02:00
Johannes Pfeifer
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
Johannes Pfeifer
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
Johannes Pfeifer
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
...
Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
Johannes Pfeifer
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Marco Ratto
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
...
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00