Add initial condition for mh_tune_jscale.

Closes #1717.

doc/manual/source/the-model-file.rst

@@ -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
+       of ``mh_jscale``. In this case, the ``mh_jscale`` option must
-       not be set.
+       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
 

preprocessor

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

tests/Makefile.am

@@ -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

tests/estimation/tune_mh_jscale/fs2000.inc

@@ -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;

tests/estimation/tune_mh_jscale/fs2000.mod

@@ -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;
+@#include "fs2000.inc"
-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;
 
 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

tests/estimation/tune_mh_jscale/fs2000_1_xfail.mod

@@ -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);

tests/estimation/tune_mh_jscale/fs2000_2_xfail.mod

@@ -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);