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with 371 additions and 149 deletions
matlab/+occbin/kalman_update_algo_3.m
View file @ 9832f012
......@@ -55,7 +55,7 @@ function [a, a1, P, P1, v, Fi, Ki, T, R, C, regimes_, error_flag, M_, lik, alpha
% constraints, Working Papers 2021-03, Joint Research Centre, European Commission
% Copyright © 2021-2023 Dynare Team
% Copyright © 2021-2024 Dynare Team
%
% This file is part of Dynare.
%
......@@ -256,7 +256,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
opts_simul.periods = max(opts_simul.periods,max(myregimestart));
opts_simul.maxit=1;
options_.occbin.simul=opts_simul;
[~, out, ss] = occbin.solver(M_,oo_,options_);
[~, out, ss] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
if out.error_flag
error_flag = out.error_flag;
etahat=etahat(:,2);
......@@ -282,7 +282,7 @@ end
error_flag = out.error_flag;
if ~error_flag && niter>options_.occbin.likelihood.max_number_of_iterations && ~isequal(regimes_(1),regimes0(1)) %fixed point algorithm did not converge
error_flag = 1;
error_flag = 331;
end
if ~error_flag
......@@ -383,4 +383,4 @@ while t > 1
ri = T'*ri; % KD (2003), eq. (23), equation for r_{t-1,p_{t-1}}
end
end
\ No newline at end of file
end
matlab/+occbin/kalman_update_engine.m
View file @ 9832f012
......@@ -328,4 +328,13 @@ if options_.occbin.likelihood.loss_function_regime_guess && (info0 || info1) %||
end
end
end
if info(1)==0
if isnan(likx)
info = 323;
elseif any(any(isnan(ax)))
info = 324;
end
end
end
matlab/+occbin/plot_irfs.m
View file @ 9832f012
function plot_irfs(M_,oo_,options_,irf3,irf4)
shocknames = options_.occbin.plot_irf.exo_names;
simulname = options_.occbin.plot_irf.simulname;
if isempty(simulname)
simulname_ = simulname;
else
simulname_ = [ simulname '_' ];
function plot_irfs(M_,irfs,options_,var_list)
% plot_irfs(M_,irfs,options_,var_list)
%
% INPUTS
% - M_ [structure] Matlab's structure describing the model
% - irfs [structure] IRF results
% - options_ [structure] Matlab's structure describing the current options
% - var_list [character array] list of endogenous variables specified
%
% OUTPUTS
% none
%
% SPECIAL REQUIREMENTS
% none.
% Copyright © 2022-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
if (isfield(options_,'irf_shocks')==0)
shock_names = M_.exo_names;
else
shock_names = options_.irf_shocks;
end
vars_irf = options_.occbin.plot_irf.endo_names;
endo_names_long = options_.occbin.plot_irf.endo_names_long;
endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
length_irf = options_.occbin.plot_irf.tplot;
if isempty(length_irf)
length_irf = options_.irf;
simul_name = options_.occbin.plot_irf.simulname;
if isempty(simul_name)
save_name = simul_name;
else
save_name = [ simul_name '_' ];
end
irflocation_lin = oo_.occbin.linear_irfs;
irflocation_piece = oo_.occbin.irfs;
if isempty(var_list)
var_list = M_.endo_names(1:M_.orig_endo_nbr);
end
[i_var, ~, index_uniques] = varlist_indices(var_list, M_.endo_names);
vars_irf=var_list(index_uniques);
endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
length_irf = options_.irf;
steps_irf = 1;
warning('off','all')
steps_irf = 1;
DirectoryName = CheckPath('graphs',M_.dname);
latexFolder = CheckPath('latex',M_.dname);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([latexFolder '/' M_.fname '_occbin_irfs.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_irfs.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
iexo=[];
for i=1:size(shocknames,1)
itemp = strmatch(shocknames{i},M_.exo_names,'exact');
for var_iter=1:size(shock_names,1)
itemp = strmatch(shock_names{var_iter},M_.exo_names,'exact');
if isempty(itemp)
error(['Shock ',shocknames{i},' is not defined!'])
error(['Shock ',shock_names{var_iter},' is not defined!'])
