Docs calibration howto#296

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Commits on Apr 23, 2026

Comment out unused parameters in NESSAI configuration for clarity
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Enhance Dynare comparison: add handling for pruned third-order models and skip comparisons for higher-order IRFs and variance when applicable
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Update Turing dependency version to 0.44 in Project.toml
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Add Gali benchmark case handling for pruned third-order variance comparisons
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Refactor Dynare comparison: separate higher-order model handling into distinct constants and enhance benchmark reporting for first-order solves

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Add caching option to first order solution calculation
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Refactor Dynare benchmark calculations: remove NSSS from total time calculations and update related comments

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Add total time reporting for second and third-order solves in Dynare comparison

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Fix nested sampling configuration: uncomment poolsize and drawsize parameters for NESSAI

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Remove BenchmarkTools dependency from Project.toml

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Update benchmark comparison to use median of 500 runs instead of 100

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Commits on Apr 24, 2026

update sampler settings

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Add FRBUS model to test cases and update export_model function to conditionally include moments

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Copilot/unit root covariance (#287)

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Commits on Apr 25, 2026

Commits on Apr 26, 2026

Adjust tolerance levels for NAWM model in comparison tests to improve accuracy
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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Add dqgmres algorithm support to Lyapunov equation solver and documentation

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Add implementation plan for Hill-Climbing / Co-Area Nested Sampling Hybrid algorithm
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Remove implementation plan and performance run script for hybrid algorithm
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show tol on error

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Add method check for calculate_jacobian in benchmark function

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works on windows

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Merge branches 'optim_LFI_alloc' and 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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add MKL for windows

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move equaiton modification codes to the right script

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Refactor comparison functions to improve readability and maintainability; replace safe_isapprox with isapprox and add rtol, atol parameters

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Update benchmark comparison output to reflect MacroModelling instead of Julia

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Add Smets-Wouters models to first and second order test sets; add verbose setting
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Enhance documentation for BPTT pullback in rrule; clarify purpose and functionality

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describe eq modif in docs

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Adjust unit root tolerance in generalized Schur factorization to improve stability and prevent LAPACK reordering failures

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Commits on Apr 27, 2026

move kron and lu calls to preallocated versions

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Refactor LU factorization in inversion filter and conditional forecast functions for improved numerical stability

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compare caldara resutls as well
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Enhance inference efficiency for Mooncake primitives by implementing a short-circuit in type checking; and restrict bounds until DI/Turing/Mooncake compat resolves

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fix path for windows comparison

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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fix lu calls in rrules

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Enhance Dynare comparison scripts with metadata handling and robust file operations; add staging for output directories in thread sweep process.

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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Add LU transpose solve functions and enhance higher order workspace management

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Add how-to guide for modifying a model after definition

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Refactor __init__ function in MooncakeExt.jl to comment out the implementation for clarity

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Update modify_equations.md to clarify equation processing
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Enhance Dynare version retrieval in run_all_dynare_windows.ps1 for improved robustness
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Refactor argument parsing and enhance environment summary in compare_thread_sweep_results.jl
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Add example invocation to run_thread_sweep_windows.ps1 for clarity
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Commits on Apr 28, 2026

Add release notes detailing compatibility updates and solver enhancements
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Remove variance decomposition comparisons and related outputs from Dynare result scripts

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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Update solver tolerances for QME in AdTolerances and FirstOrderTolerances

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macos version of thread sweep

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Refactor invoke_julia_script to handle extra script arguments more efficiently
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Commits on Apr 29, 2026

Mooncake 0.5.25
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Update tolerance levels and benchmark model sets in comparison scripts
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Add speed benchmarks documentation for MacroModelling.jl performance comparison

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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Revert QME acceptance_tol from 1e-6 back to 1e-7

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finetune tolerance on qme init guess acceptance

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Commits on Apr 30, 2026

fix qme tol for finitediff tests

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fix type instability issue in rrule
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fix naming issue in tests
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add correlation to get_statistics

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test and docs on correlation

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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fix forwarddiff test failures

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add todo
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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refactor rrule logic to conditionally apply calculations based on presample_periods. fixing test fails

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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improve docstrings on eq mod

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enhance documentation to include model modification capabilities and revision history

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remove _ prefix from names throughout

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move macro up in file

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move solution calcs up
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implement warmup iterations for first order inversion loglikelihood rrule, enhancing state propagation and gradient backpropagation

