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147 Commits (f908d64d9ec1a63b567a736c6c22ae7bda75c248)

Author SHA1 Message Date
Johannes Pfeifer 6b09ef8760 Take care of user-supplied function by checking whether mode_compute is numeric 
Fixes #508

(cherry picked from commit 8ce11bc848)
 2013-10-28 18:58:40 +01:00
Sébastien Villemot 61485ab809 Fix copyright notices 2013-06-12 17:04:46 +02:00
Johannes Pfeifer 97f777ea15 Make sure that recursive forecasting happens in increasing order of observations (required for plotting) 2013-06-09 10:56:58 +02:00
Johannes Pfeifer 3347352a45 Fix plots for Recursive Forecasting and save them to graphs subfolder. 2013-06-09 10:55:52 +02:00
Stéphane Adjemian (Scylla) 205b455ad7 Added the possibility, for each given size of the sample, to restart an arbitrary number of times the estimation when estimating a model with a recursive approach. 
Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
 2012-09-06 14:13:29 +02:00
Stéphane Adjemian (Scylla) 19c46dba55 Improved recursive estimation. Run the estimation using previous results (saved in <M_.fname>_mode.mat). 2012-09-06 11:14:48 +02:00
Sébastien Villemot 1f9cea669a Update copyright notices 2012-06-08 18:22:34 +02:00
Marco Ratto da9ec0f187 Estimation with analytic scores and hessian; 
This includes re-setting the list of output arguments in objective functions
Added test function
 2012-04-29 21:18:33 +02:00
Johannes Pfeifer 4c255cf2ae Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures. 2012-04-25 11:47:40 +02:00
Michel Juillard 88be4fa3d4 fixing bug in prior_posterior_statistics.m and in recursive estimation 2011-10-21 22:06:09 +02:00
Stéphane Adjemian (Scylla) e9764d0538 Use a structure for the dataset. Bug fixes. 2011-09-17 15:38:49 +02:00
Houtan Bastani 43479f6ef3 use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time) 2011-02-10 15:54:23 +01:00
Sébastien Villemot 02652f6eb8 Updated copyright notices 2011-02-04 17:27:33 +01:00
Stéphane Adjemian (Scylla) 3aaccc59e3 Changes related to the new interface for the dsge-var models. 2010-06-24 12:53:10 +02:00
stepan be73652a97 If a dsge-var is estimated, the posterior IRFs are computed for all 
observed endogenous variables. Merge Needed.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2503 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-03-21 22:36:18 +00:00
michel bb838b30c5 correcting bug introduced by recursive code, when there is no recursive estimation 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2376 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-26 18:10:49 +00:00
michel d5a1a025d9 redo code for recursive estimation 
corrected bugs with option prefilter, bayestopt_.mean_varobs is now a column vector

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2369 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-22 21:34:15 +00:00
stepan 3f36ec5b07 v4.1: 
+ Added option mode_compute=7  for fminsearch (the matlab optimization
toolbox  is  needed)  a  simplex based  (gradient  free)  optimization
routine.
+ Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2365 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-21 16:42:34 +00:00
sebastien 2495aca72a trunk: 
* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-21 14:39:24 +00:00
michel 1aac4e7e0a fixing update issues for mode_compute=5,6 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2350 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-02 08:36:45 +00:00
kamenik 4d9b1869c2 Added empty initialization for the case if estim_params_ is empty. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2297 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-07 09:58:16 +00:00
michel eba6164cae fixing bugs around missing observations and starting to add smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:31:37 +00:00
michel ae0c71bfd9 correcting bugs in Kalman Smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-26 20:10:58 +00:00
adjemian dcc37a681a v4.1: Correction of the previous commit. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2192 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-24 15:38:34 +00:00
adjemian b1e1ab4853 v4.1: Bug correction related to Laplace approximation of the data marginal density. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2191 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-24 15:12:35 +00:00
adjemian ccf0c4b9f9 v4.1: Factorization of missing data related part of dynare_estimation.m. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2169 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-17 12:51:06 +00:00
adjemian 09a808bd4f v4.1: Changed calls to optimization routines. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2159 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 15:42:29 +00:00
adjemian b820667698 v4.1: Changes related to kalman filter with missing observations. 
* Adapted mode_check.m and hessian.m
 * Removed global from hessian.m
 * Changed call to metropolis
 * Changed the test deciding between KF and KF with missing observations in DsgeLikelihood