else
iexo=[iexo, itemp];
end
......@@ -38,104 +78,102 @@ ncols = options_.occbin.plot_irf.ncols;
nrows = options_.occbin.plot_irf.nrows;
npan = ncols*nrows;
plot_grid = options_.occbin.plot_irf.grid;
shocksigns = options_.occbin.plot_irf.shocksigns;
threshold = options_.occbin.plot_irf.threshold;
% Add steady_state
if options_.occbin.plot_irf.add_steadystate
add_stst = options_.occbin.plot_irf.add_steadystate;
else
add_stst = 0;
end
for sss = 1:numel(shocksigns)
shocksign = shocksigns{sss};
for j=1:size(shocknames,1)
%shocknames = M_.exo_names{j};
shocksigns = options_.occbin.plot_irf.shocksigns;
threshold = options_.impulse_responses.plot_threshold;
for shock_sign_iter = 1:numel(shocksigns)
shocksign = shocksigns{shock_sign_iter};
if strcmp(shocksign,'pos')
plot_title_sign='positive';
elseif strcmp(shocksign,'neg')
plot_title_sign='negative';
else
error('Unknown shock sign %s',shocksign);
end
for shock_iter=1:size(shock_names,1)
j1 = 0;
isub = 0;
ifig = 0;
% Variables
% ----------------------
for i = 1:length(vars_irf)
for var_iter = 1:length(vars_irf)
j1=j1+1;
if mod(j1,npan)==1
% vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, .
hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname ' ' shocksign],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]);
% vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, .
screensize = get( groot, 'Screensize' );
hfig = dyn_figure(options_.nodisplay,'name',['OccBin IRFs to ' plot_title_sign ' ' shock_names{shock_iter} ' shock ' simul_name],'OuterPosition' ,[50 50 min(1000,screensize(3)-50) min(750,screensize(4)-50)]);
ifig=ifig+1;
isub=0;
end
isub=isub+1;
isub=isub+1;
if isempty(endo_scaling_factor)
exofactor = 1;
else
exofactor = endo_scaling_factor{i};
end
subplot(nrows,ncols,isub)
irf_field = strcat(vars_irf{i,1},'_',shocknames{j},'_',shocksign);
irfvalues = irflocation_lin.(irf_field);
if add_stst
irfvalues = irfvalues + get_mean(vars_irf{i,1});
end
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'linewidth',2);
hold on
else
exofactor = endo_scaling_factor{var_iter};
end
irfvalues = irflocation_piece.(irf_field);
if add_stst
irfvalues = irfvalues + get_mean(vars_irf{i,1});
subplot(nrows,ncols,isub)
irf_field = strcat(vars_irf{var_iter},'_',shock_names{shock_iter},'_',shocksign);
%%linear IRFs
if ~isfield(irfs.linear,irf_field)
warning('occbin.plot_irfs: no linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
else
irfvalues = irfs.linear.(irf_field);
irfvalues(abs(irfvalues) <threshold) = 0;
if options_.occbin.plot_irf.add_steadystate
irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
end
max_irf_length_1=min(length_irf,length(irfvalues));
plot(irfvalues(1:steps_irf:max_irf_length_1)*exofactor,'linewidth',2);
end
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'r--','linewidth',2);
hold on
plot(irfvalues(1:steps_irf:length_irf)*0,'k-','linewidth',1.5);
% Optional additional IRFs
if nargin > 10
irfvalues = irf3.(irf_field) ;
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'k:','linewidth',2);
end
if nargin > 11
irfvalues = irf4.(irf_field) ;
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'g-.','linewidth',2);
end
if plot_grid
grid on
if ~isfield(irfs.piecewise,irf_field)
warning('occbin.plot_irfs: no piecewise linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
else
irfvalues = irfs.piecewise.(irf_field);
irfvalues(abs(irfvalues) <threshold) = 0;
if options_.occbin.plot_irf.add_steadystate
irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
end
max_irf_length_2=min(length_irf,length(irfvalues));
plot(irfvalues(1:steps_irf:max_irf_length_2)*exofactor,'r--','linewidth',2);
end
xlim([1 (length_irf/steps_irf)]);
% title
if isempty(endo_names_long)
title(regexprep(vars_irf{i},'_',' '))
plot(irfvalues(1:steps_irf:max(max_irf_length_1,max_irf_length_2))*0,'k-','linewidth',1.5);
if options_.occbin.plot_irf.grid
grid on
end
xlim([1 max(max_irf_length_1,max_irf_length_2)]);
if options_.TeX
title(['$' M_.endo_names_tex{i_var(var_iter)}, '$'],'Interpreter','latex')
else
title(endo_names_long{i})
title(M_.endo_names{i_var(var_iter)},'Interpreter','none')
end
% Annotation Box + save figure
% ----------------------
if mod(j1,npan)==0 || (mod(j1,npan)~=0 && i==length(vars_irf))
if mod(j1,npan)==0 || (mod(j1,npan)~=0 && var_iter==length(vars_irf))
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',simulname_,shocknames{j},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_irf_occbin_%s}\n',options_.figures.textwidth*min((j1-1)/ncols,1),...