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Commits on May 1, 2026

refactor logabsdets handling in calculate_loglikelihood rrule to prevent gradient contributions from warmup iterations

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fix: correct variable name for BARTELS_STEWART_AVAILABLE in MatrixEquationsExt.jl

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refactor: adjust tolerance levels in functionality tests for improved precision

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refactor: rename internal functions for clarity in MooncakeExt.jl

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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refactor: enhance precision in functionality tests by adding absolute tolerance and NaN handling

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fix: improve correlation statistics by filtering non-degenerate model variables

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Expand DispatchDoctor coverage to numerical source files

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test(get_statistics): restrict correlation jacobian to non-degenerate vars

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Commits on May 2, 2026

Consolidate DispatchDoctor wraps to single-block-per-file pattern

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refactor: enhance correlation handling in get_statistics and rrule functions to filter degenerate variables; fix errors

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feat: add covariance to correlation conversion functions and update get_statistics to utilize them

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DispatchDoctor: wrap includes, drop per-file @stable blocks

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refactor: standardize random seed initialization across test files

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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relax tols

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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fix typo

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Fix JET CI: incremental analysis to identify timeout source

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fix dispatch doctor failures

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mark functions as unstable: replace_dynamic_symbols and parse_filter_term

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dispatchdoctor warnings for now, then put unstable, then fix it

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DD errors

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Fix all JET.jl static analysis issues (0 errors)

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Commits on May 3, 2026

fix resize error and DD fails

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rm task files

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Refactor JET tests by removing redundant chunks and simplifying static analysis call

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Update Turing dependency version to 0.45

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del agent progress file
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fix compat
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Fix BoundsError in sparse matrix construction

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del files
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Fix get_statistics BoundsError, get_moments AssertionError, and isapprox tolerance

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old JET formulation

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Remove @stable wrappers around include() calls to fix JET.jl

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Replace MCMCChains with FlexiChains in estimation paths
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Add @stable default_mode="disable" inside each included file

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Remove deprecated lessons and todo documentation; validate Pigeons to FlexiChains conversion
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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pigeons compat with flexichains issue

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Refactor test_helpers.jl: remove unused Statistics import and update mean function call to FlexiChains.mean

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add gitignore
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc
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Fix flaky get_statistics derivative tests: use central_fdm for std_dev and covariance

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fix flxeichains compat issues with mean

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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rm dead code

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Enhance functionality tests with detailed diagnostics for isapprox failures

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Add how-to guide for calibration equations

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Commits on May 4, 2026

Refactor shock decomposition handling to include calibration parameters and streamline KeyedArray creation

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try with negative slight perturbation

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Commits on May 5, 2026

Add post-startup wall-clock timers to dynare comparison scripts

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Fix: replace bc with awk for elapsed time calculation

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Add runtime CSV loading and wall-clock timing comparison to Dynare results

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Commits on May 6, 2026

Exclude benchmark loops from wall-clock timing table

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Fix get_moments derivative tests: use central_fdm instead of forward_fdm

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Add execution order for models and update sorting function in Dynare comparison

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Cache squared matrices in doubling algorithms for AD speedup (#294)

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Add Smets-Wouters 2007 model to execution order and third-order models

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Commits on May 7, 2026

do sw03 third order, sw07 3rd order crashes
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new set of mdoels to test

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Commits on May 8, 2026

Refactor get_loglikelihood function to remove unstable annotation and update nsss_solver.jl with stable mode

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Refactor factorization functions to remove unstable annotations and streamline calls in QR and LU operations

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Add correlation flag and update get_correlation function to support correlation matrix

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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test and docs for corr in get_moments

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Fix jldoctest block delimiters in get_moments docstring

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Commits on May 9, 2026

more release notes

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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fix type stability issues in nsss_solver.jl

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change default_mode from "error" to "disable" in nsss_solver.jl

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Refactor factorization functions to support FastLapack and Julia implementations

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Refactor factorization calls in rrule functions to simplify FastLapack integration

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Refactor get_correlation, get_variance, get_standard_deviation, get_covariance, and get_mean functions to allow setting derivatives and define default behaviour
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fix type stability in get_relevant_steady_state_and_state_update

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Update factorization calls to support FastLapack in NSSS and first-order solution functions

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type stable get_irf and get_statistics

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use get instead of ordering for derivatives and get_moments

