- Nov 09, 2023
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Marco Ratto authored
posterior importance sampling, which uses metropolis draws for linear model and computes PKF likelihood
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
handle heteroskedastic for plotting smoothed shocks
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Marco Ratto authored
add wrapper, with regime search engine, for PKF kalman update, that applies to both filter and smoother.
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- Mar 06, 2023
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Marco Ratto authored
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- Feb 14, 2023
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Marco Ratto authored
distinguish between TolFun (optimizer termination criterion) and TolGstep/TolGstepRel, used for tuning gradient step. So, we can keep for example TolFun=1.e-5, while allowing coarser values for TolGstep. this may help when maximizing non smooth surfaces (e.g. PKF or very large models), where numerical noise may count. By default TolGstep=TolFun as in usual historical behavior.
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- Feb 13, 2023
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Marco Ratto authored
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- Feb 08, 2023
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
Manually resolved conflicts from 4.7 JRC branch
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Marco Ratto authored
add utillities for foreast, irf, plot_irf and squeeze SD into occbin, and their relevant options [this commit must be better split before making a PR on gitlab]
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Marco Ratto authored
new algorithm for weighted SD with occbin, where weights for the regime effect are common to all variables and set based on target variable, e.g. shadow rate in the case of ZLB.
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
(cherry picked from commit 09555f4b3461cfd31bfc411ee222aadb0c606707)
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Marco Ratto authored
New option to slice that runs optimiser steps instead of slice draws: with this one can run optimisers in parallel, starting from different random locations. (cherry picked from commit 6d03f78e)
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- Feb 07, 2023
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Sébastien Villemot authored
[skip ci]
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Sébastien Villemot authored
By the way, add some explanatory words. [skip ci]
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Sébastien Villemot authored
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Sébastien Villemot authored
[skip ci]
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Sébastien Villemot authored
occbin enhancements and bug fixes See merge request Dynare/dynare!2123
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- Feb 06, 2023
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Sébastien Villemot authored
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Sébastien Villemot authored
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Marco Ratto authored
- 321 when simulation within occbin smoother fails - 322 when occbin smoother does not converge.
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Marco Ratto authored
bug fix and avoid missing output arguments and when smoother exits after non convergence of simulation.
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- Feb 03, 2023
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
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Marco Ratto authored
make sure also ALL updated variables in period 1 are reconstructed with smoother_redux. test model changed accordingly.
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Marco Ratto authored
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Marco Ratto authored
eliminate buggy and useless check for existence of guess regime variable. this may create bugs in running PKF update step!
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Marco Ratto authored
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Marco Ratto authored
adjust smoother redux test, to consider that now ALL smoothed variables must be properly reconstructed also in period 1
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Marco Ratto authored
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Marco Ratto authored
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