[DirectoryName '/' ,M_.fname],[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
fprintf(fidTeX,'\\caption{OccBin IRFs to %s shock to %s}\n',plot_title_sign,shock_names{shock_iter});
fprintf(fidTeX,'\\label{Fig:occbin_irfs:%s}\n',[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,'\n');
end
end
end
end
end
end
warning('on','all')
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'%% End Of TeX file.');
fclose(fidTeX);
end
\ No newline at end of file
matlab/+occbin/plot_regimes.m
View file @ 9832f012
function plot_regimes(regimes,M_,options_)
% plot_regimes(regimes,M_,options_)
% Inputs:
% - regimes [structure] OccBin regime information
% - M_ [structure] Matlab's structure describing the model
% - options_ [structure] Matlab's structure containing the options
% Copyright © 2021-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
nperiods = size(regimes,2);
nconstr = length(fieldnames(regimes(1)))/2;
......@@ -13,9 +35,15 @@ else
end
GraphDirectoryName = CheckPath('graphs',M_.dname);
fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ': OccBin regimes']);
fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ' occbin regimes']);
latexFolder = CheckPath('latex',M_.dname);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([latexFolder '/' M_.fname '_occbin_regimes.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_regimes.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
for k=1:nconstr
subplot(nconstr,1,k)
......@@ -36,12 +64,23 @@ for k=1:nconstr
end
end
end
title(['regime ' int2str(k)])
xlabel('historic period')
ylabel('regime expected start')
xlim([1 nperiods])
title(['Regime ' int2str(k)])
xlabel('Historic period')
ylabel('Regime: expected start')
end
annotation('textbox',[.25,0,.15,.05],'String','Unbinding','Color','blue');
annotation('textbox',[.65,0,.15,.05],'String','Binding','Color','red');
annotation('textbox',[.25,0,.15,.05],'String','Slack','Color','blue');
annotation('textbox',[.65,0,.2,.05],'String','Binding','Color','red');
dyn_saveas(fhandle,[GraphDirectoryName, filesep, M_.fname '_occbin_regimes'],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_occbin_regimes}\n',options_.figures.textwidth,[GraphDirectoryName '/' M_.fname]);
fprintf(fidTeX,'\\caption{OccBin: regime evolution over time.}\n');
fprintf(fidTeX,'\\label{Fig:occbin_regimes}\n');
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,'\n');
fclose(fidTeX);
end
matlab/+occbin/set_default_options.m
View file @ 9832f012
......@@ -55,9 +55,7 @@ if ismember(flag,{'forecast','all'})
options_occbin_.forecast.maxit=30;
options_occbin_.forecast.qmc=0;
options_occbin_.forecast.replic=0;
options_occbin_.forecast.sepath=0;
options_occbin_.forecast.SHOCKS0=[];
options_occbin_.forecast.treepath=1; % number of branches
end
if ismember(flag,{'irf','all'})
......@@ -98,17 +96,12 @@ end
if ismember(flag,{'plot_irf','all'})
options_occbin_.plot_irf.add_steadystate = 0;
options_occbin_.plot_irf.exo_names = [];
options_occbin_.plot_irf.endo_names = M_.endo_names;
options_occbin_.plot_irf.endo_names_long = [];
options_occbin_.plot_irf.endo_scaling_factor = [];
options_occbin_.plot_irf.grid = true;
options_occbin_.plot_irf.ncols = 3;
options_occbin_.plot_irf.nrows = 3;
options_occbin_.plot_irf.shocksigns = {'pos','neg'};
options_occbin_.plot_irf.simulname='';
options_occbin_.plot_irf.threshold = 10^-6;
options_occbin_.plot_irf.tplot = [];
end
if ismember(flag,{'plot_shock_decomp','all'})
......
matlab/+pac/+update/parameters.m
View file @ 9832f012
......@@ -13,7 +13,7 @@ function M_ = parameters(pacname, M_, oo_, verbose)
% SPECIAL REQUIREMENTS
% none
% Copyright © 2018-2023 Dynare Team
% Copyright © 2018-2024 Dynare Team
%
% This file is part of Dynare.
