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
f42d833705
preprocessor: add tolf to perfect_foresight_solver and steady. #1249
2016-07-20 10:57:06 -04:00
4c74db4914
preprocessor: remove extraneous token
2016-07-20 10:43:13 -04:00
d3af87032b
preprocessor: rework conf_sig option
2016-07-04 17:34:44 +02:00
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
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
f2afcb8094
preprocessor: allow for partitioning of variables along multiple dimensions
2016-06-23 15:36:42 +02:00
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
50ead246b1
preprocessor: add all_values_required option to histval. closes #261
2016-06-02 12:57:11 +02:00
9415ed8feb
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
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
ac36e194ce
Added solve_algo as an option for perfect_foresight_solver.
2016-05-24 17:26:06 +02:00
275cb6c2b0
preprocessor: support sub lists in posterior_sampling_opt option, hence removing tarb_optim. #1177
2016-05-19 14:37:05 +02:00
57afa7d80f
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
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
b898bfea6e
preprocessor: add params_derivs_order to identification and sensitivity. #1187
2016-05-17 17:18:16 +02:00
d1e1003d72
preprocessor: fix typo
2016-05-17 15:42:23 +02:00
adf1c0392b
preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187
2016-05-17 15:32:51 +02:00
448de477e5
preprocessor: add analytic_derivation option to identification and sensitivity. #1187
2016-05-17 12:43:05 +02:00
ca1879fe7d
preprocessor: interface for osr_params_bounds. #948
2016-05-10 18:01:00 +02:00
1df83c1807
add option colormap for shocks_decomposition
2016-04-15 09:02:53 +02:00
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
d52c378460
Allow prefilter_decomposition as option if calib_smoother
2016-03-23 10:31:10 +01:00
f0ff0d911b
preprocessor: allow arbitrary partitioning of variables (removes long_name keyword)
2016-02-26 16:47:17 +01:00
1a12a3de0f
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
110823e2c7
preprocessor: remove rule that should have been removed in fd5ce1366e865c3c1f6a3178a9bfec0c2a712899
2015-10-30 18:23:39 +01:00
d587a5133f
preprocessor: change prior_posterior_function into two arguments. closes #1076
2015-10-14 11:02:35 +02:00
3907462ae9
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
863e13db55
preprocessor: interface for prior_posterior_function command. closes #1076
2015-10-13 17:16:10 +02:00
ce1ebac039
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
5cbbb1c41e
preprocessor: add horizon option to ms_forecast
2015-09-08 17:28:08 +02:00
6c4f7c0898
preprocessor: add relative_irf option to irf_calibration block. closes #720
2015-09-07 11:49:17 +02:00
73a1ca92c0
preprocessor: posterior_kernel_density option to estimation. #1035
2015-08-25 11:09:08 +02:00
d8d2124866
preprocessor: allow first_obs option of estimation to accept a vector of integers. #1034
2015-08-25 10:30:21 +02:00
203ddeba3d
finalize svar_global_identification_check
2015-08-24 14:53:27 +02:00
8c1cd0e8ba
Add option for storing contemporaneous correlation
2015-08-11 11:27:55 +02:00
7f7e0d5f1a
preprocessor: add one_sided_hp_filter to stoch_simul. #1011
2015-08-03 17:34:34 +02:00
5b4e94149c
preprocessor: add bandpass_filter option to stoch_simul. #1011
2015-08-03 17:28:55 +02:00
8af8ee193e
preprocessor: add spectral_density option to stoch_simul. #254
2015-08-03 13:02:17 +02:00
6016463c33
preprocessor: remove constraint outlined in #849
2015-07-30 17:52:47 +02:00
ecf52751d6
Merge pull request #937 from JohannesPfeifer/graph_fix
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Various fixes related to graphs and eps-TeX-loaders
2015-07-20 14:36:20 +02:00
585d9f1974
Merge pull request #740 from JohannesPfeifer/relative_irf
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Fix and document relative_irf
2015-07-20 14:20:00 +02:00
7dfba933e5
Fied bug. Moved option linear_approximation.
