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.
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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
842fc6631b
fixing bug for ML estimation when no priors are available
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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
9f5beff89e
v4 matlab: fixed remaining copyright headers (those files which are in the CR+LF endline convention)
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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
c9cf49e30b
options_.nk default is now set to 1
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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
6ff7605f58
added missing semicolon
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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
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.
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* 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
2c8a9d2f60
cleaning diffuse algorithms
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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
a148c0a3f1
undoing changes
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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
36f264a1ca
put back DsgeLikelihood_hh.m that is used by option 5 of the optimizer
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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
d0b87d6c32
corrections to optimal policy code required by making M_, options_, oo_ and it_ local
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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
e08cad8265
v4: merged Octave branch into trunk
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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
67d98a4a7b
v4 matlab: removed useless asamin.m and added an error message for mode_compute=2
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1893 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-23 10:58:32 +00:00
8ba344b786
Cosmetic change in var_sample_moments + Removed one global.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1880 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-17 21:44:00 +00:00
dfc1f3c90f
dynare_v4: exploitation of posterior distribution (unfinished)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1877 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-16 10:38:36 +00:00
7c807afd65
filled SmoothedShocks field when
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mode_compute=0 and and mode_file=0;
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1867 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-12 10:10:50 +00:00
b45d5ac3e0
v4 dynare_estimation.m: fixed bug in saving pindx
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1864 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-09 16:01:49 +00:00
e4be1577cc
v4 dynare_estimation.m: added missing semicolon
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1862 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-06-09 09:57:05 +00:00
442a212d28
Added empty case for filter_step_ahead;
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Fixed bug with bounds, when prior bounds are outside from lb and ub specified manually by the user;
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1801 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-04-14 10:17:31 +00:00
b67c5f596a
v4 : dynare_estimation.m: corrected bug with load_mh_file
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simplified calls to random_walk_metropolis_hastings()
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1755 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-30 08:33:59 +00:00
8917d41046
Added multivariate student as a proposal distribution for the metropolis hastings.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1743 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-13 08:27:55 +00:00
01f71a285a
v4 dynare_estimation.m: corrected spelling bug with TeXNAMES
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1739 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-03-10 08:16:01 +00:00
f489bc62d0
Correction of a bug related to the stochastic optimization routine (mode_compute=6).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1722 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-29 14:02:43 +00:00
a430b447d1
v4 dynare_estimation.m: corrected bugs when np == 0
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1721 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-27 09:15:30 +00:00
7073ee2ee1
v4 dynare_estimation.m: foecast are prepared only when kalman_algo > 4
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1716 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-20 13:13:36 +00:00
bcf9da214e
v4: added forecast out of posterior mode (or maximum likelihood, non-tested)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1710 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-17 14:58:34 +00:00
c7dc3ca3bc
v4 bug corrections in dealing with measurement errors
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1708 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-16 17:02:39 +00:00
806c29cc4a
v4: made dynare_estimation safe for computing Smoother of a calibrated model (temporary)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1702 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-09 17:27:26 +00:00
6057511c9e
v4 dynare_esitmation.m: doesn't store lagged values of smoothed and filtered variables
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1694 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-05 15:27:57 +00:00
2f3767d317
v4: more changes related to new filter
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more variables returned by the smoother saved in oo_
DiffuseKalmanSmoother1_Z.m isn't finished yet
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1689 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-02-04 17:52:16 +00:00
cd1918ca89
v4 dynare_estimation.m: bug correction for models with nonstationary variables
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1646 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-01-26 08:22:30 +00:00
8ac397daa2
header updated
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1548 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-01-10 14:36:09 +00:00
c14493361b
Added estimation of bvar-dsge models with constant.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1441 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-14 17:42:18 +00:00
a82c653ab2
v4 matlab: removed empty () for compatibility with older version of Matlab
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1439 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-11-09 10:22:08 +00:00
a53e4db7ab
Correction of a bug in the estimation of smoothed variables (occasionaly systematic error in the level).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1391 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-09-21 16:22:16 +00:00
daef6d60b6
Correction of a bug related to BVAR-DSGE. After the estimation of the DSGE posterior mode, dynare was computing the hessian matrix associated to the BVAR-DSGE...
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1369 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-13 14:55:21 +00:00
269329cac2
Corrections for bvar-dsge estimation and irfs.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1341 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-06 08:43:25 +00:00
254a2df272
Correction of a bug in bvar-dsge estimation.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1338 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-07-05 12:32:28 +00:00
d1820cd778
Correction of a bug related to mode_compute=6 (displayed progress information was wrong).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1328 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-22 14:35:56 +00:00
fd8ebccfbc
v4 dynare_estimation: added call to PosteriorMomentsVarendo (not yet completed)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1320 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-17 13:01:02 +00:00
0fa73bb1f3
Set the parameters to the posterior mean after a metropolis.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1317 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-06-16 08:52:53 +00:00
708f2b992b
v4 dynare_estimation.m: parameters must be set before computing the steady state
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1290 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-05-20 09:21:15 +00:00
fc4e25adec
M_ is saved with oo_ in _results.mat
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1286 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-05-19 16:58:55 +00:00
a57ca32ce8
Enabled PosteriorSmoother.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1250 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-04-16 15:47:28 +00:00
4e1122f014
v4: merge changes to dynare_estimation.m
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1183 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-11 12:48:41 +00:00
0448da2649
Bug fixes (BVAR-DSGE)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1181 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-02-09 16:30:47 +00:00
44093cbbb9
BVAR-DSGE with constant (not yet ready)
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1167 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-26 14:50:30 +00:00
ee75bf6a58
load oo_ from _results.mat if mh_replic = 0 and load_mh_file
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1165 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-26 08:58:07 +00:00
863680fb4d
yet another bug correction
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1164 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-24 13:29:14 +00:00
ee4ced27b0
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1163 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-22 18:58:37 +00:00
eed9b1b335
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1162 ac1d8469-bf42-47a9-8791-bf33cf982152
2007-01-22 18:11:34 +00:00
adjemian
michel
sebastien
ratto
assia