Willi Mutschler
777ec76536
method_of_moments: cosmetical changes to cleanup
2023-09-07 09:36:27 +02:00
Willi Mutschler
55dc4a00d5
method_of_moments: refactor displaying of moments
2023-09-07 09:36:27 +02:00
Willi Mutschler
e025d56a59
method_of_moments: refactor J-Test
2023-09-07 09:36:27 +02:00
Willi Mutschler
07b62fe554
method_of_moments: refactor iterated GMM/SMM estimation
2023-09-07 09:36:27 +02:00
Willi Mutschler
9dc4878f9f
method_of_moments: refactor printing of info to a utility function
2023-09-07 09:36:27 +02:00
Willi Mutschler
e52c007d8b
method_of_moments: cosmetical changes to checks for objective function at initial parameters
2023-09-07 09:36:27 +02:00
Willi Mutschler
fb326638f9
method_of_moments: remove redundant noconstant option check
2023-09-07 09:36:27 +02:00
Willi Mutschler
e170b64713
method_of_moments: refactor steady-state check utility functions
...
Reuse same functions from full-information estimation command
2023-09-07 09:36:27 +02:00
Willi Mutschler
b737d46d61
method_of_moments: cosmetical changes to smm shock series
2023-09-07 09:36:27 +02:00
Willi Mutschler
9914d764c2
method_of_moments: refactor data moments computation
...
Also rename function to not confuse this with the variable stored in oo_.mom.datamoments.
2023-09-07 09:36:27 +02:00
Willi Mutschler
c0cae0ebaa
method_of_moments: cosmetical changes to mom.objective function
2023-09-07 09:36:27 +02:00
Willi Mutschler
0cd65df72a
method_of_moments: add warnings for problematic prior stderr/corr and value
...
Also moved oo_.prior to oo_.mom.prior
2023-09-07 09:36:27 +02:00
Willi Mutschler
017b4f05f6
method_of_moments: cosmetical changes on estimated params initializations
2023-09-07 09:36:27 +02:00
Willi Mutschler
1ef026dc9d
method_of_moments: factorize correct bounds for stderr and corr
2023-09-07 09:36:27 +02:00
Willi Mutschler
180b92cb1e
method_of_moments: refactor penalized estimation with laplace prior
2023-09-07 09:36:27 +02:00
Willi Mutschler
c3327e000c
method_of_moments: refactor matched moments block transformations
2023-09-07 09:36:27 +02:00
Willi Mutschler
0487dd4a77
method_of_moments: refactor and function for default options & initializations
...
Also changed:
- options_mom_.vector_output to options_mom_.mom.vector_output
- optimizer_vec to options_mom_.optimizer_vec
- oo_.dr.obs_var to oo_.mom.obs_var
2023-09-07 09:36:27 +02:00
Willi Mutschler
f25188cf2f
method_of_moments: improved header
2023-09-07 09:36:27 +02:00
Willi Mutschler
3c0f3c1c24
Factorize estimation: check steady-state (static, changes parameters)
2023-09-07 09:36:27 +02:00
Willi Mutschler
23f6019cdf
Factorize estimation: check prior stderr and corr parameters
2023-09-07 09:36:27 +02:00
Willi Mutschler
6941bd5516
Factorize estimation: wrapper for tune_mh_jscale
2023-09-07 09:36:27 +02:00
Willi Mutschler
c356db4531
Factorize estimation: set_mcmc_jumping_covariance
2023-09-07 09:36:27 +02:00
Willi Mutschler
aa99eff81d
Factorize estimation: set_mcmc_prior_bounds
2023-09-07 09:36:27 +02:00
Willi Mutschler
7f22414843
Factorize estimation: checks for VAROBS
2023-09-07 09:36:27 +02:00
Willi Mutschler
688d847489
Factorize estimation: check_mode_file
2023-09-07 09:36:27 +02:00
Willi Mutschler
c21f75887d
Factorize estimation: check_hessian_at_the_mode
2023-09-07 09:36:27 +02:00
Willi Mutschler
dd2c816df0
compute_mh_covariance_matrix: remove globals
2023-09-07 09:36:27 +02:00
Willi Mutschler
d8105a3237
Cosmetical changes
2023-09-07 09:36:27 +02:00
Willi Mutschler
960c075420
Replace "Estimation::mcmc::" by a variable
...
This enables re-using estimation functions for other Bayesian estimation routines such as Bayesian method_of_moments and printing it nicer to the console.