%
......@@ -78,6 +78,11 @@ else
numberofcomponents = 0;
end
% Makes no sense to have a composite PAC target with a trend component auxiliary model (where all the variables are non stationnary)
if numberofcomponents>0 && strcmp(pacmodel.auxiliary_model_type, 'trend_component')
error('Composite PAC target not allowed with trend component model.')
end
% Build the vector of PAC parameters (ECM parameter + autoregressive parameters).
pacvalues = M_.params([pacmodel.ec.params; pacmodel.ar.params(1:pacmodel.max_lag)']);
......@@ -90,7 +95,7 @@ if numberofcomponents
% Find the auxiliary variables if any
ad = find(cell2mat(cellfun(@(x) isauxiliary(x, [8 10]), varmodel.list_of_variables_in_companion_var, 'UniformOutput', false)));
if isempty(ad)
error('Cannot find the trend variable in the Companion VAR/VECM model.')
error('Cannot find the trend variable in the Companion VAR model.')
else
for j=1:length(ad)
auxinfo = M_.aux_vars(get_aux_variable_id(varmodel.list_of_variables_in_companion_var{ad(j)}));
......@@ -105,7 +110,7 @@ if numberofcomponents
end
end
if isempty(id{i})
error('Cannot find the trend variable in the Companion VAR/VECM model.')
error('Cannot find the trend variable in the Companion VAR model.')
end
end
end
......@@ -115,7 +120,7 @@ else
% Find the auxiliary variables if any
ad = find(cell2mat(cellfun(@(x) isauxiliary(x, [8 10]), varmodel.list_of_variables_in_companion_var, 'UniformOutput', false)));
if isempty(ad)
error('Cannot find the trend variable in the Companion VAR/VECM model.')
error('Cannot find the trend variable in the auxiliary VAR / Trend component model.')
else
for i=1:length(ad)
auxinfo = M_.aux_vars(get_aux_variable_id(varmodel.list_of_variables_in_companion_var{ad(i)}));
......@@ -130,7 +135,7 @@ else
end
end
if isempty(id{1})
error('Cannot find the trend variable in the Companion VAR/VECM model.')
error('Cannot find the trend variable in the auxiliary VAR / Trend component model.')
end
end
end
......
matlab/@dprior/admissible.m
View file @ 9832f012
......@@ -133,7 +133,7 @@ try
for i = 1:ndraws
draw = o.draw();
if ~o.admissible(draw)
error()
error('problem in admissible')
end
end
t(1) = true;
......
matlab/cherrypick.m
View file @ 9832f012
......@@ -188,8 +188,8 @@ try
end
else
% MCE version of the PAC equation.
[rhs, growthneutralitycorrection] = write_pac_mce_expectations(eqtags{i}, ispac.name);
auxlhs = sprintf('%s_Z', eqtags{i});
auxlhs = M_.endo_names{M_.pac.(ispac.name).mce.z1};
[rhs, growthneutralitycorrection] = write_pac_mce_expectations(eqtags{i}, ispac.name, auxlhs);
if isempty(growthneutralitycorrection)
RHS = strrep(RHS, sprintf('pac_expectation(model_name = %s)', ispac.name), auxlhs);
else
......
matlab/collapse_figures_in_tabgroup.m 0 → 100644
View file @ 9832f012
function collapse_figures_in_tabgroup
% Copyright © 2023 Eduard Benet Cerda
% Copyright © 2024 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
% Create a new figure with results
fig = uifigure(Name = 'Dynare Results');
% Add a grid layout to make sure it spans the entire width
g = uigridlayout(fig, [1,1], Padding = 0);
% Add a tabgroup
tg = uitabgroup(g);
% Find all figures with Dynare Tag
f = findobj('-regexp','tag','dynare-figure');
% Loop over all figures and reparent them to a tab. Avoid legends, they are
% automatically tied.
for j = 1 : numel(f)
t = uitab(tg);
types = arrayfun(@class, f(j).Children, 'UniformOutput', false);
idx = ismember(types, 'matlab.graphics.illustration.Legend'); % no need to reparent legends
set(f(j).Children(~idx),'Parent',t)
t.Title = f(j).Name;
delete(f(j))
end
\ No newline at end of file
matlab/default_option_values.m
View file @ 9832f012
......@@ -335,6 +335,7 @@ options_.simul.homotopy_step_size_increase_success_count = 3;
options_.simul.homotopy_initial_step_size = 1;
options_.simul.homotopy_linearization_fallback = false;
options_.simul.homotopy_marginal_linearization_fallback = 0; % Size of the step used for the marginal linearization; 0 means disabled
options_.simul.homotopy_exclude_varexo = [];
% Options used by perfect_foresight_* commands when they compute the steady
% state corresponding to a terminal condition
......
