Houtan Bastani
fc48bf26b9
preprocessor: write error messages to cerr instead of cout, replace \n with endl
2017-03-01 12:44:31 +01:00
Houtan Bastani
9eb7c00da1
preprocessor: fix bug that caused temporary terms not to be printed for the parameter derivatives of the static model. closes #1397
2017-03-01 12:20:55 +01:00
Houtan Bastani
ad84914118
preprocessor: for consistency, use equations.size() instead of equation_number() in classes that have equations as a field
2017-02-24 11:20:54 +01:00
Houtan Bastani
83ea269155
preprocessor: aesthetic fix
2017-02-10 12:47:43 +01:00
Houtan Bastani
4dc640c635
preprocessor: aesthetic fix
2017-02-09 16:23:42 +01:00
Houtan Bastani
d6e801cac8
preprocessor: change error to warning because we don’t end processing in this situation; fix error message
2017-02-09 16:21:18 +01:00
Houtan Bastani
5e1d20c8d9
preprocessor: replace exit(1) with exit(EXIT_FAILURE)
2017-02-09 12:46:37 +01:00
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
ea774b3f30
preprocessor: fix typo
2017-01-31 17:11:03 +01:00
Houtan Bastani
7591d5b6d3
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
Houtan Bastani
d3455d42c1
preprocessor: don’t automatically declare external functions
2017-01-27 20:36:26 +01:00
Houtan Bastani
e3fe88d9d8
preprocessor: handle undeclared external functions and lagged variables
2017-01-27 20:36:26 +01:00
Houtan Bastani
ff3b2d0ae3
keep track of all times an undeclared variable is encountered
2017-01-27 20:36:26 +01:00
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
Houtan Bastani
a8cb5d7e61
fix nested parens for params derivatives. closes #1201
2017-01-05 18:19:37 +01:00
Houtan Bastani
a14fdd204f
when >32 nested parens encountered in matlab, print error message once per file in which such a situation occurred. #1201
2017-01-05 15:19:13 +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
bf19a0aa73
fix warnings introduced in 3b20d41a92db4267c0ba13278f3885aba67e6c47 related to size_t/int comparison #1201
2017-01-02 11:38:13 +01:00
Houtan Bastani
471df861fa
3b20d41a92db4267c0ba13278f3885aba67e6c47 used to_string from C++11 standard which breaks the snapshot build. #1201
2017-01-02 11:21:28 +01:00
Houtan Bastani
f32b24a591
avoid unnecessary processing when a stream has 32 or fewer nested parenthesis. #1201
2016-12-30 18:32:20 +01:00
Houtan Bastani
eac97a8f49
first iteration of fix for nested parenthesis in matlab. #1201
2016-12-30 18:14:08 +01:00
Houtan Bastani
486891e75f
bug fix: end preprocessing with error when more than 32 nested parenthesis are encountered. closes #1201
2016-12-28 14:02:50 +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
52e1017291
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
Johannes Pfeifer
cae0077ff4
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +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
Stéphane Adjemian
8935702a52
Merge pull request #1345 from JohannesPfeifer/robust_lin_solve
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robust_lin_solve: Fix mistakes introduced in 4b83c1bf763fe5029c94b7e5…
2016-12-17 17:18:19 +01:00
Houtan Bastani
a0eb913c66
preprocessor: parallel: add NumberOfThreadsPerJob option. #1349
2016-12-13 11:35:37 +01:00
Houtan Bastani
b29ea3258a
preprocessor: parallel: change default for singleCompThread. #1349
2016-12-13 11:12:04 +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
Houtan Bastani
453b753021
block: fix bug introduced in e410043c244d251164638f9a0b3646e23e3d125d. #1245
2016-11-29 16:45:50 +01:00
Houtan Bastani
67c4bd0126
block: add default argument for _dynamic functions: `varargout{1} = NaN;` #1245
2016-11-29 15:18:59 +01:00
Houtan Bastani
d78f9d668b
preprocessor: fix bug that caused all models declared linear to fail under ramsey. closes #419
2016-11-29 14:21:34 +01:00
Houtan Bastani
f640c28403
preprocessor: create field in M_ that is true when hessian is zero, false otherwise. closes #1335
2016-11-14 12:32:21 +01:00
MichelJuillard
a0cc3c0a00
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
Houtan Bastani
14fb833165
preprocessor: fix iterator types in ParsingDriver::svar()
2016-11-04 14:44:45 +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
Stéphane Adjemian
2a714a60f4
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
Houtan Bastani
b2963ae558
preprocessor: define var for normcdf + msvc. #1259
2016-10-17 14:59:07 +02:00
Houtan Bastani
7b0817a25e
preprocessor: don’t need compiler argument to dynare when using octave. closes #1314
2016-10-14 17:35:10 +02:00
Houtan Bastani
61b2be2a2c
preprocessor: add normcdf for MSVC. closes #1259
2016-10-14 16:11:44 +02:00
Houtan Bastani
2385b7b5c1
preprocessor: clean up writePowerDeriv code. it only writes C code, so no need for use_dll argument
2016-10-14 14:30:14 +02:00
Houtan Bastani
9ec4037fc8
preprocessor: fix bug introduced in 4255be00b8a10226470c4cc1bc5a514ce37041bc. Normcdf is not supported by MSVC
2016-10-14 13:59:36 +02:00
Houtan Bastani
484453af03
preprocessor: allow acosh, asinh, atanh, normcdf for MSVC 11.0 or later
2016-10-14 13:44:21 +02:00