2023-09-07 09:36:27 +02:00
Sébastien Villemot
6551b88fc8
Merge branch 'truncated_normal' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2161
2023-09-07 08:56:13 +02:00
Johannes Pfeifer
8f79e848f0
Remove remnants of GPU code
2023-09-07 08:00:05 +02:00
Johannes Pfeifer
9afd75ca9b
th_autocovariances.m: rework routing to clarify approach
...
Changes reflect model representation with 1 lag only
2023-09-06 22:14:19 +02:00
Johannes Pfeifer
7283838a0f
dynare_config.m: sort added paths
2023-09-06 22:11:35 +02:00
Johannes Pfeifer
02b4242c75
Remove MATLAB:dividebyzero identifier
...
Was removed from Matlab
2023-09-06 15:09:39 +02:00
Johannes Pfeifer
5f68504919
prior sampling: suppress loop output
2023-09-06 14:14:31 +02:00
Johannes Pfeifer
d60a19ce49
Finish implementation of truncated normal distribution
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1593
2023-09-06 12:46:41 +02:00
Sébastien Villemot
16f921ed62
Add Meson build system
...
Mostly working. The testsuite remains to be done.
In particular, windows/deps/mkoctfile64 is modified to print its version number
on stdout instead of stderr. This is what the standard mkoctfile does, and it
allows easier capture of the output from Meson.
2023-09-04 18:04:00 +02:00
Sébastien Villemot
6747f2130e
Perfect foresight: fix illegal memory read with bytecode + endval_steady
...
The exogenous steady state vector was passed as a row-vector to
evaluate_steady_state, thus leading to an incorrectly-sized matrix passed to
bytecode when checking the steady state on the dynamic model (when different
from the static model).
2023-09-01 14:52:57 +02:00
Johannes Pfeifer
c70f2f1e4b
Allow x13 to deal with missing values
2023-08-31 09:07:51 +02:00
Sébastien Villemot
0d21927381
Merge branch 'mod_comp' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2157
2023-08-30 11:47:22 +02:00
Sébastien Villemot
01011cb849
Merge branch 'shock_decomp' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2156
2023-08-30 11:46:47 +02:00
Sébastien Villemot
38f36258ed
Merge branch 'endogenous_prior' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2153
2023-08-30 11:45:54 +02:00
Johannes Pfeifer
e70b2fdfcf
makedataset.m: account for short filenames
2023-08-29 16:15:34 +02:00
Johannes Pfeifer
183e6fbb3b
model_comparison.m: account for short filenames
2023-08-29 16:14:50 +02:00
Johannes Pfeifer
9e53bd9967
shock_decomposition.m: do not overwrite other output
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1897
2023-08-29 14:40:10 +02:00
Johannes Pfeifer
0729ee72af
det_cond_forecast.m: cosmetic changes to error messages
2023-08-24 12:38:50 +02:00
Johannes Pfeifer
a85a00bfcf
endogenous prior: fix logic of missing observations check
...
Message should only be displayed if there are missing observations
2023-08-23 09:32:24 +02:00
Stéphane Adjemian (Argos)
91825d4b5b
Fix cherrypick routine with max and min functions in model block.
2023-07-21 15:36:52 +02:00
Normann Rion
710589eb5b
Adds pruning in k_order_simul
...
See issue #1643 about beyond-third-order pruning
2023-07-20 06:58:35 +01:00
Stéphane Adjemian (Ryûk)
c02e550582
Update dseries submodule.
...
Pass more than one variable name to remove and remove_ methods.
2023-07-19 18:23:08 +02:00
Johannes Pfeifer
d2fecdc5d3
load_*_mh_history_file: remove assignin statements
2023-07-18 10:01:47 -04:00
Johannes Pfeifer
8532d6abd7
Cosmetic changes to various estimation routines
2023-07-13 14:40:01 -04:00
Johannes Pfeifer
e6c43c2a29
load_last_mh_history_file: make sure number of blocks and parameters matches loaded files
2023-07-13 14:39:50 -04:00
Stéphane Adjemian (Ryûk)
b5a74b96e5
Merge particles submodule into master.
2023-07-12 14:01:25 +02:00
Stéphane Adjemian (Ryûk)
21dcc911bc
Move files and delete unused folders and files.
2023-07-12 09:29:41 +02:00
Stéphane Adjemian (Argos)
6265a6d2b1
Update dseries submodule (add two arguments to dplot command).
2023-07-07 11:40:41 +02:00
Stéphane Adjemian (Argos)
bd0493d135
Add routine for dynamic contributions in semi-structural models.