matlab/discretionary_policy/discretionary_policy.m
View file @ 9832f012
......@@ -35,6 +35,9 @@ origorder = options_.order;
options_.order = 1;
[info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, var_list);
if info(1)
return;
end
oo_.steady_state = oo_.dr.ys;
if ~options_.noprint
......
matlab/discretionary_policy/discretionary_policy_1.m
View file @ 9832f012
......@@ -42,6 +42,7 @@ if options_.steadystate_flag
[ys,M_.params,info] = evaluate_steady_state_file(endo_steady_state,[exo_steady_state; exo_det_steady_state],M_, ...
options_,~options_.steadystate.nocheck);
if info(1)
params=M_.params;
return;
end
else
......@@ -81,7 +82,7 @@ iyr0 = find(iyv(:)) ;
z = z(iyr0);
it_ = M_.maximum_lag + 1 ;
[junk,jacobia_] = feval([M_.fname '.dynamic'],z,zeros(M_.exo_nbr+M_.exo_det_nbr,klen), M_.params, ys, it_);
[junk,jacobia_] = feval([M_.fname '.dynamic'],z,zeros(klen,M_.exo_nbr+M_.exo_det_nbr), M_.params, ys, it_);
if max(abs(junk))>options_.solve_tolf
info = 65; %the model must be written in deviation form and not have constant terms or have a steady state provided
return;
......@@ -121,5 +122,7 @@ T=H(dr.order_var,dr.order_var);
dr.ghu=G(dr.order_var,:);
if M_.maximum_endo_lag
Selection=M_.lead_lag_incidence(1,dr.order_var)>0;%select state variables
else
Selection=[];
end
dr.ghx=T(:,Selection);
\ No newline at end of file
matlab/display_problematic_vars_Jacobian.m
View file @ 9832f012
......@@ -16,7 +16,7 @@ function []=display_problematic_vars_Jacobian(problemrow,problemcol,M_,x,type,ca
% none.
%
% Copyright © 2014-2023 Dynare Team
% Copyright © 2014-2024 Dynare Team
%
% This file is part of Dynare.
%
......@@ -64,15 +64,15 @@ if strcmp(type,'dynamic')
eq_nbr, type_string, M_.endo_names{var_index}, M_.endo_names{var_index}, x(var_index));
end
elseif problemcol(ii)<=max(max(M_.lead_lag_incidence)) && var_index>M_.orig_endo_nbr % auxiliary vars
if M_.aux_vars(1,problemcol(ii)-M_.orig_endo_nbr).type==6 %Ramsey Lagrange Multiplier
if M_.aux_vars(1, var_index-M_.orig_endo_nbr).type==6 %Ramsey Lagrange Multiplier
if problemrow(ii)<=initial_aux_eq_nbr
eq_nbr = problemrow(ii);
fprintf('Derivative of Auxiliary Equation %d with respect to %s of Langrange multiplier of equation %s (initial value: %g) \n', ...
eq_nbr, type_string, M_.aux_vars(1,problemcol(ii)-M_.orig_endo_nbr).eq_nbr, x(problemcol(ii)));
fprintf('Derivative of Auxiliary Equation %d with respect to %s of Lagrange multiplier of equation %s (initial value: %g) \n', ...
eq_nbr, type_string, M_.aux_vars(1, var_index-M_.orig_endo_nbr).eq_nbr, x(var_index));
else
eq_nbr = problemrow(ii)-initial_aux_eq_nbr;
fprintf('Derivative of Equation %d with respect to %s of Langrange multiplier of equation %s (initial value: %g) \n', ...
eq_nbr, type_string, M_.aux_vars(1,problemcol(ii)-M_.orig_endo_nbr).eq_nbr, x(problemcol(ii)));
fprintf('Derivative of Equation %d with respect to %s of Lagrange multiplier of equation %s (initial value: %g) \n', ...
eq_nbr, type_string, M_.aux_vars(1, var_index-M_.orig_endo_nbr).eq_nbr, x(var_index));
end
else
if problemrow(ii)<=initial_aux_eq_nbr
......@@ -149,4 +149,4 @@ elseif strcmp(type, 'static')
fprintf('%s If you are using model-local variables (# operator), check their values as well.\n', caller_string)
else
error('Unknown Type')
end
\ No newline at end of file
end
matlab/distributions/mode_and_variance_to_mean.m
View file @ 9832f012
......@@ -177,8 +177,7 @@ if (distribution==4)% Beta distribution
if length(idx)>1
error('Multiplicity of solutions for the beta distribution specification.')
