Commit Graph

162 Commits (4348f4d57f83aa8f96c3ec23899c33971e847428)

Author SHA1 Message Date
Sébastien Villemot 365fb27f3d
New “structural” option to “var_model”
As the name implies, this option allows contemporaneous variables on the RHS.

The A0 matrix for contemporaneous variables is added as a second (optional)
output to the generated var_ar.m file. Note that for reduced-form VAR, this
matrix will be the identity.

Also, the user is now allowed to write the VAR models in a more flexible form:
the LHS must still be a single variable, but the RHS can be an arbitrary
expression (as long as it is linear, obviously). Internally, the preprocessor
now uses derivation to compute the coefficients of the AR and A0. This change
applies to both reduced-form and structural VAR models.

Ref. dynare#1785
2021-07-08 12:55:47 +02:00
Sébastien Villemot 67f4777ac3
Remove support for obsolete syntax: var_model(order = 2) X Y Z; 2021-07-07 18:26:09 +02:00
Sébastien Villemot 221daeab6f
New time_shift option to var_expectation_model
Ref. dynare#1787
2021-07-01 17:56:07 +02:00
Johannes Pfeifer f354458418 method_of_moments: remove var_list_ 2021-06-24 15:10:24 +02:00
Sébastien Villemot 74ef3457b4
Use secure URL for link to GNU licenses 2021-06-09 17:21:00 +02:00
Sébastien Villemot 04f242f971
xls_sheet option: allow quoted strings as value
Closes: #67
2021-05-31 18:18:25 +02:00
Sébastien Villemot c5f9ae89e7
Implement new “occbin” option to “model” block
For the time being, the preprocessor will refuse that this option be used with
any command other than estimation.

By the way, remove occbin_likelihood and occbin_smoother options to estimation.

Ref. dynare#569
2021-05-31 10:00:59 +02:00
Sébastien Villemot 1e9ea1acf4 Merge branch 'smoother_redux' into 'master'
Add smoother_redux option

See merge request Dynare/preprocessor!38
2021-05-27 14:55:35 +00:00
Johannes Pfeifer 2a8726fe6e Add kalman_algo and filter_covariance to calib_smoother 2021-05-27 16:42:10 +02:00
Johannes Pfeifer 0d635aed36 Add smoother_redux option 2021-05-27 16:41:36 +02:00
Sébastien Villemot b12b254f2c
Add heteroskedastic_filter option and heteroskedastic_shocks block
Ref. dynare!1844, dynare!1851
2021-05-26 18:27:52 +02:00
Sébastien Villemot e552bfc4b3
Refactor parsing of deterministic shocks
This will simplify the implementation of heteroskedastic_shocks.
2021-05-26 17:05:51 +02:00
Sébastien Villemot c35f160e3f
Minor simplification 2021-05-26 16:17:18 +02:00
Sébastien Villemot 73e07b78b8
Add mh_initialize_from_previous_mcmc option family to estimation command
Ref. dynare!1841
2021-05-11 18:12:54 +02:00
Sébastien Villemot be7ff255f6
The fast_realtime option now accepts a vector of integers
Ref. dynare!1842
2021-05-10 15:41:36 +02:00
Sébastien Villemot 80e1090257
Add no_init_estimation_check_first_obs option to estimation
Ref. dynare!1839
2021-05-07 17:41:20 +02:00
Michel Juillard d511e3ec3a
add deterministic_trends statement (only used by Dynare Julia) 2021-04-22 15:19:21 +02:00
Sébastien Villemot 910649dd28
Fix treatment of “series” option of “initval_file”
This option was treated as a numeric value: it was a hack to ensure that the
name of the dseries object was printed without quotes in the driver file.

However, that would make the JSON output synctically incorrect.

This commits removes the hack, and treats the “series” option as a string
value (in the same way as for the “data” command). A modification of the MATLAB
code will thus be needed to accomodate the change.
2021-04-20 10:39:14 +02:00
Sébastien Villemot 29b3b744ef
Remove spurious space produced when parsing key/value pairs
Introduced in e46168db66.
2021-02-26 12:28:06 +01:00
Sébastien Villemot 5581052451
Add particle_filter_options option to estimation
Ref. #59
2021-02-23 16:54:36 +01:00
Sébastien Villemot e46168db66
Simplify parsing of lists of key/value pairs options 2021-02-23 16:49:11 +01:00
Sébastien Villemot 54365b16ed
Remove unfinished “occbin” option to perfect_foresight_solver and extended_path
Partially reverts f914837aff and
567156aad4.
2021-02-22 16:22:17 +01:00
Willi Mutschler 071a46a798
Add interface to set zero_moments_tolerance
Useful in identification and method_of_moments toolbox to set the tolerance which replaces very small numbers by hard zeros in unconditional second moments (particularly in pruned_state_space_system.m and disp_moments.m)
2021-02-16 16:29:57 +01:00
Sébastien Villemot 9274675efb
Allow booleans in optimization options list
Closes: #63
2021-02-10 16:18:58 +01:00
Johannes Pfeifer ad22e62874
filter_initial_state: Port lost preprocessor commits from https://git.dynare.org/JohannesPfeifer/dynare/-/commits/filter_initial_state 2021-01-26 16:03:04 +01:00
Sébastien Villemot af9bd8f109
Remove the unfinished decomposition in linear and nonlinear blocks
Also remove the det_cond_forecast interface, that was related to it.

