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Updated tests for nonlinear filters. 

(cherry picked from commit e2cf2260dbd5cceeade11f0617ab33de2f8ee72b)
time-shift
Frédéric Karamé 2018-06-01 11:52:13 +02:00 committed by Stéphane Adjemian(Charybdis)
parent 461c12e21a
commit 1c9e186d57
1 changed files with 19 additions and 11 deletions
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30
tests/particle/dsge_base2.mod
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@ -1,9 +1,9 @@
// DGP
@#ifndef RISKY_CALIBRATION
@#define RISKY_CALIBRATION = 0
@#define RISKY_CALIBRATION = 1
@#endif
@#ifndef EXTREME_CALIBRATION
@#define EXTREME_CALIBRATION = 1
@#define EXTREME_CALIBRATION = 0
@#endif
@#ifndef BENCHMARK_CALIBRATION
@#define BENCHMARK_CALIBRATION = 0
@ -11,7 +11,10 @@
// ALGORITHM
@#ifndef LINEAR_KALMAN
@#define LINEAR_KALMAN = 0
@#define LINEAR_KALMAN = 1
@#endif
@#ifndef NON_LINEAR_KALMAN
@#define NON_LINEAR_KALMAN = 0
@#endif
@#ifndef ALGO_SIR
@#define ALGO_SIR = 0
@ -29,7 +32,7 @@
@#define ALGO_GCF = 0
@#endif
@#ifndef ALGO_GUF
@#define ALGO_GUF = 1
@#define ALGO_GUF = 0
@#endif
@#ifndef ALGO_GMPF
@#define ALGO_GMPF = 0
@ -86,7 +89,7 @@ stderr l, uniform_pdf,,, 0.00001, 0.1;
stderr i, uniform_pdf,,, 0.00001, 0.1;
end;
@#if RISKY_CALIBRATION
@#if EXTREME_CALIBRATION
estimated_params_init;
alp, 0.4;
bet, 0.99;
@ -101,7 +104,7 @@ end;
end;
@#endif
@#if EXTREME_CALIBRATION
@#if RISKY_CALIBRATION
estimated_params_init;
alp, 0.4;
bet, 0.99;
@ -118,8 +121,9 @@ end;
varobs y l i ;
options_.mode_check.neighbourhood_size = .01 ;
options_.mode_check.neighbourhood_size = .1 ;
options_.mode_check.number_of_points = 250;
options_.threads.local_state_space_iteration_2 = 4;
@#if EXTREME_CALIBRATION
data(file='./extreme.m');
@ -135,11 +139,15 @@ options_.mode_check.number_of_points = 250;
@#if LINEAR_KALMAN
% estimation(nograph,order=1,mode_compute=8,mh_replic=0,mode_check);
estimation(nograph,order=1,mode_compute=8,mh_replic=0,mode_check);
@#endif
@#if NON_LINEAR_KALMAN
estimation(nograph,order=2,filter_algorithm=nlkf,mode_compute=8,mh_replic=0);
@#endif
@#if ALGO_SIR
estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,mode_compute=8);
@#endif
@#if ALGO_SISmoothR
@ -149,7 +157,7 @@ options_.mode_check.number_of_points = 250;
@#endif
@#if ALGO_APF
estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=10000,resampling=none,mh_replic=0,mode_compute=8,mode_check);
@#endif
@#if ALGO_GPF
@ -163,7 +171,7 @@ options_.mode_check.number_of_points = 250;
@#endif
@#if ALGO_GUF
estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=4);
estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8);
estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8,mode_check);
@#endif