Johannes Pfeifer
f95619b46a
Add header info to univariate_kalman_filter.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
7c96e22985
Fix bug in dsge_likelihood.m where diagonal of measurement error covariance matrix was not correctly read out
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This is a prerequisite for the univariate filter that operates along a vector for H instead of along the diagonal. Because of this, the likelihood in the presence of measurement error was wrong
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
8aaca040b3
Expand check of fast_kalman_filter for presence of block-option
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
bffea9b426
Fix error code for inf-likelihood
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
e939d51d58
display_problematic_vars_Jacobian.m: Fix bug where exogenous variables in dynamic Jacobian were not accounted for Prevents crashes in debug mode
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
ed22b6c4f8
Make datatomfile.m datafiles save name of creator and date
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
39e7c39243
Filter out infinite likelihoods
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
Johannes Pfeifer
55e20aab1f
Delete unused passing of file in posterior_sampler.m
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Ports 919645d30e2361fb4c960ee78e42d401ad3d95ba to master
2016-08-22 16:27:32 +02:00
MichelJuillard
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
MichelJuillard
d27bbe667f
Merge pull request #1230 from JohannesPfeifer/load_mh_file
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Save chain's proposal density and make load_mh_file and mh_recover load it
2016-08-21 16:12:12 +02:00
MichelJuillard
912409a71c
Merge pull request #1268 from JohannesPfeifer/dynare_solve_error_message
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Remove error-display from dynare_solve.m
2016-08-21 16:07:35 +02:00
Johannes Pfeifer
e7b8222144
Updated header of dynare_solve.m
2016-08-21 11:47:52 +02:00
Johannes Pfeifer
14ab41e414
Move debugging information removed in 335ce74acb
to evaluate_steady_state.m where it belongs
2016-08-21 11:45:11 +02:00
Johannes Pfeifer
335ce74acb
Remove error-display from dynare_solve.m
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Prevents estimation crashing when invalid starting values for steady state computation arise during e.g. mode-finding
2016-08-21 11:44:18 +02:00
Johannes Pfeifer
4d8295afdf
Cosmetic fixes to display_problematic_vars_Jacobian.m
2016-08-21 11:28:47 +02:00
Johannes Pfeifer
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
MichelJuillard
cc5cafdd15
Merge pull request #1254 from JohannesPfeifer/log_density_save
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Save log_density at the mode and document oo_.posterior-fields
2016-08-21 11:13:19 +02:00
Michel Juillard
0ebef17df2
fix shocks_decomposition bug introduced in commit 75d699cbfa
2016-08-21 11:11:19 +02:00
MichelJuillard
4750eb64ff
Merge pull request #1269 from JohannesPfeifer/eig_R2014a
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Condition use of eig to compute left eigenvector on Matlab version
2016-08-21 09:54:47 +02:00
Johannes Pfeifer
72e84657a7
Condition use of eig to compute left eigenvector on Matlab version
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Functionality is only supported in Matlab from 2014a/8.3 onwards. Closes #1266
2016-08-20 20:43:20 +02:00
MichelJuillard
b5b9f46ff9
Merge pull request #1222 from JohannesPfeifer/paralleldelete
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dynareParallelDelete.m: Condition delete-command on existence of file…
2016-08-20 18:37:01 +02:00
Johannes Pfeifer
4a723872eb
dynareParallelDelete.m: Condition delete-command on existence of file to prevent warning
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Closes #1195
2016-08-20 18:02:04 +02:00
MichelJuillard
ee428ffb41
Merge pull request #1251 from JohannesPfeifer/resid_command
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Check for complexity of steady state in resid.m
2016-08-20 17:41:22 +02:00
MichelJuillard
5c69c789f6
Merge pull request #1261 from JohannesPfeifer/bvar
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BVAR: Save prior and posterior information in oo_
2016-08-20 17:39:34 +02:00
MichelJuillard
2e9725cfd0
Merge pull request #1267 from JohannesPfeifer/estimation_init
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Fix two bugs in dynare_estimation_init.m
2016-08-20 17:36:48 +02:00
Michel Juillard
75d699cbfa
fixing dates in shocks_decomposition.
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Interface still missing
2016-08-20 16:31:25 +02:00
Johannes Pfeifer
b1f1826d5f
Fix two bugs in dynare_estimation_init.m
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Makes sure that i) name field is always present and ii) that number fields of estim_params are only accessed after they have been set by set_prior
2016-08-17 21:47:46 +02:00
MichelJuillard
2b674b27d1
Merge pull request #1265 from JohannesPfeifer/dynare_solve_handle
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dynare_solve.m: make sure str2func is only used on strings
2016-08-12 12:06:32 +02:00
Johannes Pfeifer
80049a6d09
dynare_solve.m: make sure str2func is only used on strings
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Otherwise, code crashes
2016-08-12 11:59:57 +02:00
Johannes Pfeifer
c156a5907c
BVAR: Save prior and posterior information in oo_
2016-08-01 10:41:04 +02:00
Johannes Pfeifer
8dadd1519e
Restore backward compatibility of OSR command with maxit and tolf options
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Translates these options into optim_opt structure
2016-07-22 16:53:19 +02:00
Johannes Pfeifer
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
Johannes Pfeifer
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
Johannes Pfeifer
72b8c650e5
Add missing logical operator from likelihood functions introduces when removing global penalty
2016-07-18 11:11:43 +02:00
Johannes Pfeifer
578fb04590
Check for complexity of steady state in resid.m
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Residuals might be 0, but steady state might be complex, resulting in hard-to-diagnose problems when calling steady.m
2016-07-14 15:04:27 +02:00
Michel Juillard
22f49971bc
fixing bug in mcp model setup
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makes perfect_foresight_problem more efficient
added test case for stack_solve_algo == 7
2016-07-03 10:56:44 +02:00
Michel Juillard
2f2413e64a
addind ep accuracy check
2016-07-03 10:56:44 +02:00
Marco Ratto
bf293396b6
Harmonize FilteredVariables with Updated and Smoothed ones, by adding steady state to stored values, both point estimate and MCMC
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(cherry picked from commit fd0d7d6d27a7937b135521c4dd76d7fa242d89ab)
2016-07-01 20:40:17 +02:00
Johannes Pfeifer
7621ebb5ea
Harmonize spelling and function arguments of collect_latex_files.m
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All lower caps and no inputs
2016-07-01 19:09:29 +02:00
Johannes Pfeifer
9275cd089b
Add eps-loader to rplot.m
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Also makes sure that every single graph is saved when looping over figures
2016-07-01 19:09:29 +02:00
Johannes Pfeifer
2a2d81784b
Allow rplot to plot exogenous variables
2016-07-01 19:09:29 +02:00
Stéphane Adjemian (Lupi)
46a149576b
Merge branch 'pr#1241'
2016-07-01 16:30:49 +02:00
Stéphane Adjemian (Hermes)
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +02:00
Stéphane Adjemian (Hermes)
b6ecf5fdd0
Updated particles submodule (fixes for apf and cpf).
2016-07-01 11:41:39 +02:00
Houtan Bastani
848d81eb84
Merge pull request #1238 from rattoma/gsa
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Bug fixes for identification with ML
2016-06-27 23:45:05 +02:00
Stéphane Adjemian (Hermes)
fcaf457f35
Cosmetic change (code factorization).
2016-06-24 17:35:56 +02:00
Johannes Pfeifer
420e80e538
discretionary_policy: Call steady_state-file to make sure that parameter dependence is correctly handled
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Prevents cryptic crashes due to NaN in derivatives of objective function
2016-06-23 20:50:17 +02:00