2023-07-06 22:26:09 +02:00
Stéphane Adjemian (Argos)
5e869669a0
Set verbose to false by default.
2023-07-06 22:26:07 +02:00
Sébastien Villemot
ae67b4a145
Merge branch 'master' into 'master'
...
Variable number of parameter MCMC convergence plots
See merge request Dynare/dynare!2127
2023-07-05 10:07:39 +00:00
William Gatt
eb5eefdcf0
Variable number of parameter MCMC convergence plots
...
This change allows the user to change the number of parameters for which the MCMC convergence diagnostics are shown. The user needs to set a value for options_.convergence.brooksgelman.plotrows for an arbitrary number of parameters to be shown, but defaulting to 3 if no input is supplied.
2023-07-05 10:07:38 +00:00
Normann Rion
23dbb2b4b9
Fixes local_state_space_iteration_3 and adds a test comparing the various pruning routines used in dynare up to order 3.
...
The considered pruning routines can be found in
- `simult_.m`
- `local_state_space_iteration_2` MEX
- `local_state_space_iteration_3` MEX
- `pruned_state_space_system.m`
2023-07-04 19:15:43 +02:00
Normann Rion
d2c324eeee
Amends the various filters to fit the fixed version of local_state_space_iteration_3
...
See MR !2144 for more details
2023-07-01 16:43:48 +02:00
Johannes Pfeifer
d386bb9f76
Cholesky decomposition: only add to diagonal if really necessary
...
Closes #1891
2023-06-23 11:26:14 -04:00
Johannes Pfeifer
ed7fe89bfa
Remove unused exo_names_orig_ord
2023-06-23 08:41:12 -04:00
Willi Mutschler
e6920a60a1
Default option: don't save files for csminwel and cmaes
...
Usually these files are not needed (if then user can turn this option on manually) and only clutter the folder.
Moreover, the testsuite crashes on rare occasions if several mod files are run in the same folder and the optimizers write the files simultaneously.
2023-06-23 12:11:23 +02:00
Johannes Pfeifer
050679cd56
Rename resid.m
...
Closes #1888
2023-06-23 12:10:18 +02:00
Johannes Pfeifer
782368eb9b
dseries: document saving of atr log
...
Related to dseries@f2bdd617
2023-06-22 13:56:19 -04:00
Sébastien Villemot
d5a3a8e16a
Various improvements to perfect foresight homotopy
...
– new option “endval_steady” to pf_setup command to recompute terminal
steady state in the homotopy loop
– new options “homotopy_linearization_fallback” and
“homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver
commands, to get an approximate solution when homotopy fails to go to 100%
– new options “homotopy_initial_step_size”, “homotopy_min_step_size”,
“homotopy_step_size_increase_success_count” and “homotopy_max_completion_share”
to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour
– removed option “homotopy_alt_starting_point” to pf_solver command, not really
useful
– new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”,
“steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to
control the computation of the terminal steady state (and remove the
equivalent options which previously had different names in pfwee_solver command)
2023-06-21 15:58:23 +02:00
Sébastien Villemot
3a789ca780
🐛 dynare_solve would incorrectly accept some guess values leading to NaN residuals
...
If the guess value passed to dynare_solve was such that the residuals were all
below tolerance, except some that were NaN, then this guess value would be
incorrectly accepted as a solution.
2023-06-20 15:35:36 +02:00
Sébastien Villemot
8fa37a0439
perfect_foresight_with_expectation_errors_solver: remove obsolete code
...
This should have been removed in c1b78e26ac
2023-06-16 16:45:04 +02:00
Sébastien Villemot
d4b5e156d1
perfect_foresight_with_expectation_errors_solver: check convergence of informational iterations
...
Error out if an iteration failed.
Also display an informative message about those iterations.
2023-06-16 16:45:04 +02:00
Sébastien Villemot
396267260a
Block solvers: improvement to error messages
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– Do not mention internal options_ structure
– Remain agnostic about whether we are in a steady state or a deterministic simulation
[skip ci]
2023-06-15 15:49:50 +02:00
Sébastien Villemot
c1b78e26ac
perfect_foresight_with_expectation_errors_{setup,solver}: streamline handling of guess values
...
– Remove the terminal_steady_state_as_guess_value option to pfwee_solver
– pfwee_setup now sets the same guess values as pf_setup (i.e. terminal steady
state at all periods)
– With constant_simulation_length option, pfwee_solver uses terminal steady
state as guess values for periods that are added to the simulation
2023-06-15 15:37:48 +02:00
Sébastien Villemot
30c17ad346
🐛 Steady state: wrong value of maxit was used for some block/bytecode cases
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It was using the value of maxit for perfect foresight simulations.
