Michel Juillard
24cac29cdf
removed changes linked with transforming variables to avoid log or
...
power of negative numbers
2013-04-09 16:35:57 +02:00
Sébastien Villemot
91f3f578a0
Use syntax log_trend_var(log_growth_factor = …) for consistency
2013-03-26 17:10:37 +01:00
Sébastien Villemot
08c2b6e1c6
Automatic detrending engine can now handle models written in logs (ref. #309 )
...
- new command `log_trend_var'
- new option `log_deflator' to `var' command
2013-03-26 16:51:17 +01:00
Sébastien Villemot
00c95ea352
Preprocessor interface and documentation for endogenous_prior option
...
Closes #321
2013-03-18 11:12:49 +01:00
Ferhat Mihoubi
c709053202
Adds conditional forecast using the extended path method
2013-01-11 18:04:46 +01:00
Sébastien Villemot
c50cd383c0
Add ar option to estimation
...
Closes : #276
2012-11-29 15:44:06 +01:00
Sébastien Villemot
823d5a51a6
Add interface and documentation to model_diagnostics
...
Closes : #205
2012-11-16 12:34:49 +01:00
Sébastien Villemot
b3f3619ca8
Allow infinite values in threshold_reform option of GSA
...
Closes : #266
2012-11-16 11:08:49 +01:00
Houtan Bastani
d8cbb55ee7
all_values_required keyword for initval and endval
2012-11-06 15:45:08 +01:00
Houtan Bastani
bc4a2bffe4
bug fix: none instead of pdf to graph_format
2012-10-31 16:16:45 +01:00
Houtan Bastani
4509136dba
bug fix: remove previous declaration of NONE as token in flex
2012-10-31 15:59:12 +01:00
Stéphane Adjemian (Charybdis)
d01d952a6f
Added the possibility to write graph_format=none, in which case the graphs are displayed (provided nograph and nodisplay options are not used) but not saved.
2012-10-17 16:28:36 +02:00
Houtan Bastani
39d68a9614
ms-sbvar bug fix: store no_create_init as number instead of string
2012-09-26 18:07:49 +02:00
Sébastien Villemot
514db5f801
Preprocessor interface for multiple graph formats
2012-09-11 14:26:53 +02:00
Stéphane Adjemian (Charybdis)
25e042f67a
Added the possibility to use the logarithmic reduction algorithm (mainly for testing purpose).
2012-07-11 18:26:22 +02:00
Sébastien Villemot
156b86665b
Allow back "dr" in variable names
2012-07-02 10:11:32 +02:00
Ferhat Mihoubi
d80d7aa1e7
Adds the cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients
...
associated to the endogenous variables in the decision rule.
2012-07-01 15:19:10 +02:00
Sébastien Villemot
683fdae2ad
Fix option simul_replic
2012-06-26 17:01:13 +02:00
Michel Juillard
f60aedd095
fixing bug in discretionary_policy and implementing option solve_maxit
2012-06-19 14:08:45 +02:00
Sébastien Villemot
7442179a65
Allow nograph, nodisplay and graph_format in identification
2012-06-15 10:30:53 +02:00
Sébastien Villemot
16239fd665
New option simul_replic in preprocessor and documentation
2012-06-11 11:53:55 +02:00
Sébastien Villemot
6fb2562f13
Preprocessor iface to extended_path
2012-06-08 17:36:32 +02:00
Sébastien Villemot
dc8907d472
Preprocessor iface and doc for nodisplay and graph_format
...
Closes : #216
2012-06-07 18:29:30 +02:00
Sébastien Villemot
35bf1d5ec2
New option analytic_derivation for estimation
2012-06-06 11:34:32 +02:00
Sébastien Villemot
c19f62b2e3
Bison/Flex files: do not load C++ mode under Emacs
...
It is better to use bison-mode and flex-mode (see the wiki)
2012-06-04 11:59:35 +02:00
Sébastien Villemot
381c6aeee8
Add new command "calib_smoother"
...
Closes : #233
2012-05-30 16:28:29 +02:00
Michel Juillard
73b4052f2b
first implementation of transform_logpow. It creates too many auxilary
...
variables and probably violates Jensen inequality in some cases.
2012-05-23 15:09:33 +02:00
Michel Juillard
2fbd5d33c6
fixed issues relative to homotopy (type I) when the user wants to
...
continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
Michel Juillard
7221aa486f
added check_options are the same as steady_options. Added option
...
nocheck to 'check' in test fs2000/fs2000a as there is a unit root and
the user provided _steadystate.m doesn't solve the static equations
2012-04-24 10:32:59 +02:00
Michel Juillard
30e0b81643
fixed problems with trying to make homotopy robust to problems in one run.