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type-stable get_solution: uniform Tuple{Vector{S}, Vector{AbstractMatrix{S}}, Bool} return

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refactor: update default_mode to "error" and improve type stability in stochastic steady state functions

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Rename _get_solution_fail to get_solution_fail for consistency in function naming

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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fix inversion and find shocks

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replace try-catch with explicit checks in rrules inversion filter

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Add @turbo to SIMD-friendly loops in nonlinear solver and NSSS cache

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refactor: make ss_solve_block type parameterized for improved flexibility

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Add @turbo to additional SIMD-friendly loops

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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refactor: update obc_state_update function signature for improved type safety

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Make shock_idx consistently Vector{Int} in impulse_response_function.jl

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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refactor: enforce boolean type for constraints_violated in obc_state_update function

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Optimize mul_compressed_kron³: row-slice cache + division→multiplication

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Remove @unstable annotations and fix type stability in options_and_caches.jl

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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fix: use qr for non-square jacobians in inversion filter rrules

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fix: use qr for non-square jacobians in inversion filter rrules

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Mark Higher_order_workspace as unstable for future improvements

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Handle NaN in correlation-related tests via nans=true

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mark several functions as unstable for future improvements

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Make Higher_order_workspace type-stable by using positional args

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Commits on May 10, 2026

Make all workspace constructors type-stable and fix LinearCache return instabilities

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Refactor get_NSSS_and_parameters to directly use post_complete_parameters

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Refactor calculate_first_order_solution to use post_complete_parameters directly

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use precomputed indices in inversion

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fix: clamp noise-level off-diagonal correlations to zero

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Increase FDM order from 3 to 5 for get_statistics derivative tests

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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Add targeted JET test set for hot-path functions

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feat: add new test sets for gradient checks and gali pruned 2nd order estimation

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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feat: update test set for system prior estimation and add corresponding test file

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Expand JET hot-paths test set to 47 targeted function analyses

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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

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feat: update release notes with new features and follow-up tasks
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Fix JET type instabilities in mat_mult_kron and get_conditional_forecast

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Add unthunk calls to pullbacks for ChainRulesCore robustness

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fix: replace @turbo with @inbounds for improved performance in x_kron_II! function
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Expand JET hot-path tests to 64 cases

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Thore Kockerols
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Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
fix: disable DispatchDoctor for JET test sets

authored and
Thore Kockerols
committed
Guard correlation noise clamping with AbstractFloat type check

authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
Add posterior summary statistics output to estimation tests

Thore Kockerols
authored and
Thore Kockerols
committed
Add FRB/US model documentation and source information
thorek1
committed
Update release notes to include analytical OBC Jacobian and follow-up tasks for documentation and testing improvements
thorek1
committed
Increase finite difference approx points for improved gradient calculations in functionality tests

Thore Kockerols
authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
fix: handle Sylvester solver failures in first-order solution derivatives

authored and
Thore Kockerols
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fix: handle solver failures in Sylvester/Lyapunov/Kalman rrule pullbacks

authored and
Thore Kockerols
committed

Commits on May 11, 2026

Fix NSSS solver cache reset

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Thore Kockerols
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Fix square obs test: use linearly independent observables

authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
extend jet hot paths

Thore Kockerols
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Thore Kockerols
committed
Add Mooncake NUTS sampling and gradient tests to system prior estimation

authored and
Thore Kockerols
committed
Use standard sum-of-terms relative residual for QME solver

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Thore Kockerols
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Add borrowing constraint OBC model to basic test set

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Thore Kockerols
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Commits on May 12, 2026

Update docstring example outputs to match current package version

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Thore Kockerols
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Make doctests pass: add silent=true to @parameters, fix multi-output blocks

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Thore Kockerols
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updated generate_plots.jl and the plots generated by it

Thore Kockerols
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Thore Kockerols
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FS2000 estimation

Thore Kockerols
authored and
Thore Kockerols
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new charts

Thore Kockerols
authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed
Merge branch 'optim_LFI_alloc' of https://github.com/thorek1/MacroModelling.jl into optim_LFI_alloc

Thore Kockerols
authored and
Thore Kockerols
committed

Commits on May 13, 2026

make tests pass (lower nested sampling resolution)

Thore Kockerols
authored and
Thore Kockerols
committed
Update functionality_tests.jl lower tol on irf test
thorek1
authored
Merge branch 'optim_LFI_alloc' into docs-calibration-howto
thorek1
authored