2023-06-15 15:37:48 +02:00
Sébastien Villemot
c7b4ea40f8
🐛 Steady state computation: fix crash if bytecode (without block) does not find a solution
...
ys was uninitialized and it would crash further down in the function.
2023-06-15 15:37:48 +02:00
Stéphane Adjemian (Ryûk)
a541e1e6d0
Update dseries submodule.
2023-06-14 10:47:57 +02:00
Sébastien Villemot
dcf56b89cd
Bytecode: rework message verbosity
...
Now uses options_.verbosity to decide what to print:
– if options_.verbosity == 0, prints nothing
– if options_.verbosity >= 1, prints iteration counter and duration, and fatal errors
– if options_.verbosity >= 2, additionally print floating point exceptions and
details about algorithmic decisions
2023-06-13 16:59:07 +02:00
Sébastien Villemot
d81e3992c3
perfect_foresight_solver_core: fix crash when bytecode does not converge
...
The bug was introduced in commit 7722e8e36b
2023-06-12 19:19:21 +02:00
Sébastien Villemot
4431a89e87
perfect_foresight_solver_core.m: when relevant, use bytecode MEX to recompute ∞-norm of residuals
...
Since commit 7722e8e36b
it would always use the
perfect_foresight_problem MEX, but the latter is less efficient than bytecode.
2023-06-12 19:18:45 +02:00
Sébastien Villemot
73ae1ac8ce
evaluate_steady_state: minor simplification
2023-06-12 19:18:44 +02:00
Sébastien Villemot
8cf8731c65
det_cond_forecast.m: use better syntax for ignored outputs
2023-06-12 19:18:44 +02:00
Sébastien Villemot
37870e4a40
evaluate_steady_state: accept exogenous steady state as argument instead of whole oo_ structure
...
This is a move towards a more functional programming style.
2023-06-07 17:58:19 +02:00
Sébastien Villemot
7722e8e36b
Perfect foresight: inner functions no longer return a modified oo_
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They now only return what’s really their output (simulated paths, maximum
residual error…). This is a move towards a more functional programming style.
2023-06-06 18:13:10 +02:00
Sébastien Villemot
6ed90b3dbf
🐛 Homotopy for extended path (order 0) was utterly broken
...
The convergence test was wrong.
2023-06-06 17:54:04 +02:00
Sébastien Villemot
fe142b663e
Perfect foresight: allow homotopy for purely backward/forward/static models
...
This was previously disabled, but the code seems to work.
2023-06-06 17:26:07 +02:00
Sébastien Villemot
1cf83dc278
perfect_foresight_solver: always use perfect_foresight_problem MEX for computing residuals
...
The MEX no works on models without leads or lags.
This is essentially a revert of 74dc4f81f0
.
Ref. #1850
2023-06-06 17:06:10 +02:00
Stéphane Adjemian (Argos)
8e42f6d137
Update dseries submodule (new method returning last observed period for each variable).
2023-06-05 11:21:53 +02:00
Stéphane Adjemian (Ryûk)
b1933d58dd
Bug fix (undefined variable).
2023-06-04 08:07:28 +02:00
Johannes Pfeifer
37eb10971b
dynare_estimation_init.m: make sure OccBin estimation can be run after previous shocks(surprise) block
2023-06-02 08:43:14 -04:00
Sébastien Villemot
37bc08eb5b
Merge branch 'parallel' into 'master'
...
masterParallel.m: assign explicit empty window title to allow passing full path in quoted strings
Closes #1887
See merge request Dynare/dynare!2133
2023-06-01 08:26:52 +00:00
Sébastien Villemot
5a6d03a2e7
CI: adapt for new location of MATLAB binaries
2023-05-30 17:12:30 +02:00
Johannes Pfeifer
ad2d986c5e
masterParallel.m: assign explicit empty window title to allow passing full path in quoted strings
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1887
2023-05-24 06:45:24 -04:00
Stéphane Adjemian (Ryûk)
03db691ab3
Update dseries submodule (add --with-legend option to dplot command).
2023-05-19 18:48:44 +02:00
Johannes Pfeifer
df018ab14d
dynare_sensitivity.m: do not alter qz_criterium
2023-05-16 09:22:13 -04:00
Stéphane Adjemian (Guts)
43cb9b01c3
Update submodule dseries ( fix #53 ).