Ref. dynare!1626
Closes: #39
2021-01-25 18:03:37 +01:00
Willi Mutschler a87b2753ed
MoM: Add option analytic_jacobian 2021-01-08 18:57:06 +01:00
Johannes Pfeifer 1def52a088 Add interface to set schur_vec_tol 2020-12-17 19:55:20 +01:00
Johannes Pfeifer 78f6d48601 GMM: introduce option analytic_standard_errors 2020-12-12 09:36:40 +01:00
Sébastien Villemot a99ca9f450
Remove obsolete “var_estimation” statement 2020-11-26 16:13:52 +01:00
Sébastien Villemot 1b40327639
Remove obsolete “restrictions” block 2020-11-26 16:13:49 +01:00
Sébastien Villemot 09054e11dc
Add new “matched_moments” block
Closes: #51
2020-07-28 18:30:24 +02:00
Sébastien Villemot d4e20c7ec4 Merge branch 'moment_estimation' into 'master'
Method of moments: Preprocessor preparations

See merge request Dynare/preprocessor!23
2020-07-16 08:56:03 +00:00
Stéphane Adjemian (Charybdis) 03f53c1b0d
Allow empty shocks(overwrite) block. 2020-07-15 12:33:02 +02:00
Johannes Pfeifer 98ddbb61ba Method of moments: Preprocessor preparations 2020-07-10 11:18:57 +02:00
Sébastien Villemot becc433d56
Rename byte_code to bytecode for consistency with user option name 2020-05-20 11:39:59 +02:00
MichelJuillard ed4c36a267 add first_simulation_period to the lexer
(cherry picked from commit c8575e11d2f81ad606ab50849c52127653699a93)
2020-05-14 14:36:35 +00:00
Johannes Pfeifer dab769c6f4 Add missing smoother options to shock_decomposition 2020-03-17 11:48:51 +01:00
Stéphane Adjemian (Charybdis) 5a12f56b0f
Cosmetic change (indentation). 2020-02-28 13:17:01 +01:00
Stéphane Adjemian (Charybdis) baa3804314
Shorten option name. 2020-02-28 13:10:47 +01:00
Johannes Pfeifer 02fa6c7814 Add interface to set initial guess for mh_tune_jscale 2020-02-26 11:20:48 +01:00
Houtan Bastani 14be6bad00
occbin: support occbin tags in equation tags, add occbin_likelihood and occbin_smoother as options to estimation 2020-02-11 14:24:06 +01:00
Sébastien Villemot 1c44baea05
New option “filtered_theoretical_moments_grid”, that supersedes “hp_ngrid”
The old option is left for backward-compatibility purposes, but it has the same
effect as the new one.

Ref. dynare#1093
2020-01-20 16:21:25 +01:00
Johannes Pfeifer a70511e057 Add xls_sheet and xls_range options to calib_smoother 2020-01-13 11:36:31 +00:00
Houtan Bastani 32c3910e18
allow symbol list to accept auxiliary variables
dynare#1355
2019-12-20 14:51:15 +01:00
Sébastien Villemot 82c2682bb2
New “with_epilogue” option of “shock_decomposition”, “realtime_shock_decomposition” and “initial_condition_decomposition”
Ref. dynare!1688
2019-12-20 11:47:54 +01:00
Sébastien Villemot fe0c781c06
New “planner_discount_latex_name” option of “ramsey_policy”
Accepts a TeX name, as for variable declarations (i.e. enclosed within dollar
signs).