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2157 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 14:24:35 +00:00
adjemian 09e32240bd v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 13:40:40 +00:00
adjemian f51ba0bd93 v4.1: Removed globals. Removed call to generalized Cholesky. Added handling of datasets with missing observations (NaN), not yet ready. Changed the covariance matrix of the jumping distribution when the posterior mode is not computed (or used). Changed call to dynare_estimation. Removed pindx in dynare_estimation. + Cosmetic changes. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2135 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-04 21:22:08 +00:00
michel 7a93a8cda8 correcting r2131 for saving additional variables in oo_ 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2133 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-03 09:09:22 +00:00
michel 57240cf01e modified computation of log(det(invhess)) to solve cases in large models where det(invhess) is smaller than machine precision 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2132 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-03 08:43:28 +00:00
michel f4e7a003eb corrected bug related to saving oo_.FilteredVariablesKStepAheadVariances and oo_.FilteredVariablesShockDecomposition 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2131 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-02 14:36:12 +00:00
sebastien 1d4f437499 trunk: merged 2106 changeset from 4.0 branch (typo in dynare_estimation.m) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2109 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-24 20:00:07 +00:00
sebastien 0ee09b5b07 v4.1: merged r2044, 2045 and 2046 changesets from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2047 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-05 16:48:39 +00:00
sebastien fa0a9f2784 v4.1: merged r2042 from 4.0 branch 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2043 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-05 15:03:03 +00:00
michel 7785819203 - updated dynare_m.exe (for old changes, unrelated to current modifications) 
- added missing smoother function (DiffuseKalmanSmootherH3corr_Z.m is still missing)
- added computation of updated variable in smoother functions
- used same names for variables computed by smoother when results are only for posterior mode or for all posterior distribution

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2032 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-04 01:25:02 +00:00
adjemian 2845115b5f + Removed global variables. 
+ Added try and catch to handle cases where oo_ is broken and (mh_replic==0 & load_mh_file==1).
+ Added computation of posterior moments for endogenous variables (triggered by moments_varendo option). First order moments are still missing.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2028 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-03 16:05:35 +00:00
adjemian a646281137 If var_list_ is empty the user is asked to confirm that he wants to obtain posterior statistics for all the endogenous variables of the model. The user can then choose between: 
[1] var_list_ is the set of all the endogenous variables,
[2] var_list_ is the set of all observed variables,
[3] Stop Dynare and edit the mod file (to add a list of variables after the estimation command).

   

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2020 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-02 15:52:55 +00:00
adjemian a9be2e5f13 Added Independent Metropolis Hastings and multivariate student as an alternative to multivariate normal for the proposal distribution. The default posterior sampling algorithm is random walk metropolis with a gaussian proposal distribution. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2009 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-28 13:38:07 +00:00
michel 842fc6631b fixing bug for ML estimation when no priors are available 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1999 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-25 19:59:08 +00:00
sebastien 9f5beff89e v4 matlab: fixed remaining copyright headers (those files which are in the CR+LF endline convention) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1975 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 13:08:13 +00:00
michel c9cf49e30b options_.nk default is now set to 1 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1963 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-26 14:15:21 +00:00
michel 6ff7605f58 added missing semicolon 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1960 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-21 20:20:53 +00:00
adjemian 27886047cf * Changed numgrad.m. If fcn(x+h) is not well defined (for instance cost_flag=0 because of BK conditions) we compute the gradient using (fcn(x)-fcn(x-h))/h instead of the original formula (fcn(x+h)-fcn(x))/h. 
* Added function numgrad3.m. This new function uses a three point formula to compute the gradient. By default Dynare uses the two point formula. By setting options_.gradient_method=3 Dynare switches to the three point formula. Note that an input argument has been added to csminwel.
* Added automatic detection of needed constant in dsge-var model (may be problematic is some cases)

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1935 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-07 12:58:13 +00:00
michel 2c8a9d2f60 cleaning diffuse algorithms 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1922 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:48:14 +00:00
michel a148c0a3f1 undoing changes 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1919 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:38:44 +00:00
michel 36f264a1ca put back DsgeLikelihood_hh.m that is used by option 5 of the optimizer 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1918 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 11:15:19 +00:00
michel d0b87d6c32 corrections to optimal policy code required by making M_, options_, oo_ and it_ local 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1914 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-02 07:42:50 +00:00
sebastien e08cad8265 v4: merged Octave branch into trunk 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1899 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-06-24 18:20:48 +00:00