2023-05-12 17:23:53 +02:00
Stéphane Adjemian (Ryûk)
15027db136
Add missing initialization.
2023-05-11 15:59:38 +02:00
Stéphane Adjemian (Ryûk)
1f60657d99
Update dseries submodule (add new plotting routine for dseries objects).
2023-05-11 14:51:20 +02:00
Stéphane Adjemian (Ryûk)
015513380f
Add new class for priors.
...
This commit only changes the routine used to draw random deviates from
the prior distribution, without relying on persistent variables (which allows
parallelisation).
2023-04-26 10:39:13 +02:00
Sébastien Villemot
8bb9a398aa
Octave compatibility: ignore new warning introduced for qz() in Octave 9
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Should have been in commit 421eb1482c
.
2023-04-26 10:30:04 +02:00
Willi Mutschler
b8352b251d
macOS: provisions to detect Apple Silicon architecture (maca64 and mexmaca64)
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Works with MATLAB R2022b beta (ARM)
2023-04-26 10:19:14 +02:00
Stéphane Adjemian (Ryûk)
084e64cdac
Use new prior draw interface.
2023-04-26 10:06:30 +02:00
Sébastien Villemot
0c17d656e1
🐛 Steady state computation could fail with block+bytecode+mfs>0
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The Jacobian used for solving a block was not square if there were recursive
variables.
2023-04-20 13:39:26 +02:00
Sébastien Villemot
e413696277
Octave compatibility fix: the 3rd output argument to fminsearch was added in Octave 4.4
2023-04-17 18:10:35 +02:00
Sébastien Villemot
80a6967827
Remove unused options_.scalv
2023-04-14 16:38:14 +02:00
Sébastien Villemot
1faeaf892e
Remove unused options_.terminal_condition
2023-04-14 16:35:43 +02:00
Sébastien Villemot
0923187938
🐛 Perturbation solution: gracefully fail if order=2 is requested with bytecode
2023-04-13 17:35:20 +02:00
Sébastien Villemot
91fa8d079e
calibrateresiduals: use the sparse representation of the dynamic model
2023-04-13 17:24:47 +02:00
Sébastien Villemot
7e1c25d775
backward_model_inversion: use the sparse representation of the dynamic file
2023-04-13 15:51:09 +02:00
Sébastien Villemot
ed75e4c176
dynamic_backward_model_for_inversion: turn into a local function of backward_model_inversion
2023-04-13 15:47:43 +02:00
Sébastien Villemot
66b648157f
Purely backward models simulation: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
Sébastien Villemot
34e82f9697
sim1_purely_forward: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
Sébastien Villemot
170a4dce0e
dynamic_forward_model_for_simulation: turn into a local function of sim1_purely_forward
2023-04-13 15:47:43 +02:00
Sébastien Villemot
5f42e84b0b
sim1_purely_static: use the sparse representation of the dynamic file
2023-04-13 15:47:43 +02:00
Sébastien Villemot
4a793f89ff
dynamic_static_model_for_simulation: turn into a local function of sim1_purely_static
2023-04-13 15:47:43 +02:00
Sébastien Villemot
942c6f9a20
🐛 static_model_inversion: fix handling of STEADY_STATE() operator
...
Of course, this operator does not make much sense in the context of a static
model, but it should still work.
2023-04-13 15:47:43 +02:00
Sébastien Villemot
9deb1e6049
static_model_inversion: use the sparse representation of the dynamic file
2023-04-13 15:47:41 +02:00
Sébastien Villemot
bc68915dfa
static_model_for_inversion: turn into a local function of static_model_inversion
2023-04-13 11:55:27 +02:00
Stéphane Adjemian (Ryûk)
4f3a0df884
Do not overwrite solve_algo option.
2023-04-12 09:53:46 +02:00
Sébastien Villemot
421eb1482c
Octave compatibility: qz() will be MATLAB-compatible in version 9
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[skip ci]
2023-04-07 10:26:54 +02:00
Stéphane Adjemian (Ryûk)
51ffe77fb7
Add error flag (new output) to simul_backward_model routine.
