3308f252c9
preprocessor: add aux var/equation when var_model is of order > max lag of its variables in the model block
2017-03-22 09:41:10 +01:00
f3e4a75aad
var_forecast: make calls more efficient
2017-03-22 09:41:10 +01:00
323a3684bf
var_forecast: only make one call per var model, regardless of forecast horizon
2017-03-22 09:41:09 +01:00
a4004ac8bf
var_forecast: fix writing in dynamic file
2017-03-22 09:41:09 +01:00
53d0792712
stoi was introduced in C++11. replace with stringstream
2017-03-22 09:41:09 +01:00
f45575fb74
var_forecast: create separate VarExpectationNode class to better handle calls to .m function that calculates var forecasts
2017-03-22 09:41:09 +01:00
1ab66f549f
var_expectation: create possibility for h-step-ahead forecast
2017-03-22 09:41:09 +01:00
012360c370
var_forecast: create individual .m files for each forecast
2017-03-22 09:41:09 +01:00
a020daef37
var_expectation: first draft
2017-03-22 09:41:09 +01:00
b08a397983
var_forecast: move var declaration from options_ to M_, simplify structure in which it is stored
2017-03-22 09:41:09 +01:00
85a7d72515
VAR(p) forecast first draft, preprocessor for var command and backend for forecast
2017-03-22 09:41:09 +01:00
d089c730d4
Remove preprocessor warning.
...
Do not issue a warning when observed exogenous variables do not appear
in the model.
2017-03-22 09:41:09 +01:00
80e322d319
Added declaration of observed exogenous variables.
...
With integration test.
2017-03-22 09:41:09 +01:00
d2dfb65602
preprocessor: add realtime_shock_decomposition statement. #1406
2017-03-21 15:20:32 +01:00
ea450d4254
preprocessor: fix bug introduced in a4eb8d6b91b3b9d5c0293b78be0678c52c4395a4
2017-03-21 14:07:30 +01:00
bc5ac82612
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
8c595e3298
evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
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Closes #1373
2017-03-17 13:15:39 +01:00
5a35040126
Make sure block-decomposed model returns with correct error code if Inf or NaN is encountered
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Missing from 5f85d3a2005ae1d2b3650776cc33830967721159 where only residual was set to error code. If oo_.deterministic_simulation.status is not set to 0, model will erroneously be considered as solved and homotopy will not be triggered.
2017-03-17 10:07:13 +01:00
3eddd5ce88
preprocessor: split equation output into lhs and rhs. #1387
2017-03-15 12:52:55 +01:00
6e9e2eac40
preprocessor: write JSON output for cross refs #1387
2017-03-10 17:28:25 +01:00
bab5d9bea1
Merge branch 'master' into json
2017-03-10 17:20:15 +01:00
cde54d7ad4
Revert "preprocessor: write equation cross references in JSON. #1387"
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This reverts commit 0ccc82300c3046d159554c24027ded09a93b687e.
2017-03-10 17:18:41 +01:00
b4ac9aac8d
preprocessor: add lag info to equation cross references. closes #1398
2017-03-10 16:59:52 +01:00
2a3ef9d168
preprocessor: write equation cross references in JSON. #1387
2017-03-06 16:34:08 +01:00
746f88eb6e
preprocessor: create two different static and dynamic files with the option jsonprintderivdetail. #1387
2017-03-03 14:42:37 +01:00
1b3cccb602
Merge branch 'master' into json
2017-03-03 14:42:25 +01:00
5fbadbadd3
preprocessor: make JSON output start counting at 1 instead of 0. #1387
2017-03-02 17:34:34 +01:00
fc48bf26b9
preprocessor: write error messages to cerr instead of cout, replace \n with endl
2017-03-01 12:44:31 +01:00
9eb7c00da1
preprocessor: fix bug that caused temporary terms not to be printed for the parameter derivatives of the static model. closes #1397
2017-03-01 12:20:55 +01:00
32a08f8db0
preprocessor: add onlyjson option to allow exit upon writing of JSON output. #1387
2017-02-28 14:34:22 +01:00
301c9691d9
preprocessor: JSON output aesthetic fixes, support planner objective. #1387
2017-02-27 15:40:34 +01:00
236f1ca7d0
preprocessor: fix JSON bugs. #1387
2017-02-27 14:23:55 +01:00
915bea91a1
preprocessor: output JSON after different steps, write static, dynamic, params derivs files in JSON. #1387
2017-02-24 17:43:22 +01:00
ad84914118
preprocessor: for consistency, use equations.size() instead of equation_number() in classes that have equations as a field
2017-02-24 11:20:54 +01:00
58951045d9
preprocessor: JSON output for statements, #1387
2017-02-20 11:23:10 +01:00
4486df9f8f
preprocessor: bug fix for writing of parameter values. Closes #1394
2017-02-13 14:03:44 +01:00
96b35ff078
FIX: JSON remove space before symbols + quote values
2017-02-12 16:45:05 +01:00
83ea269155
preprocessor: aesthetic fix
2017-02-10 12:47:43 +01:00
4dc640c635
preprocessor: aesthetic fix
2017-02-09 16:23:42 +01:00
d6e801cac8
preprocessor: change error to warning because we don’t end processing in this situation; fix error message
2017-02-09 16:21:18 +01:00
5e1d20c8d9
preprocessor: replace exit(1) with exit(EXIT_FAILURE)
2017-02-09 12:46:37 +01:00
3c79e231c7
Removed penalty_hessian routine.
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+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba4b3ed88c9c5021aced076078d96007.
An option is available for computing the hessian with the penalized
objective function.
2017-02-08 13:07:25 +00:00
64642d928c
preprocessor: write JSON output. #1387
2017-02-06 17:41:18 +01:00
c56877d7a9
doc: add preprocessor copyright info
2017-02-01 18:16:51 +01:00
cb1a83f494
doc: update for preprocessor
2017-02-01 18:06:44 +01:00
d1377c3838
preprocessor: remove introduction to C++ programming
2017-01-31 17:11:28 +01:00
ea774b3f30
preprocessor: fix typo
2017-01-31 17:11:03 +01:00
7591d5b6d3
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
d3455d42c1
preprocessor: don’t automatically declare external functions
2017-01-27 20:36:26 +01:00
e3fe88d9d8
preprocessor: handle undeclared external functions and lagged variables
2017-01-27 20:36:26 +01:00
Houtan Bastani
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Winant Pablo