elseif isempty(idx)
disp('No solution for the beta distribution specification. You should reduce the variance.')
error();
error('No solution for the beta distribution specification. You should reduce the variance.')
end
alpha = real_roots(idx);
beta = ((1-m)*alpha+2*m-1)/m;
......
matlab/distributions/multivariate_student_pdf.m
View file @ 9832f012
......@@ -4,9 +4,10 @@ function density = multivariate_student_pdf(X,Mean,Sigma_upper_chol,df)
%
% INPUTS
%
% X [double] 1*n vector
% X [double] dim*n vector
% Mean [double] 1*n vector, expectation of the multivariate random variable.
% Sigma_upper_chol [double] n*n matrix, upper triangular Cholesky decomposition of Sigma (the "covariance matrix").
% Sigma_upper_chol [double] n*n matrix, upper triangular Cholesky decomposition of Sigma (the covariance
% matrix up to a factor df/(df-2)).
% df [integer] degrees of freedom.
%
% OUTPUTS
......@@ -14,7 +15,7 @@ function density = multivariate_student_pdf(X,Mean,Sigma_upper_chol,df)
%
% SPECIAL REQUIREMENTS
% Copyright © 2003-2017 Dynare Team
% Copyright © 2003-2024 Dynare Team
%
% This file is part of Dynare.
%
......@@ -30,7 +31,27 @@ function density = multivariate_student_pdf(X,Mean,Sigma_upper_chol,df)
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
nn = length(X);
t1 = gamma( .5*(nn+df) ) / ( gamma( .5*nn ) * (df*pi)^(.5*nn) ) ;
if df <=0
error('Degrees of freedom ''df'' must be positive')
end
[~, nn] = size(X);
t1 = gamma( .5*(nn+df) ) / ( gamma( .5*df ) * (df*pi)^(.5*nn) );
t2 = t1 / prod(diag(Sigma_upper_chol)) ;
density = t2 / ( 1 + (X-Mean)*(Sigma_upper_chol\(transpose(Sigma_upper_chol)\transpose(X-Mean)))/df )^(.5*(nn+df));
\ No newline at end of file
density = t2 ./ ( 1 + sum(((X-Mean)/Sigma_upper_chol).^2, 2)/df ).^(.5*(nn+df));
return % --*-- Unit tests --*--
%@test:1
% Normal density
try
m1 = multivariate_student_pdf([1 2],0,chol([1 0.5; 0.5 1]),10)
t(1) = true;
catch
t(1) = false;
end
%$
if t(1)
t(2) = dassert(m1,0.02440738691918476,1e-6);
end
T = all(t);
%@eof:1
matlab/dsample.m 0 → 100644
View file @ 9832f012
This diff is collapsed.
dseries @ c7fb0bd5
Compare c799f003...c7fb0bd5
Subproject commit c799f003eb8d8ca51ef2926f1e9deec1f80cb5e2
Subproject commit c7fb0bd5177ecf5c7df00bd2d821a576b4e43127
matlab/dyn_figure.m
View file @ 9832f012
......@@ -12,7 +12,7 @@ function h = dyn_figure(nodisplay, varargin)
% SPECIAL REQUIREMENTS
% none
% Copyright © 2012-2017 Dynare Team
% Copyright © 2012-2024 Dynare Team
%
% This file is part of Dynare.
%
......@@ -30,7 +30,7 @@ function h = dyn_figure(nodisplay, varargin)
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
if nodisplay
h = figure(varargin{:},'visible','off');
h = figure(varargin{:},'visible','off','tag','dynare-figure');
else
h = figure(varargin{:});
h = figure(varargin{:},'tag','dynare-figure');
end
matlab/dyn_forecast.m
View file @ 9832f012
......@@ -54,6 +54,16 @@ elseif nargin==6
mean_varobs=dataset_info.descriptive.mean';
end
if options_.order>1 && M_.exo_det_nbr == 0
error('forecasting without varexo_det does not support order>1.')
end
if options_.order>2 && M_.exo_det_nbr > 0
error('forecasting with varexo_det does not support order>2.')
end
if options_.order==2 && options_.pruning
error('forecasting with varexo_det does not support pruning.')
end
oo_=make_ex_(M_,options_,oo_);
maximum_lag = M_.maximum_lag;
......