2023-04-05 11:09:59 +02:00
Sébastien Villemot
c4bc6316d0
Make matlab/missing/mex/mjdgges/mjdgges.m Octave-compatible
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[skip ci]
2023-04-04 18:40:37 +02:00
Sébastien Villemot
cdb786017b
Preprocessor update
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– ramsey_policy is now fully implemented at the preprocessor level
– 🐛 ramsey_policy: lift restriction that order must be ⩽ 2
– 🐛 Extend incompatibility with deterministic exogenous to ramsey_model command
2023-03-29 16:26:02 +02:00
Sébastien Villemot
534515dc66
dyn_ramsey_static.m: simplifications + improve comments
2023-03-29 14:33:01 +02:00
Sébastien Villemot
ffe6eb4d40
Preprocessor: overhaul of M_ fields counting Ramsey/discretionary orig endos/eqs
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– new fields: M_.ramsey_orig_{eq,endo}_nbr
– drop M_.ramsey_eq_nbr and M_.orig_eq_nbr
– new field: M_.discretionary_orig_eq_nbr
2023-03-29 14:33:01 +02:00
Sébastien Villemot
674ebce84b
🐛 Ramsey steady state computation could fail if expectation or diff operator is present
...
If auxiliary variables were created *before* the Lagrange multipliers (e.g. aux
vars related to the expectation or diff operators), then the vector of
residuals of the reduced Ramsey steady state problem (with respect to original
variables, as computed by the dyn_ramsey_static_1 subfunction) was incorrect.
2023-03-29 14:31:01 +02:00
Sébastien Villemot
4291b4f07e
The preprocessor now sets options_.{ramsey,discretionary}_policy in all cases
2023-03-28 18:30:08 +02:00
Sébastien Villemot
69d0aa670b
Preprocessor update
...
– 🐛 Incorrect stochastic transformation with endo lead ⩾ 2 or exo lead ⩾ 1 in
external functions
– New solution for solving the Ramsey steady state with Lagrange multipliers
with lead or lag ⩾ 2. Now generates a dedicated file for derivatives of static
model w.r.t. multipliers using chain rule derivation (#633 , #1119 , #1133 )
– 🐛 Incorrect cost table used when computing temporary terms in static model
with “use_dll”
– 🐛 Crash when writing the (static) set_auxiliary_variables file in the
presence of external functions
2023-03-28 14:49:28 +02:00
Sébastien Villemot
9fa64ee0d4
ramsey_policy and estimation: remove incorrect check about number of instruments
...
These should only be warnings, and they are already implemented in
model_diagnostics (see 39ae080997
).
2023-03-24 12:31:41 +01:00
Sébastien Villemot
43190b001f
Fix typo in commit 647ff5cd20
2023-03-17 18:19:03 +01:00
Sébastien Villemot
4f52ba0dbc
CI: bump to MATLAB R2023a
2023-03-17 16:32:13 +01:00
Sébastien Villemot
13908ee068
Provisions for MATLAB R2023a
2023-03-17 16:32:09 +01:00
Sébastien Villemot
647ff5cd20
MATLAB compatibility: warning subscripting:noSubscriptsSpecified removed in R2023a
2023-03-17 16:03:37 +01:00
Sébastien Villemot
f07d73e63e
CI: use system-wide Octave binary
2023-03-16 17:43:39 +01:00
Sébastien Villemot
816e94e9f9
Octave fix: do not change the global recursive delete confirmation setting
...
Only change the setting locally, as is done in isolder.m and
parallel/dynareParallelRmDir.m.
2023-03-16 17:24:18 +01:00
Sébastien Villemot
060c694066
model_diagnostics: remove workaround for Octave
...
The rank() and null() functions accept a tolerance argument since at least
Octave 3.8.
2023-03-16 17:24:18 +01:00
Sébastien Villemot
441173ec5a
Remove workaround for eig() function under Octave
...
The eig() function has been been able to return the left eigenvectors since at
least Octave 4.4.
2023-03-16 17:24:18 +01:00
Sébastien Villemot
b7477ac0b6
cmaes: remove broken local isoctave() function
2023-03-16 17:24:18 +01:00
Sébastien Villemot
56ffc87e1c
Remove workaround for gaminv() bug fixed in Octave 4.4
...
See #161 and http://savannah.gnu.org/bugs/?52569
2023-03-16 17:24:18 +01:00
Stéphane Adjemian (Ryûk)
6e0a09f5fa
Add interface to flip endogenous and exogenous variables.
...
Calls to change_type can be done in a file named model-inversion-setup.inc in
the current folder. The file is included, between the declaration of the
exogenous variables and the model block, in the aggregate mod file if and only
if the macrovariable InvertModel exists and is equal to True. To invert a model,
the user just has to run the aggregated mod file with -DInvertModel=True on the
command line.
