Houtan Bastani
8c3cafb183
Merge pull request #1533 from JohannesPfeifer/interfaces
...
Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:30:05 +02:00
Johannes Pfeifer
abbddd5854
Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:06:38 +02:00
Houtan Bastani
1e40e0a8a1
preprocessor: interface for generate_irfs block. Closes #1531
2017-10-06 15:00:55 +02:00
Houtan Bastani
51ee883f21
preprocessor: add basic gmm smm statements, add options later. #1530
2017-10-05 15:13:17 +02:00
Houtan Bastani
d23a684bf6
preprocessor: add write_latex_steady_steade_model command. Closes #1496
2017-08-30 14:30:06 +02:00
Houtan Bastani
b6176ae406
preprocessor: add parameter_set option to evaluate_smoother command. Closes #1477
2017-08-28 18:25:37 +02:00
Houtan Bastani
076fb75f98
preprocessor: add model_local_variable declaration for declaring model local variables with tex names. Closes #563
2017-08-28 17:24:56 +02:00
Houtan Bastani
f0352541d5
preprocessor: ramsey_model: remove unused symbol_list syntax. Closes #1392
2017-08-24 16:43:36 +02:00
Houtan Bastani
48d6155dbc
preprocessor: add write_equation_tags option to write_latex_original_model and write_latex_static_model. closes #1431
2017-08-24 16:10:53 +02:00
Johannes Pfeifer
52f3b964b2
Fix bug in use_shock_groups and colormap
...
Option was not written to correct subfield of options_-structure. Related to 7cd56e96877de4ed2dd22bb579884ab292034d71
2017-07-07 12:38:20 +02:00
Johannes Pfeifer
2670ca8db0
Get rid of unused and superseded options_.colormap and make sure options_.plot_shock_decomp.colormap is set
2017-05-23 13:20:47 +02:00
Stéphane Adjemian
d72cadeed7
Merge pull request #1441 from JohannesPfeifer/ksstat
...
Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
Johannes Pfeifer
ec6756db0e
Remove redundant ksstat option
...
Closes #1431
2017-04-27 11:08:17 +02:00
Stéphane Adjemian (Charybdis)
bac51e0a0e
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
Houtan Bastani
053407314d
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +02:00
Stéphane Adjemian (Charybdis)
f9a803f4a9
Added option nonlinear_filter_initialization.
...
Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
Houtan Bastani
5be4206092
preprocessor: add options plot_init_date and plot_end_date to plot_shock_decomposition
2017-03-31 14:38:44 +02:00
Houtan Bastani
bc9a619d8a
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
Houtan Bastani
5fb2ba6f7c
plot_shock_decomposition: remove argument to steadystate option
2017-03-28 12:15:00 +02:00
Houtan Bastani
59322da2a7
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
Houtan Bastani
d2dfb65602
preprocessor: add realtime_shock_decomposition statement. #1406
2017-03-21 15:20:32 +01:00
Houtan Bastani
ea450d4254
preprocessor: fix bug introduced in a4eb8d6b91b3b9d5c0293b78be0678c52c4395a4
2017-03-21 14:07:30 +01:00
Houtan Bastani
bc5ac82612
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
Stéphane Adjemian (Charybdis)
3c79e231c7
Removed penalty_hessian routine.
...
+ 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
Houtan Bastani
a9de8dd0a0
preprocessor: issue warnings for undeclared model variables when the end of the model block is encountered. #1286
2017-01-27 20:36:26 +01:00
Stéphane Adjemian (Charybdis)
10b6a794ad
Fixed bug.
...
NO_POSTERIOR_KERNEL_DENSITY option was not modifying the expected field in
options_, consequently this option was no honored.
2017-01-20 17:35:43 +01:00
Stéphane Adjemian
07ea12dc18
Merge pull request #1358 from JohannesPfeifer/nograph
...
Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
Houtan Bastani
9b0fbdb4fe
ramsey_policy: accept all endogenous variables in var_list_, even auxiliary variables. closes #1355
2016-12-27 14:08:50 +01:00
Johannes Pfeifer
2a442561c6
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
Johannes Pfeifer
15bd6dd04a
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
Johannes Pfeifer
a00bf1fa90
load_mh_file: recompute results by default and load on request
...
Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
Johannes Pfeifer
3f33ab5425
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
Johannes Pfeifer
e55ab84f7f
Geweke diagnostics: fix bug in interface that prevents setting the respective options
2016-12-17 17:22:05 +01:00
Johannes Pfeifer
661b44ede3
robust_lin_solve: Fix mistakes introduced in 4b83c1bf763fe5029c94b7e55aba257135426de1
...
Interface was still missing and documentation of option was in wrong place in manual and wrong
2016-12-01 17:31:29 +01:00
Johannes Pfeifer
9d4b5825da
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Stéphane Adjemian
c5cca6dbd0
Merge pull request #1217 from JohannesPfeifer/qz_estimation
...
Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
Johannes Pfeifer
b37ed6f255
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
Johannes Pfeifer
05c5c6a0aa
Make sure qz_criterium being reset by evaluate_smoother.m does not affect subsequent commands
...
- adds diffuse_filter as option of calib_smoother
- adds test case for calib_smoother with diffuse_filter
2016-10-02 10:51:47 +02:00
Houtan Bastani
f20beac29c
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
Houtan Bastani
c5570fc30e
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
Houtan Bastani
d9d60d4f21
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
MichelJuillard
a169cd075e
Merge pull request #1257 from JohannesPfeifer/conf_sig
...
Conf sig
2016-08-21 16:14:28 +02:00
Houtan Bastani
fca5a4094b
Revert "preprocessor: remove maxit, tolf from osr. #1249"
...
This reverts commit 86bc3bd4358ee58ba290dd379ee5da29946669fe.
2016-07-21 11:04:04 -04:00
Houtan Bastani
3550cc0ca5
preprocessor: remove maxit, tolf from osr. #1249
2016-07-21 09:46:08 -04:00
Houtan Bastani
64b9468649
preprocessor: add tolx to perfect_foresight_solver
2016-07-21 09:40:19 -04:00
Houtan Bastani
f42d833705
preprocessor: add tolf to perfect_foresight_solver and steady. #1249
2016-07-20 10:57:06 -04:00
Houtan Bastani
4c74db4914
preprocessor: remove extraneous token
2016-07-20 10:43:13 -04:00
Houtan Bastani
d3af87032b
preprocessor: rework conf_sig option
2016-07-04 17:34:44 +02:00
Stéphane Adjemian (Hermes)
db44b7337f
Revert "Revert "preprocessor: allow for partitioning of variables along multiple dimensions""
...
This reverts commit b0e7f1cfd7d7b26305f6434de2869c1f19e8ff6d.
2016-06-24 17:38:54 +02:00
Houtan Bastani
24e25fd151
Revert "preprocessor: allow for partitioning of variables along multiple dimensions"
...
This reverts commit 7a29f50d99e20c2a5872f77592585b3dbd9fa00c.
2016-06-23 15:59:35 +02:00