Johannes Pfeifer
776c247b9b
testsuite: use silent_optimizer option to not clutter meson log-file
2023-10-01 18:04:16 +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
1f723ebd7e
fs2000: remove asymptote in prior for rho, which caused corner solutions
2023-09-20 12:55:30 +02:00
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
a4dc58db8e
adjust smoother redux test, to consider that now ALL smoothed variables must be properly reconstructed also in period 1
2023-02-03 14:19:39 +01:00
Johannes Pfeifer
801baacc8c
fs2000_smoother_only_ns.mod: check for correctness of smoothed observables
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Related to 178e892e
2022-11-18 22:04:58 +01:00
Stéphane Adjemian (Ryûk)
cd76bdff9e
Fix and update unit tests for local_state_space_iteration_2.
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Add mat file with git lfs.
2022-05-13 12:13:46 +02:00
Sébastien Villemot
10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
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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
Willi Mutschler
488ab7a979
Update testsuite Kalman Smoother name of data file
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gen_data.mod creates a datafile called "data.mat"
test_compute_Pinf_Pstar_data.mod creates a datafile called "Data.mat"
There could be a race condition on systems that don't distinguish between upper and lower cases.
2021-12-15 10:26:38 +01:00
Johannes Pfeifer
440a0e460b
Storage of results: use subfolder
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Ref. #1758
2021-07-23 14:12:17 +02:00
Johannes Pfeifer
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +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
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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
Johannes Pfeifer
ac728c0492
Add test cases for moments with measurement errors
2020-06-29 13:21:08 +02:00
Johannes Pfeifer
b8b05300c1
missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension
2020-04-02 19:22:55 +02:00
Houtan Bastani
e043c60903
pass M_, options_, oo_ as arguments to stoch_simul, simult_, discretionary_policy. closes dynare#1197
2019-09-12 11:57:01 +02:00
Johannes Pfeifer
2dd940dc1a
datatomfile: Consistently replace char by cell arrays
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Required after 7be8f10e0e
2018-06-04 11:56:43 +02:00
Stéphane Adjemian (Scylla)
7be8f10e0e
Use cells of strings instead of char arrays.
2018-01-09 22:30:01 +01:00
Stéphane Adjemian (Charybdis)
2125d82cae
Adapted integration tests to ea49f971e58a4b40b422d06d808d863124092ef4.
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FilteredVariablesKStepAheadVariances is computed and saved iff
filter_covariance option is used in estimation command.
2017-03-17 18:10:00 +01:00
Stéphane Adjemian (Charybdis)
ae3752a0d3
Lowered threshold value for a test.
2017-03-16 15:51:11 +01:00
Stéphane Adjemian
ab2a4f574b
Merge pull request #1342 from JohannesPfeifer/univariate_diffuse_test
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Trigger computation of state uncertainty in unit test
2016-12-17 17:18:58 +01:00
Michel Juillard
80eeee697d
diffuse_filter: add test for compute_Pinf_Pstar
2016-11-23 20:52:57 +01:00
Johannes Pfeifer
8ce3d2c936
Trigger computation of state uncertainty in unit test
2016-11-23 10:50:31 +01:00
Johannes Pfeifer
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
e214ec2976
Allow for parameter_set=mle_mode in conditional_forecast
2016-06-17 00:21:08 +02:00
Johannes Pfeifer
1c420e6056
Allow for parameter_set=mle_mode in shock_decomposition
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Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
Johannes Pfeifer
30be2ed62a
Add unit test for smoother only on nonstationary model
2016-04-14 20:11:50 +02:00
Johannes Pfeifer
9d6126c5f6
Make fs2000_smoother_only.mod call all Kalman options
2016-04-14 20:11:50 +02:00
Johannes Pfeifer
da5f7243e9
Add missing data file and options for kalman_filter_smoother/compare_results_simulation unit tests
2016-03-23 10:48:23 +01:00
Johannes Pfeifer
df54e8fcab
Add unit tests for correctness of smoother results
2016-03-23 10:46:30 +01:00
Johannes Pfeifer
386225d4e6
Delete redundant steady_state_model block (was present twice).
2015-07-21 11:49:48 +02:00
Johannes Pfeifer
0104f91f4b
Replace initval blocks by steady_state_model blocks in fs2000 unit tests
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Speeds up estimation
2015-06-07 17:11:39 +02:00
Johannes Pfeifer
14938fd607
Add unit test for running smoother only
2014-12-08 11:30:30 +01:00
Johannes Pfeifer
747f90d89b
Add unit tests for correct dimension of filtered, smoothed, forecasted, and updated variables and shocks
2014-11-16 21:08:18 +01:00
Sébastien Villemot
02efbd31a8
Convert files to Unix EOL
2012-06-08 19:10:19 +02:00
Michel Juillard
2ee817fbf7
adding forecast to estimation test with non-stationary variables
2011-12-15 17:35:27 +01:00
Michel Juillard
7175e7ce32
fixing tests
2011-11-04 09:11:25 +01:00
Michel Juillard
cfb57feff5
correcting tests
2011-11-03 11:14:37 +01:00
Michel Juillard
7a129e14bc
fixing tests
2011-11-02 21:16:49 +01:00
Michel Juillard
31349d0b57
adding new test
2011-11-02 20:54:58 +01:00
Michel Juillard
b4e7e55031
fixing bug with univariate filter
2011-11-02 17:54:48 +01:00
Michel Juillard
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
Michel Juillard
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
sebastien
6c185e2c6b
Converted MOD test files to Unix newline convention
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3253 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:25:06 +00:00
michel
0e125f541e
adding tests for kalman smoother
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2197 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-26 20:03:48 +00:00
sebastien
a03af050af
undoing r2110 and r2111 changesets
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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
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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
michel
18bd0d8eaf
v4: added provision for calibrated measurement errors;
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correction of bugs in smoother;
there are still problems in diffuse initialization of univariate smoother
this applies to previous revisions
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1185 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-11 13:03:13 +00:00
michel
86cac39227
v4 adding test for kalman filter and smoother
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1184 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-11 13:02:29 +00:00