2023-03-16 14:12:21 +01:00
Johannes Pfeifer
c8045e2c5e
model_diagnostics.m: fix logic of using block information
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Also fixes bug with rank not working with sparse matrices
2023-03-15 18:11:37 -04:00
Sébastien Villemot
ff318d1163
Merge branch 'model_diagnostics' of git.dynare.org:JohannesPfeifer/dynare
...
Ref. !2125
2023-03-13 17:59:43 +01:00
Johannes Pfeifer
39ae080997
model_diagnostics.m: fix logic of Ramsey instrument checks
...
The mapping from economic to steady state instruments is not one-to-one. Trigger warnings instead of errors.
2023-03-13 10:39:06 -04:00
Stéphane Adjemian (Ryûk)
7583790851
Improve error message.
2023-03-09 11:25:04 +01:00
Stéphane Adjemian (Ryûk)
a3b249c375
Update dseries submodule (fill_ method).
2023-03-08 18:16:11 +01:00
Stéphane Adjemian (Ryûk)
0d39cab9e1
Add option to print parameter values.
2023-03-04 22:31:54 +01:00
Stéphane Adjemian (Ryûk)
c006645c7f
Remove output argument.
2023-03-04 20:10:50 +01:00
Stéphane Adjemian (Ryûk)
2ab19c1aa9
Do not compute variables if they are not returned.
2023-03-04 20:10:06 +01:00
Stéphane Adjemian (Ryûk)
656a7bf867
Cosmetic changes.
2023-03-04 18:03:59 +01:00
Stéphane Adjemian (Ryûk)
f6a76066f9
Remove warning.
2023-03-04 17:52:50 +01:00
Stéphane Adjemian (Ryûk)
0b9141fdca
Remove and rename routine (print_equations).
...
Also:
- rename first input argument,
- remove second argument (always expand expectations).
2023-03-04 17:49:33 +01:00
Stéphane Adjemian (Ryûk)
a0d53277c1
Fix condition (variable name can have less than characters).
2023-03-04 17:13:45 +01:00
Sébastien Villemot
f02d66ce7c
moment_function: remove unused function
2023-03-01 16:47:42 +01:00
Sébastien Villemot
a2591c474e
selif: remove unused function
2023-03-01 16:44:05 +01:00
Sébastien Villemot
845eac99d3
bicgstab_: remove unused function
2023-02-17 22:01:32 -05:00
Sébastien Villemot
f5523c7bab
bksupk: remove unused function
2023-02-17 22:01:32 -05:00
Sébastien Villemot
62805b7183
perfect_foresight_simulation + bksup0: remove unused functions
2023-02-17 22:01:32 -05:00
Sébastien Villemot
f938014e84
bksup1: turn into a local function of sim1_lbj
2023-02-17 22:01:32 -05:00
Sébastien Villemot
24f689b2de
restricted_steadystate: turn into local function of evaluate_steady_state_file
2023-02-17 22:01:28 -05:00
Sébastien Villemot
6bddbca01d
bytecode_steadystate: turn into a local function of evaluate_steady_state
2023-02-17 22:01:25 -05:00
Sébastien Villemot
1a421d93dd
steady: turn homotopy{1,2,3} into local functions
2023-02-16 14:22:27 -05:00
Sébastien Villemot
2c44923384
No longer turn off output pagination
...
The “more off” command is incompatible with MATLAB Online.
Moreover, output pagination is disabled by default on MATLAB and on
Octave (since version 4 for the latter), so in most cases that command would do
nothing.
Incidentally, this allows users to enable output pagination should they want
to.
[skip ci]
2023-02-08 11:02:29 -05:00
Sébastien Villemot
65053667cf
New “homotopy_alt_starting_point” option to “perfect_foresight_solver” command
2023-02-07 14:49:00 -05:00
Sébastien Villemot
d6370a6d28
Merge branch 'occbin_init_smo' into 'master'
...
occbin enhancements and bug fixes
See merge request Dynare/dynare!2123
2023-02-07 14:23:14 +00:00
Sébastien Villemot
be698d5f98
Perfect foresight + homotopy: add missing newline
2023-02-06 15:14:02 -05:00
Marco Ratto
63a299f64e
new error codes introduced and applied for occbin smoother.
...
- 321 when simulation within occbin smoother fails
- 322 when occbin smoother does not converge.
2023-02-06 14:58:42 +01:00
Marco Ratto
f565a0a84a
bug fix and avoid missing output arguments and when smoother exits after non convergence of simulation.