2012-04-23 16:57:46 +02:00
Michel Juillard
3172022bbf
computing shock_decomposition for calibrated models
2012-04-21 21:37:52 +02:00
Michel Juillard
500499f5d8
changed option name discretion_tol -> discretionary_tol, added the option
...
to the preprocessor, added to documentation
2012-04-21 10:40:24 +02:00
Ferhat
8001e19b9e
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
...
- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
Michel Juillard
60fb8aeaae
added steady option stop_on_error. stop_on_error = 0 permits to
...
continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
Houtan Bastani
36a56199c4
estimation: introduce options = options syntax
2012-03-30 15:37:15 +02:00
Houtan Bastani
c9aa2d7b23
estimation: introduce prior = prior syntax
2012-03-30 15:37:15 +02:00
Houtan Bastani
d459b0ea7b
estimation: rewrite subsamples statement as an actual statement
2012-03-28 18:51:52 +02:00
Houtan Bastani
ad8096edb8
estimation: add subsamples for std / corr, prior / options statements & simplify code
2012-03-27 13:03:09 +02:00
Houtan Bastani
5f707cc795
estimation: add truncate and median options to prior statement
2012-03-15 14:33:02 +01:00
Houtan Bastani
ea0b176395
MS-SBVAR: rewrite ms_variance_decomposition
2012-03-08 17:54:35 +01:00
Houtan Bastani
894ff9c1e7
MS-SBVAR: rewrite ms_forecast
2012-03-08 17:54:05 +01:00
Houtan Bastani
fb0b0ae4ce
MS-SBVAR: rewrite ms_irf
2012-03-08 17:53:58 +01:00
Ferhat Mihoubi
ffb5119807
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
Houtan Bastani
23f9c5e418
preprocessor: add lik_init to dynare_sensitivity command
2012-02-09 12:52:33 +01:00
Sébastien Villemot
f61f3ebf35
Add kalman_algo option to identification and dynare_sensitivity
...
Only in preprocessor and ref. manual for the moment
2012-01-20 12:11:14 -05:00
Houtan Bastani
c22022cfb0
preprocessor: added back prior names w/o _pdf and fixed check and write
2011-12-30 17:09:45 +01:00
Houtan Bastani
d2c03a206b
preprocessor: enumerate prior distributions
2011-12-30 15:41:51 +01:00
Houtan Bastani
8d369bd710
ms-sbvar: add restrictions option
2011-12-23 18:22:41 +01:00
Houtan Bastani
c62d52a576
preprocessor: bug fix in setting prior_variance
2011-12-23 18:22:40 +01:00
Houtan Bastani
8c87ba38a4
preprocessor: allow vec_value to accept commas
2011-12-21 12:21:30 +01:00
Houtan Bastani
9cbaf6200a
ms-sbvar: remove regime argument and support duration=array
2011-12-21 12:21:30 +01:00
Houtan Bastani
37bfa41518
ms-sbvar: replace state with regime
2011-12-21 12:21:30 +01:00
Houtan Bastani
f9f745716d
ms-sbvar: replaced number_of_states with number_of_regimes
2011-12-21 12:21:30 +01:00
Houtan Bastani
9771e68875
preprocessor: removed unused token
2011-12-21 12:21:30 +01:00
Houtan Bastani
744b5abf1e
preprocessor: add symbol.options statement
2011-12-21 12:21:30 +01:00
Houtan Bastani
6ea0dd59e4
preprocessor: allow symbol.subsample=symbol.subsample
2011-12-21 12:21:30 +01:00
Houtan Bastani
1d68887387
preprocessor: add subsamples statement
2011-12-21 12:21:30 +01:00
Houtan Bastani
29d8028fc4
preprocessor: add prior statement
2011-12-21 12:21:29 +01:00
Houtan Bastani
1c733dd55f
preprocessor: add data command
2011-12-21 12:21:29 +01:00
Houtan Bastani
b89eb4931c
preprocessor: add set_time command
2011-12-21 12:21:29 +01:00
Michel Juillard
4f881cc826
added options_.sub_draws in estimation for controlling the number of draws used in
...
computing the posterior distributions of various objects. Changed
options_.subdraws, used in the code, into options_.sub_draws.