Ref. dynare#1686
2019-12-18 17:32:41 +01:00
Houtan Bastani efb2752e4e
Ramsey: fix bug: symbol_list is not passed to RamseyPolicy statement when it was not passed options 2019-12-18 12:07:59 +01:00
Sébastien Villemot c2461981d2
Various provisions for improvements to shock decomposition commands
– New “squeeze_shock_decomposition” command
— New “max_nrows” option to “plot_shock_decomposition” and
  “initial_condition_decomposition”
— “plot_shock_decomposition” now returns oo_ as an output argument

Ref. dynare#1687, dynare!1655
2019-12-18 11:39:44 +01:00
Houtan Bastani 8dfa79a0f5
new command `evaluate_planner_objective`
dynare#1678
2019-12-12 11:35:26 +01:00
Sébastien Villemot 5c081db76f
Add option “colormap” to “initial_condition_decomposition” command.
Ref dynare#1586
2019-12-09 15:43:39 +01:00
Houtan Bastani 3f3ef7ca00
fix bugs in initial_condition_decomposition statement
closes #37
2019-12-06 10:40:44 +01:00
Houtan Bastani 02cb4cc973
add compiler statement
Allows the user to set the compiler, flags, and libs to be used with `use_dll`

Issue #35
2019-12-04 16:57:20 +01:00
Houtan Bastani 2db2133796
fix bugs with cbrt
- it was not handled in the model block
- output was incorrect for MATLAB/Octave and LaTeX
2019-12-04 11:10:19 +01:00
Houtan Bastani 4a1fb239da
Add interface for init2shocks
Dynare/dynare#1650
2019-12-02 13:58:44 +01:00
Houtan Bastani de3de15249
add nograph option to plot_shock_decomposition
closes #30
2019-11-29 14:58:42 +01:00
Sébastien Villemot 61ea8811de
Remove the undocumented and confusing “linear” option of stoch_simul
Closes: #33
2019-11-27 15:08:56 +01:00
Dóra Kocsis dfb5a856c4 bugfix: forecast type option in shock_decomposition. 2019-11-26 18:29:12 +01:00
Dóra Kocsis 3e43b36cf3 Introduce forecast type option in shock_decomposition command. Dynare/dynare#1657 2019-11-26 17:49:12 +01:00
Dóra Kocsis c23e136f93 Revert "Merge branch 'master' into 'master'"
This reverts commit 3ae92499b8, reversing
changes made to 3ec01b8612.
2019-11-26 16:46:12 +01:00
Dóra Kocsis 8bfcefe7fb Add interface for forecast_shock_decomposition. Dynare/dynare#1657 2019-11-25 17:08:59 +01:00
Sébastien Villemot 5a5817b4fe
Improvements to the test for balanced growth path
— Raise the default tolerance for cross-derivatives to 1e-6, to reduce the
  number of false positives

— New option “balanced_growth_test_tol” to the “model” block for changing that
  tolerance

— Turn back test failures into errors. Since there is now an option for
  controlling the tolerance, the user always has the possibility of making the
  test pass.

Closes: dynare#1389
2019-11-14 17:55:17 +01:00
Sébastien Villemot ecdca502aa
Modernization: stop using make_pair() and make_tuple()
In many cases, they can be replaced by the curly braces syntax.

Otherwise, we can now use the pair() and tuple() constructors, without the need
to specify template parameters, thanks to class template argument
deduction (new in C++17).
2019-10-24 10:49:13 +02:00
Houtan Bastani 9e454debb5
support external functions in MATLAB namespace. closes dynare#1639 2019-10-09 14:49:05 +02:00
Houtan Bastani 4e1b1e4405
fix typo in parser 2019-10-08 15:36:30 +02:00
Houtan Bastani 1fcd305015
allow for expressions as upper bound for irf_calibration and moment_calibration. Closes #12 2019-09-30 12:22:59 +02:00
Houtan Bastani d3db73b7e4
remove unused symbols 2019-09-25 11:36:03 +02:00
Houtan Bastani 047b3b25bb
add print, noprint options to perfect_foresight_solver 2019-09-12 14:35:29 +02:00
Sébastien Villemot 30aaf93ca7
Bison 3.2 now generates a default semantic action with variants
The minimal required version of Bison is bumped to 3.2, so that we can rely on
those default actions.
2019-08-14 11:22:33 +02:00
Houtan Bastani 7048a4ff32
macro processor: consolidate precedence rules around unary +/- 2019-08-13 09:56:32 -04:00
Houtan Bastani 0c37da202b
add missing precedence for unary plus 2019-08-13 09:55:41 -04:00
Houtan Bastani ae0a91256a
add cubic root to dynare language 2019-07-15 12:18:26 -04:00
Sébastien Villemot 24d4b2dc77
identification command now accepts the order option
Note that this option does not modify the global options_.order, for
consistency with the semantics of the identification command.

The preprocessor will compute dynamic derivatives up to at least order+1.