2023-02-06 11:39:24 +01:00
Marco Ratto
f0aa2fb86f
cosmetic change
2023-02-03 14:25:59 +01:00
Marco Ratto
b886de92dc
trap case when simulation does not converge within smoother
2023-02-03 14:25:32 +01:00
Marco Ratto
cdd195576e
store binding_indicator_history once it has been set
2023-02-03 14:24:58 +01:00
Marco Ratto
783c237d17
evaluate set_prior only when needed
2023-02-03 14:21:02 +01:00
Marco Ratto
035db8b8c4
bug fixes when using guess regime
2023-02-03 14:20:51 +01:00
Marco Ratto
77e87be48b
try with base regime before returning error
2023-02-03 14:20:39 +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
7132cb593e
bug fix for init variables to be defined only with occbin PKF
2023-02-03 14:20:16 +01:00
Marco Ratto
50aa20c742
eliminate buggy and useless check for existence of guess regime variable. this may create bugs in running PKF update step!
2023-02-03 14:20:02 +01:00
Marco Ratto
e51a30eaf5
Bug fix for the case where no prior is defined for estim params
2023-02-03 14:19:50 +01:00
Marco Ratto
a346639020
when filter is NOT diffuse, allow likelihood to handle violation of constraints in period 1.
2023-02-03 14:19:28 +01:00
Marco Ratto
6598d615d1
in some cases, order is not yet set to 1
2023-02-03 14:19:16 +01:00
Marco Ratto
a91c36f920
first_period_occbin_update is an index, not a boolean
2023-02-03 14:19:05 +01:00
Marco Ratto
74acb2d1f5
bug fix using index t
2023-02-03 14:18:54 +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
0622f01f4e
filter out t=1 when storing aalphahat and eetahat
2023-02-03 14:18:21 +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
5aca770931
perfect_foresight_with_expectation_errors_{setup,solver}: fix bugs with several exogenous
...
Closes : #1883
2023-01-24 15:02:07 +01:00
Sébastien Villemot
538f38d269
Merge branch 'occbin_debug' into 'master'
...
missing_observations_kalman_filter.m: provide debugging information on PKF problems
See merge request Dynare/dynare!2122
2023-01-23 10:39:17 +00:00
Johannes Pfeifer
4307711c60
missing_observations_kalman_filter.m: provide debugging information on PKF problems
2023-01-19 11:57:35 +01:00
Sébastien Villemot
cfaf5a685d
Preprocessor: actually obey the “mfs” option for the static model
...
As a consequence, fix steady state computation when mfs > 0.
2023-01-17 19:08:32 +01:00
Sébastien Villemot
8aabdaee9c
Consolidate functions for solving steady state with block and/or bytecode
2023-01-17 15:25:47 +01:00
Sébastien Villemot
7b6058509f
Drop unused function
2023-01-17 14:48:36 +01:00
Sébastien Villemot
005769210a
Drop unused function
2023-01-17 14:47:52 +01:00
Sébastien Villemot
5342476196
Drop unused function
2023-01-17 14:46:50 +01:00
Sébastien Villemot
023afc7ebb
Drop unused function
2023-01-17 14:46:46 +01:00
Sébastien Villemot
1c5c1639e1
Drop unused function
2023-01-16 14:38:09 +01:00
Sébastien Villemot
e5f100b152
Drop unused function
2023-01-16 14:38:06 +01:00
Sébastien Villemot
c187d0ead9
Drop unused function
...
It should probably have been removed in 9c6e219990
.
2023-01-16 14:38:03 +01:00
Sébastien Villemot
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
Stéphane Adjemian (Ryûk)
91dd917d62
Cosmetic/Efficiency changes.
...
- Use bsxfun for centering data if possible,
- Factorise LU decomposition,
- Remove useless operations during the presampling step.
2023-01-12 17:45:51 +01:00
Sébastien Villemot
e250067959
Use sparse representation for block-decomposed perfect foresight and steady state computation
...
Ref. #1859
2023-01-12 16:28:02 +01:00
Sébastien Villemot
3c55aa57e1
Use sparse representation for evaluating the static model
...
We also take advantage of the fact that the non-block version is always
available next to the block one, so when we are only interested in the residual
as a whole, we simplify by using the non-block version.
2023-01-10 16:21:44 +01:00
Sébastien Villemot
b343f0231d
Ensure that generated sparse MEX files are unloaded before the preprocessor is run
...
This workaround already existed for the legacy representation.
2023-01-10 16:07:29 +01:00