2f28aded6e
preprocessor: pac_expectation fixes
2018-02-08 18:17:08 +01:00
2d1c67ed1f
preprocessor: pac_expectation operator
2018-02-06 14:55:06 +01:00
11ffe053b2
preprocessor: add eqtags option to var_model
2018-01-12 16:55:58 +01:00
26bc8d50b6
Merge branch 'master' into ecb-master
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Fixed conflicts in:
matlab/backward/backward_model_irf.m
matlab/modules/dseries
matlab/utilities/general/isint.m
preprocessor/DynareBison.yy
preprocessor/DynareFlex.ll
preprocessor/ModFile.cc
preprocessor/ParsingDriver.hh
2017-10-14 17:12:57 +02:00
8c3cafb183
Merge pull request #1533 from JohannesPfeifer/interfaces
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Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:30:05 +02:00
abbddd5854
Add preprocessor options for GMM, SMM, IRFs
2017-10-06 15:06:38 +02:00
1e40e0a8a1
preprocessor: interface for generate_irfs block. Closes #1531
2017-10-06 15:00:55 +02:00
51ee883f21
preprocessor: add basic gmm smm statements, add options later. #1530
2017-10-05 15:13:17 +02:00
9b8961d26e
Merge branch 'master' into ecb-master
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Fixed conflicts:
preprocessor/DynareBison.yy
preprocessor/Statement.hh
2017-08-31 12:09:43 +02:00
d23a684bf6
preprocessor: add write_latex_steady_steade_model command. Closes #1496
2017-08-30 14:30:06 +02:00
8e767ee720
Merge branch 'master' into ecb-master
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Fixed conflicts:
matlab/backward/backward_model_forecast.m
preprocessor/DynareBison.yy
preprocessor/ParsingDriver.hh
tests/practicing/datasaver.m
2017-08-30 11:51:56 +02:00
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
cb369b3b98
preprocessor: support adl and diff
2017-06-14 16:12:08 +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
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
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
bc9a619d8a
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
59322da2a7
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
a020daef37
var_expectation: first draft
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
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
2a442561c6
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +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
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
f20beac29c
preprocessor: add keep_kalman_algo_if_singularity_is_detected option to estimation. #1294
2016-09-30 14:31:13 +02:00
64b9468649
preprocessor: add tolx to perfect_foresight_solver
2016-07-21 09:40:19 -04:00
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
9415ed8feb
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +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
adf1c0392b
preprocessor: add analytic_derivation_mode option to identification and sensitivity. #1187
2016-05-17 15:32:51 +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
42d166e272
Fix compatibility with Flex 2.6.
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In Flex 2.6, the C++ scanner changed. yyout is now a reference (and no
longer a pointer).
2016-03-14 16:28:24 +01:00
Houtan Bastani
Stéphane Adjemian(Charybdis)
Johannes Pfeifer
Michel Juillard
Sébastien Villemot