Closes #10
2019-07-05 17:49:16 +02:00
Sébastien Villemot 4032942fa4
Add “diff” and “flip” options to plot_shock_decomposition and initial_condition_decomposition
Ref Dynare/dynare#1649
2019-07-03 16:28:00 +02:00
Stéphane Adjemian (Charybdis) 358c3d6716 Revert "Allow th use of EXPECTATION keyword in variables tags."
This reverts commit fbc42b1930, which is
incorrect for the currently used version of Bison (in stretch).
Besides, even if the patch seems to work with recent versions of
Bison, it introduces hard to predict and probably very unpleasant
properties (this patch allows to use the `expectation` word anywhere,
this would be a problem if the user choose to name a variable or
parameter as `expectation`).
2019-05-04 08:40:44 +02:00
Stéphane Adjemian (Charybdis) fbc42b1930 Allow th use of EXPECTATION keyword in variables tags. 2019-05-03 12:18:45 +02:00
Sébastien Villemot 1fee4840b6
More Unicode copyright symbol 2019-04-16 14:29:30 +02:00
Sébastien Villemot 36fa97e5c5
Merge remote-tracking branch 'origin/identification_wmutschl' 2019-03-20 10:48:20 +01:00
Sébastien Villemot 78583135df
Use true/false instead of 1/0 for boolean options
This is more elegant, and makes it easier to distinguish them from integer
options.
2019-03-19 15:15:10 +01:00
Sébastien Villemot 7d5e8a16c0
Add new options for identification
Ref Dynare/dynare#1648
2019-03-19 11:59:15 +01:00
Houtan Bastani 341b9c6667
pac_model: allow diff as argument to growth option 2019-02-28 19:22:34 +01:00
Houtan Bastani 0ea84fa9a4
pac: allow steady state growth and model consistent expectation substitution in pac equation 2019-02-18 15:11:45 +01:00
Houtan Bastani d922ae8ffc
pac_model: permit lag on growth option 2019-01-25 14:52:26 +01:00
Houtan Bastani bb624ec6a7
epilogue: allow for simulations in epilogue block 2018-12-19 16:09:30 +01:00
Houtan Bastani 9d3f104b8c
fix epilogue block 2018-12-10 12:27:27 +01:00
Sébastien Villemot 8bda21c504
Remove workaround for Bison 3.2
This was a bug, now fixed in Bison 3.2.2. The latter version is now available
on most platforms (Debian unstable/testing, Homebrew, MSYS2).
2018-12-04 17:10:34 +01:00
Sébastien Villemot 67ac4bf8ea
Allow diff() and log() in "expression" option of var_expectation_model 2018-11-29 16:01:49 +01:00
Sébastien Villemot e9341c7153
Implement option "expression" of var_expectation_model
The data structure written in the driver file is changed also in the case of
the "variable" option.
2018-11-28 17:33:59 +01:00
Sébastien Villemot dfe1a005af
Bison bug has been fixed in 3.2.2 2018-11-22 11:46:36 +01:00
Sébastien Villemot fb883bbfb0
Small simplification of Bison file
Thanks to Akim Demaille for the suggestion.
2018-11-21 14:38:06 +01:00
Houtan Bastani 989532a6a2
add `string`, vec_str key/value option to posterior_sampler_options 2018-11-09 15:11:15 +01:00
Sébastien Villemot e22aa1c162
Compatibility issue with Bison 3.2 2018-11-08 15:01:43 +01:00
Ferhat Mihoubi 139e3efa82 Adds a new model option "linear_decomposition" that creates a block composed of the non-linear equations o the model 2018-09-28 14:54:52 +02:00
Houtan Bastani eb74d48393 trend_component_model: replace `trends` option with `targets` 2018-09-13 12:21:23 +02:00
Houtan Bastani 9f0c30740e introduce epilogue block 2018-09-05 12:31:49 +02:00
Stéphane Adjemia (Scylla) a406c18598 Allow trend_component_model in var_expectations. 2018-08-22 16:50:01 +02:00
Houtan Bastani afe0e475b1 trend_component_model statement 2018-08-17 16:52:48 +02:00
Houtan Bastani 88a0162202 macroprocessor: remove terminals not used in grammar 2018-08-07 17:19:45 +02:00
Sébastien Villemot f3c2a1bf87 New var_expectation_model statement and re-design of var_expectation operator
Given a previously declared var_model, the var_expectation_model statement is
used to declare a way of forming expectations with this VAR (possibly using a
finite or infinite discounted sum). The var_expectation operator now takes a
single argument, the name of the var_expectation_model.

For the moment, this only works when the var_model is using equations
explicitly declared in the model block.
2018-08-02 08:39:09 +02:00
Sébastien Villemot df01e52859 Use new syntax for various Bison options 2018-07-31 12:02:26 +02:00