1d079d4edf
preprocessor: var_estimation: remove unnecessary equation specifiers in syntax
2017-05-19 14:58:01 +02:00
00e8930f1f
preprocessor: fix spacing
2017-05-19 14:58:01 +02:00
b48a5d58a3
Revert "preprocessor: add options to var_model"
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This reverts commit cbb099f7d9789dc7616f770ed98412309ea6ec4d.
2017-05-16 11:21:50 +02:00
d0131f3652
var_estimation: add datafile option
2017-05-16 10:12:24 +02:00
644f1345ea
preprocessor: add var_estimation statement
2017-05-10 17:23:40 +02:00
1a1e2c1810
preprocessor: VAR restrictions
2017-05-10 16:25:01 +02:00
a2771a62ad
var_model: allow non model-block variables in VAR
2017-05-04 16:15:33 +02:00
d7336eb317
Merge branch 'master' into ecb-master
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Model inversion of backward looking models.
2017-05-02 23:15:42 +02:00
d72cadeed7
Merge pull request #1441 from JohannesPfeifer/ksstat
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Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
ec6756db0e
Remove redundant ksstat option
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Closes #1431
2017-04-27 11:08:17 +02:00
bac51e0a0e
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
35adc47c14
Merge branch 'master' into ecb-master
2017-04-14 11:35:43 +02:00
40c26edcfc
preprocessor: add options to var_model
2017-04-14 11:21:47 +02:00
053407314d
preprocessor: add option to write equation tags in latex output. closes #477
2017-04-04 16:08:30 +02:00
f9a803f4a9
Added option nonlinear_filter_initialization.
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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
5be4206092
preprocessor: add options plot_init_date and plot_end_date to plot_shock_decomposition
2017-03-31 14:38:44 +02:00
bc9a619d8a
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
5fb2ba6f7c
plot_shock_decomposition: remove argument to steadystate option
2017-03-28 12:15:00 +02:00
59322da2a7
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +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
80e322d319
Added declaration of observed exogenous variables.
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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
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
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
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
07ea12dc18
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
9b0fbdb4fe
ramsey_policy: accept all endogenous variables in var_list_, even auxiliary variables. closes #1355
2016-12-27 14:08:50 +01:00
2a442561c6
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
15bd6dd04a
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
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
3f33ab5425
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
e55ab84f7f
Geweke diagnostics: fix bug in interface that prevents setting the respective options
2016-12-17 17:22:05 +01:00
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
9d4b5825da
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
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
b37ed6f255
Allow first_obs and nobs as options of shock_decomposition
2016-10-06 14:20:04 +02:00
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
f20beac29c
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
c5570fc30e
preprocessor: add nograph option to shock_decomposition. closes #1290
2016-09-23 17:44:36 +02:00
d9d60d4f21
preprocessor: allow shock group names to contain spaces. closes #1280
2016-09-14 14:10:00 +02:00
a169cd075e
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
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
3550cc0ca5
preprocessor: remove maxit, tolf from osr. #1249
2016-07-21 09:46:08 -04:00
64b9468649
preprocessor: add tolx to perfect_foresight_solver
2016-07-21 09:40:19 -04:00
Houtan Bastani
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
MichelJuillard