2011-12-15 17:35:26 +01:00
Michel Juillard
8dde155e28
ms-sbvar: adding missing case for linear restriction
2011-11-07 15:47:16 +01:00
Michel Juillard
7854b06743
ms-sbvar: correcting bugs in specification of linear restrictions
2011-11-07 12:26:20 +01:00
Michel Juillard
b8dcb71b78
ms-sbvar: fixing more bugs in linear restrictions
2011-11-06 17:45:19 +01:00
Houtan Bastani
b75d0e733f
Remove unused expectation syntax
2011-10-26 14:30:47 +02:00
Michel Juillard
b91dd27096
fixing more problems with steady state refactoring
2011-10-13 17:14:41 +02:00
Michel Juillard
4befcde035
ms-sbvar: introduced more general restriction syntax for
...
identification; added an example; still necessary to add error message
when restrictions are invalid
2011-10-12 21:47:59 +02:00
Houtan Bastani
5edaa0d4b7
preprocessor: remove unused token
2011-10-10 16:56:46 +02:00
Houtan Bastani
b9c9b784a1
MS-SBVAR: remove estimation_file_tag option
2011-10-07 11:57:53 +02:00
Sébastien Villemot
068b74ae6e
Merge remote-tracking branch 'ferhat/master'
2011-09-16 16:21:10 +02:00
Ferhat Mihoubi
7942eaba59
Add a new option maxit in steady and simul commands to determine the maximum number of iterations used in the non linear solver.
2011-09-16 16:16:14 +02:00
Houtan Bastani
25c80c45a3
svar: constants is not yet supported
2011-09-15 18:15:54 -04:00
Houtan Bastani
bd2cd16bf0
MS-SBVAR: add specification option
2011-09-15 18:03:39 -04:00
Houtan Bastani
cacd1a27f7
aesthetic fix
2011-09-15 18:03:30 -04:00
Houtan Bastani
8e366e3bcd
MS-SBVAR: change syntax for proposal_type option
2011-09-15 18:03:22 -04:00
Houtan Bastani
f42bb46370
MS-SBVAR: support xls datafile
2011-09-15 18:03:12 -04:00
Houtan Bastani
9207896a6b
MS-SBVAR: add keywords for freq option
2011-09-15 18:02:07 -04:00
Houtan Bastani
e5a98735f6
MS-SBVAR bugfix: allow data_obs_nbr to accept an int argument
2011-09-14 15:04:26 -04:00
Houtan Bastani
e8e2bf8f14
MS-SBVAR bug fix: options_.ms.mh_replic instead of options_.mh_replic and options_.ms.drop instead of options_.drop
2011-09-14 14:28:21 -04:00
Houtan Bastani
07a0b1bbfa
remove unused option
2011-09-14 12:04:47 -04:00
Houtan Bastani
f4bd48eb45
MS-SBVAR: fix processing for ms_estimation
2011-09-14 11:53:45 -04:00
Houtan Bastani
db8e953228
remove unused token
2011-09-14 11:53:45 -04:00
Houtan Bastani
d43cb40752
remove unused varlist option
2011-09-14 11:53:45 -04:00
Houtan Bastani
a70e25b182
MS-SBVAR: change bayesian_prior to no_bayesian_prior and remove argument
2011-09-14 11:53:45 -04:00
Houtan Bastani
5fcb759749
MS-SBVAR: remove arguments to cross_restrictions and contemp_reduced_form
2011-09-14 11:53:45 -04:00
Houtan Bastani
3f689a5076
remove upper/lower_cholesky options from ms_estimation and sbvar
2011-09-13 11:45:42 -04:00
Houtan Bastani
44396d0bac
remove load_mh_file option from ms-sbvar code
2011-09-12 16:29:57 -04:00
Houtan Bastani
cdfd5c7e76
sbvar: deprecate restriction_fname
2011-09-09 13:27:01 -04:00
Sébastien Villemot
237fffe05d
Allow non-integer values for hp_filter parameter
2011-09-08 17:29:49 +02:00
Houtan Bastani
3de20c4d76
ms-sbvar: change error_bands option to no_error_bands as the default is on
2011-08-23 13:43:24 +02:00
Houtan Bastani
973105ace3
preprocessor: add absolute value and signum
2011-08-16 14:52:35 +02:00
Houtan Bastani
3af111abe7
MS-SBVAR: input options that allow code to be called with previous output files
2011-08-10 18:22:53 +02:00
Houtan Bastani
2d5f22394f
MS-SBVAR: preprocessor bug fixes
2011-08-04 00:40:26 +02:00
Houtan Bastani
6a0f8b4d93
MS-SBVAR: bug fix
2011-08-03 11:10:57 +02:00
Michel Juillard
6d549cc66f
added possibility to do conditional forecast with a calibrated model + bug correction + new test file
2011-07-30 20:19:15 +02:00
Michel Juillard
dcf5273b26
adding "exclusion constants" to svar identification
2011-07-29 18:11:50 +02:00
Michel Juillard
ed81eb22e9
MS-SBVAR: corrected bug in COEFFICIENTS_PRIOR_HYPERPARAMETERS option
2011-07-14 21:10:01 +02:00
Houtan Bastani
4973ee893d
add irf_shocks option to estimation
2011-07-12 16:32:37 +02:00
Michel Juillard
19065506c0
ms-sbvar: adding coefficients_prior_hyperparameters option to SBVAR
2011-07-12 14:31:19 +02:00
Houtan Bastani
81a49656fc
dynare_sensitivity: added new options
2011-07-08 11:12:13 +02:00
Houtan Bastani
3ac4d5ebf9
preprocessor: add identification option lik_init
2011-06-23 11:13:35 +02:00
Michel Juillard
7a9bb51caf
MS-SBVAR: updating options for command SBVAR
2011-06-03 14:06:15 +02:00
Houtan Bastani
f6543191ee
bug fix: add sbvar options back to global_initialization
2011-05-30 17:46:11 +02:00
Michel Juillard
b65bb7e2c3
MS-SBVAR: added automatic saving of graphs in <mod_name>/Output; added possibility to select endogenous variables for IRF plots; updated plot functions.
