Stéphane Adjemian (Charybdis)
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
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.
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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
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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
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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
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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
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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
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- 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
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Conf sig
2016-08-21 16:14:28 +02:00
Houtan Bastani
fca5a4094b
Revert "preprocessor: remove maxit, tolf from osr. #1249"
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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""
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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"
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This reverts commit 7a29f50d99e20c2a5872f77592585b3dbd9fa00c.
2016-06-23 15:59:35 +02:00
Houtan Bastani
f2afcb8094
preprocessor: allow for partitioning of variables along multiple dimensions
2016-06-23 15:36:42 +02:00
Johannes Pfeifer
78a90b7c20
Allow for parameter_set=mle_mode in shock_decomposition
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Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
Houtan Bastani
50ead246b1
preprocessor: add all_values_required option to histval. closes #261
2016-06-02 12:57:11 +02:00
Stéphane Adjemian (Charybdis)
9415ed8feb
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
Stéphane Adjemian (Hermes)
711c8f1463
Fixed lmmcp option.
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This option may be used in extended_path and perfect_foresight_solver commands.
2016-05-24 17:26:06 +02:00
Stéphane Adjemian (Hermes)
ac36e194ce
Added solve_algo as an option for perfect_foresight_solver.
2016-05-24 17:26:06 +02:00
Houtan Bastani
275cb6c2b0
preprocessor: support sub lists in posterior_sampling_opt option, hence removing tarb_optim. #1177
2016-05-19 14:37:05 +02:00
Houtan Bastani
57afa7d80f
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
Houtan Bastani
48928c61ce
Revert "preprocessor: add params_derivs_order to identification and sensitivity. #1187"
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This reverts commit 6192a6a7765e7bde388f4a6feac4362d1e9fd284.
2016-05-18 10:33:45 +02:00
Houtan Bastani
b898bfea6e
preprocessor: add params_derivs_order to identification and sensitivity. #1187
2016-05-17 17:18:16 +02:00
Houtan Bastani
d1e1003d72
preprocessor: fix typo
2016-05-17 15:42:23 +02:00
Houtan Bastani
adf1c0392b
preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187
2016-05-17 15:32:51 +02:00
Houtan Bastani
448de477e5
preprocessor: add analytic_derivation option to identification and sensitivity. #1187
2016-05-17 12:43:05 +02:00
Houtan Bastani
ca1879fe7d
preprocessor: interface for osr_params_bounds. #948
2016-05-10 18:01:00 +02:00
Michel Juillard
1df83c1807
add option colormap for shocks_decomposition
2016-04-15 09:02:53 +02:00
Michel Juillard
94f1f9883a
adding groups of shocks for shock_decomposition
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consistency checks, documentation and test case
are still missing
2016-04-15 09:02:53 +02:00
Johannes Pfeifer
d52c378460
Allow prefilter_decomposition as option if calib_smoother
2016-03-23 10:31:10 +01:00
Houtan Bastani
f0ff0d911b
preprocessor: allow arbitrary partitioning of variables (removes long_name keyword)
2016-02-26 16:47:17 +01:00
Michel Juillard
1a12a3de0f
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Houtan Bastani
110823e2c7
preprocessor: remove rule that should have been removed in fd5ce1366e865c3c1f6a3178a9bfec0c2a712899
2015-10-30 18:23:39 +01:00
Houtan Bastani
d587a5133f
preprocessor: change prior_posterior_function into two arguments. closes #1076
2015-10-14 11:02:35 +02:00
Houtan Bastani
3907462ae9
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Houtan Bastani
863e13db55
preprocessor: interface for prior_posterior_function command. closes #1076
2015-10-13 17:16:10 +02:00