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Add initial condition for mh_tune_jscale. 

Closes #1717.
time-shift
Stéphane Adjemian (Charybdis) 2020-02-29 11:12:44 +01:00
parent 2fcd22059b
commit 2083246a35
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
7 changed files with 158 additions and 88 deletions
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13
doc/manual/source/the-model-file.rst
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@ -4642,8 +4642,8 @@ block decomposition of the model (see :opt:`block`).
Note also that for the Random Walk Metropolis Hastings
algorithm, it is possible to use option :opt:`mh_tune_jscale
<mh_tune_jscale [= DOUBLE]>`, to automatically tune the value
of ``mh_jscale``. In this case, the ``mh_jscale``-value must
not be set.
of ``mh_jscale``. In this case, the ``mh_jscale`` option must
not be used.
.. option:: mh_init_scale = DOUBLE
@ -4680,12 +4680,15 @@ block decomposition of the model (see :opt:`block`).
stochastic nature of the algorithm (the proposals and the
initial conditions of the markov chains if
``mh_nblocks>1``). This option is only available for the
Random Walk Metropolis Hastings algorithm.
Random Walk Metropolis Hastings algorithm. Must not be used in conjunction with
:opt:`mh_jscale = DOUBLE`.
.. option:: mh_tune_jscale_initial_guess = DOUBLE
.. option:: mh_tune_guess = DOUBLE
Specifies the initial value for the :opt:`mh_tune_jscale
<mh_tune_jscale [= DOUBLE]>`-option. Default: ``0.2``.
<mh_tune_jscale [= DOUBLE]>` option. Default: ``0.2``. Must not
be set if :opt:`mh_tune_jscale <mh_tune_jscale [= DOUBLE]>` is
not used.
.. option:: mh_recover

2
preprocessor

@ -1 +1 @@
Subproject commit 9ff10f482aa51c23c7fe4fd5be4b66295c871179
Subproject commit 2a048a487c02ee420e20a0082abb8cb411b562bc

7
tests/Makefile.am
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@ -397,7 +397,9 @@ XFAIL_MODFILES = ramst_xfail.mod \
identification/LindeTrabandt/LindeTrabandt2019_xfail.mod \
steady_state/Linear_steady_state_xfail.mod \
optimal_policy/Ramsey/ramsey_histval_xfail.mod \
example1_extra_exo_xfail.mod
example1_extra_exo_xfail.mod \
estimation/tune_mh_jscale/fs2000_1_xfail.mod \
estimation/tune_mh_jscale/fs2000_2_xfail.mod
MFILES = initval_file/ramst_initval_file_data.m
@ -915,7 +917,8 @@ EXTRA_DIST = \
deterministic_simulations/lola_data.mat \
k_order_perturbation/fs2000k++.mod \
lmmcp/sw-common-header.inc \
lmmcp/sw-common-footer.inc
lmmcp/sw-common-footer.inc \
estimation/tune_mh_jscale/fs2000.inc
if ENABLE_MATLAB

97
tests/estimation/tune_mh_jscale/fs2000.inc Normal file
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@ -0,0 +1,97 @@
/*
* Copyright © 2004-2020 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 <http://www.gnu.org/licenses/>.
*/
var m P c e W R k d n l gy_obs gp_obs y dA;
varexo e_a e_m;
parameters alp bet gam mst rho psi del;
alp = 0.33;
bet = 0.99;
gam = 0.003;
mst = 1.011;
rho = 0.7;
psi = 0.787;
del = 0.02;
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
W = l/n;
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
gy_obs = dA*y/y(-1);
gp_obs = (P/P(-1))*m(-1)/dA;
end;
shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
steady_state_model;
dA = exp(gam);
gst = 1/dA;
m = mst;
khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
n = xist/(nust+xist);
P = xist + nust;
k = khst*n;
l = psi*mst*n/( (1-psi)*(1-n) );
c = mst/P;
d = l - mst + 1;
y = k^alp*n^(1-alp)*gst^alp;
R = mst/bet;
W = l/n;
ist = y-c;
q = 1 - d;
e = 1;
gp_obs = m/dA;
gy_obs = dA;
end;
steady;
check;
estimated_params;
alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
rho, beta_pdf, 0.129, 0.100;
psi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
end;
varobs gp_obs gy_obs;

83
tests/estimation/tune_mh_jscale/fs2000.mod
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2004-2018 Dynare Team
* Copyright © 2004-2020 Dynare Team
*
* This file is part of Dynare.
*
@ -17,84 +17,7 @@
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
var m P c e W R k d n l gy_obs gp_obs y dA;
varexo e_a e_m;
parameters alp bet gam mst rho psi del;
alp = 0.33;
bet = 0.99;
gam = 0.003;
mst = 1.011;
rho = 0.7;
psi = 0.787;
del = 0.02;
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
W = l/n;
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
gy_obs = dA*y/y(-1);
gp_obs = (P/P(-1))*m(-1)/dA;
end;
shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
steady_state_model;
dA = exp(gam);
gst = 1/dA;
m = mst;
khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
n = xist/(nust+xist);
P = xist + nust;
k = khst*n;
l = psi*mst*n/( (1-psi)*(1-n) );
c = mst/P;
d = l - mst + 1;
y = k^alp*n^(1-alp)*gst^alp;
R = mst/bet;
W = l/n;
ist = y-c;
q = 1 - d;
e = 1;
gp_obs = m/dA;
gy_obs = dA;
end;
steady;
check;
estimated_params;
alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
rho, beta_pdf, 0.129, 0.100;
psi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
end;
varobs gp_obs gy_obs;
@#include "fs2000.inc"
estimation(order=1, datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=20000, mh_nblocks=2, mh_tune_jscale=0.33);
@ -102,4 +25,4 @@ mhdata = load('fs2000/metropolis/fs2000_mh_history_0.mat');
if any(abs(mhdata.record.AcceptanceRatio-options_.mh_tune_jscale.target)>options_.mh_tune_jscale.c2)
error('Automagic tuning of the MCMC proposal scale parameter did not work as expected!')
end
end

22
tests/estimation/tune_mh_jscale/fs2000_1_xfail.mod Normal file
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@ -0,0 +1,22 @@
/*
* Copyright © 2020 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 <http://www.gnu.org/licenses/>.
*/
@#include "fs2000.inc"
estimation(order=1, datafile='../fsdat_simul', nobs=192, loglinear, mh_jscale=0.2, mh_replic=20000, mh_nblocks=2, mh_tune_jscale=0.33);

22
tests/estimation/tune_mh_jscale/fs2000_2_xfail.mod Normal file
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@ -0,0 +1,22 @@
/*
* Copyright © 2020 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 <http://www.gnu.org/licenses/>.
*/
@#include "fs2000.inc"
estimation(order=1, datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=20000, mh_nblocks=2, mh_tune_guess=0.33);