2011-05-30 15:54:46 +02:00
Michel Juillard
f9287ac796
renamed ramsey_policy_discount_factor by optimal_policy_discount_factor because it is also used by discretionary_policy
2011-05-24 16:02:42 +02:00
Houtan Bastani
4c71c49f39
preprocessor: added dynare_sensitivity option
2011-05-23 11:20:24 +02:00
Houtan Bastani
28c59fae51
SWZ: updates for irf, forecast and variance decomposition mex calls
2011-05-20 14:34:26 +02:00
Houtan Bastani
48c7ee6788
SWZ: changes for new code
2011-05-13 17:23:41 +02:00
Houtan Bastani
d6acd924c4
identification: add new options
2011-04-29 11:51:18 +02:00
Houtan Bastani
6abb077ef9
dynare_sensitivity interface: remove unused option
2011-04-27 14:33:50 +02:00
Houtan Bastani
5b8cf01d48
dynare_sensitivity: removed unused option trans_ident from preprocessor
2011-04-27 08:40:46 +02:00
Houtan Bastani
e50139e6ce
dynare_sensitivity interface: bug fix
2011-04-22 11:35:05 +02:00
Houtan Bastani
eea358eae7
identification: added advanced and max_dim_cova_group to the preprocessor
2011-04-20 12:14:47 +02:00
Houtan Bastani
c2dc34c79e
IRF: add an option to limit the exogenous shocked in the computations (ticket 114)
2011-03-31 17:04:16 +02:00
Houtan Bastani
be4c5c92ef
ramsey_policy: allow discount factor to be an expression
2011-03-29 18:18:32 +02:00
Sébastien Villemot
b8a3444f3f
Remove deprecated 'simul_seed' option from manual and MOD-file grammar
2011-03-21 12:54:25 +01:00
Michel Juillard
8adee6b673
adding discretionary policy for linear quadratic models, thanks to code provided by Junior
2011-03-13 21:19:55 +01:00
Michel Juillard
f25b069a00
corrected bug for options_.kalman_tol and increased its default value to 1e-10
2011-02-10 18:48:08 +01:00
Michel Juillard
d3621da773
SWZ: fixing options vlistlog and vlistpercentage
2011-02-09 06:29:21 +01:00
Sébastien Villemot
9b3d611a0b
Preprocessor: in steady_state_model block, allow MATLAB functions which return several arguments ( closes #37 )
2011-01-26 13:55:01 -05:00
Michel Juillard
6fba82c3a5
modified syntax for estimation option plot_priors + addition to manual
2011-01-21 17:04:00 +01:00
Michel Juillard
e57cfd6539
adding cova_compute option for estimation: when cova_compute=0, the covariance matrix of estimated parameters is not computed.
2011-01-18 19:31:59 +01:00
Michel Juillard
ca73c1bd88
removing command CALIB: it has not been working for a long time. Calibration is in fact a special case of method of moments and should be replaced by such a method.
2011-01-04 10:16:38 +01:00
Michel Juillard
d0b7e9e59f
added choice of parameter set to shock_decomposition. This corrects a bug when shock_decomposition is requested after Metropolis iterations.
2010-12-08 13:02:59 +01:00
Sébastien Villemot
eaad0b1263
Preprocessor: various cleanups related to the signed vs non-negative numerical constants issues
2010-11-25 13:45:35 +01:00
Sébastien Villemot
973c795db8
Change the syntax for values of deterministic shocks:
...