2015-07-08 11:11:22 +02:00
6e52dfb828
New option linear_approximation for perfect foresight models.
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This approach only requires one evaluation of the dynamic model (and its
jacobian) instead of T (the number of perdiods). Also (because the model
is linear) the equilibrium paths are obtained by inverting the jacobian
of the stacked equations (no need for a Newton algorithm).
Only available with stack_solve_algo==0 (which is the default algorithm
for solving perfect foresight models).
If possible, the option is triggered automatically if the model is
declared linear.
TODO:
* Write a linear version of perfect_foresight_problem routine.
* Evaluate the approxilation error (just need to evaluate the system of
stacked non linear equations).
2015-07-07 17:55:41 +02:00
2318fb31c1
Enable tex option for stoch_simul
2015-06-08 18:00:32 +02:00
342d479e8b
Add preprocessor option silent_optimizer
2015-06-08 16:48:57 +02:00
6c1c1c9bf6
Allow for relative_irf option in estimation command
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The option was used and inherited from stoch_simul before
2015-06-08 16:42:43 +02:00
f914837aff
adding options LMMCP and OCCBIN to perfect_foresight_solver and
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extended_path
2015-06-02 17:38:22 +02:00
dae14ac19e
Fixed bug introduced in c22d31330c7d3978f882003ffb999f65be70c4a5 (Ramsey
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constraints).
2015-06-01 12:27:16 +02:00
60a33fb4a1
Adding 'ramsey_constraints' block to declare contraints for Ramsey
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problems. Note that LMMCP (solve_algo=10) still doesn't work in all cases.
2015-05-31 12:18:20 +02:00
2a51f6482f
preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925
2015-05-19 12:31:22 +02:00
691af085cd
preprocessor: add tarb_optim option to estimation. #940
2015-05-13 16:50:07 +02:00
6f4a19bb26
preprocessor: add tarb_new_block_probability option to estimation. #940
2015-05-13 15:49:41 +02:00
e00b7b62f6
preprocessor: add tarb_mode_compute option to estimation. #940
2015-05-13 15:46:52 +02:00
23545052a8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
8f458eb961
preprocessor: add huge_number to estimation and osr. #924
2015-05-13 15:14:34 +02:00
46ac39092d
preprocessor: add dr_display_tol to stoch_simul. #924
2015-05-13 15:12:39 +02:00
d13520019d
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
0c7ca28bfb
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
2a108ba38f
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
4ba729fdd6
preprocessor: new command write_latex_original_model. closes #657
2015-02-16 08:31:30 +01:00
c948136379
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
4fc785f8d5
preprocessor: add weibull and weibull_pdf options for estimation and new estimation, #520
2014-12-12 18:02:07 +01:00
b5f7c90596
preprocessor: add prefilter, first_obs, and loglinear options to calib_smoother, #803
2014-11-26 15:05:07 +01:00
0ab693b973
preprocessor: add optim option to osr, #779
2014-11-25 11:44:52 +01:00
c655aca1ac
preprocessor: add diffuse_filter and prior_trunc options to identification, #677
2014-11-18 11:53:34 +01:00
7dcaaa1fa0
preprocessor: add nodecomposition option to estimation and stoch_simul, #702
2014-11-17 12:15:38 +01:00
4307af5ff5
osr: add option opt_algo. #779
2014-11-14 17:35:03 +01:00
a124d2b255
Added option distribution_proposal (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
b62dd9f0db
Added option proposal_approximation (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
7e9dc99b61
Bug fixes.
2014-09-08 22:36:41 +02:00
04754432b3
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
63450d99a6
Added option resampling_method (estimation command, non linear filters).
2014-09-08 22:36:41 +02:00
Houtan Bastani
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
MichelJuillard
Johannes Pfeifer