Arbirtrary expressions after the "values" keywords must now be enclosed
within parentheses; consider the following example:
<code>
periods 1:2;
values -1 -2;
</code>
In the previous syntax, this was interpreted by the preprocessor as a shock of
value -1-2 = -3 for periods 1 and 2, which is clearly not the intent of the
user; with the new syntax, this will be rejected (too many values compared to
the number of ranges).
Also note that now commas are no longer required between arbitrary expressions,
since the parentheses are sufficient for separating them.
2010-11-24 18:26:43 +01:00
Houtan Bastani
a7fc3361ac
trend_var, growth_factor, deflator: stationarize a nonstationary model and test
2010-10-18 16:07:42 +02:00
Sébastien Villemot
2c10d03368
Preprocessor: rename "NodeID" in "expr_t"
2010-09-17 12:13:26 +02:00
Sébastien Villemot
705b14f5c3
Preprocessor: in the lexer, "end;" now corresponds to 2 tokens (instead of one), for consistency with the other tokens
2010-08-30 14:16:07 +02:00
Michel Juillard
f2e21ca0a6
added conditional variance decomposition to estimation options
2010-06-26 15:39:25 +02:00
Houtan Bastani
ee9b19fadc
DSGE-VAR: support deprecated way of declaring dsge_prior_weight
2010-06-22 10:38:54 +02:00
Houtan Bastani
5a9f972cc1
DSGE-VAR: introduce dsge_var and dsge_varlag options to estimation statement
2010-06-22 10:38:43 +02:00
Sébastien Villemot
743db26cb4
Preprocessor and ref. manual: added 'pruning' option ( closes #104 )
2010-05-31 18:38:49 +02:00
Sébastien Villemot
d68e984fd6
Preprocessor: added new 'steady_state_model' keyword for automatically creating steady state file
2010-04-23 18:39:07 +02:00
Sébastien Villemot
71d577bcb8
Preprocessor:
...
* give the possibility of calibrating measurement errors in the "shocks" blocks (only for observed endogenous variables)
* M_.H is now initialized in the preprocessor
* only one "varobs" statement is now accepted in a MOD file
2010-04-14 15:03:41 +02:00
Michel Juillard
6f880da1f5
adding option SELECTED_VARIABLES_ONLY
2010-04-02 11:51:21 +02:00
Michel Juillard
f52c96d4c0
added options filter_covariance filter_decomposition for new version of the smoother
2010-03-22 21:57:46 +01:00
Sébastien Villemot
f9cac656d1
Preprocessor: removed unfinished 'prior_analysis' and 'posterior_analysis' statements
2010-03-18 14:56:22 +01:00
Houtan Bastani
9d5e280b82
bug fix: prevent vars with leads/lags from being used outside of the model block.
2010-03-15 10:47:44 +01:00
Houtan Bastani
9c2e06a091
Added erf as an internally supported function and updated manual.
2010-03-11 12:00:37 +01:00
Houtan Bastani
50258dae49
Added normpdf as an internally supported function and updated manual.
2010-03-11 10:16:40 +01:00
Houtan Bastani
a70b60604c
Modified external functions to enforce consistent number of function arguments within model_block
2010-03-03 11:40:13 +01:00
Sébastien Villemot
e24c9c5ad1
Preprocessor: minor cosmetic changes related to external functions
2010-02-23 19:08:54 +01:00
Houtan Bastani
9abc7563c1
Add support for external functions
2010-02-23 18:15:18 +01:00
houtanb
e616667f75
expectation conditional on a restricted information set
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3367 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-18 22:08:44 +00:00
ferhat
0808ba42b7
Add new model option no_static : avoid to compute the static model. Useful for models without steady-state.
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3319 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-08 11:06:25 +00:00
sebastien
a33bcad666
Added missing 'nograph' option to 'forecast' command + Fixed affiliations in ref manual
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3265 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-18 08:35:12 +00:00
houtanb
04aa1dbdb3
changed preprocessor internals to support vector<int> type. changed svar_identification to store symbols by symbol ids. Added missing Doxygen comments.
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3240 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-14 15:54:00 +00:00
houtanb
e1f043485f
allow for vector <int> to be passed by Bison and modified processing of svar statement accordingly.
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3221 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-10 22:49:50 +00:00
michel
1f4d4a2871
4.1 adding instruments option to ramsey_policy; ramsey_policy can now use a *_steadystate.m file
...
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3219 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-10 14:59:32 +00:00