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Correction of a bug in bvar-dsge estimation. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1338 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2007-07-05 12:32:28 +00:00
parent d75d2a459b
commit 254a2df272
2 changed files with 24 additions and 16 deletions
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39
matlab/dynare_estimation.m
View File

@ -13,6 +13,11 @@ for i = 1:size(M_.endo_names,1)
end
end
if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
options_.bvar_dsge = 1;
end
if options_.order > 1
options_.order = 1;
end
@ -20,6 +25,9 @@ end
if options_.prefilter == 1
options_.noconstant = 1;
end
if options_.bvar_dsge
options_.noconstant = 1;
end
if options_.filtered_vars ~= 0 & options_.filter_step_ahead == 0
options_.filter_step_ahead = 1;
@ -204,7 +212,6 @@ if length(options_.mode_file) > 0 & options_.posterior_mode_estimation
eval(['load ' options_.mode_file ';']');
end
%% Compute the steady state:
set_parameters(xparam1);
if options_.steadystate_flag% if the _steadystate.m file is provided.
@ -214,9 +221,9 @@ else% if the steady state file is not provided.
oo_.steady_state = dd.ys; clear('dd');
end
%% compute sample moments if needed (bvar-dsge)
if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
if options_.bvar_dsge~isempty(strmatch('dsge_prior_weight',M_.param_names))
options_.noconstant = 1;
if options_.noconstant
evalin('base',['[mYY,mXY,mYX,mXX,Ydata,Xdata] = ' ...
'var_sample_moments(options_.first_obs,options_.first_obs+options_.nobs-1,options_.varlag,-1);'])
@ -234,7 +241,7 @@ end
%% Estimation of the posterior mode or likelihood mode
if options_.mode_compute > 0 & options_.posterior_mode_estimation
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
fh=str2func('DsgeLikelihood');
else
fh=str2func('DsgeVarLikelihood');
@ -245,7 +252,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
if isfield(options_,'optim_opt')
eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
end
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
[xparam1,fval,exitflag,output,lamdba,grad,hessian_fmincon] = ...
fmincon(fh,xparam1,[],[],[],[],lb,ub,[],optim_options,gend,data);
else
@ -254,7 +261,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
end
elseif options_.mode_compute == 2
% asamin('set','maximum_cost_repeat',0);
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
[fval,xparam1,grad,hessian_asamin,exitflag] = ...
asamin('minimize','DsgeLikelihood',xparam1,lb,ub,-ones(size(xparam1)),gend,data);
else
@ -276,7 +283,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
crit = 1e-7;
nit = 1000;
verbose = 2;
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
[fval,xparam1,grad,hessian_csminwel,itct,fcount,retcodehat] = ...
csminwel('DsgeLikelihood',xparam1,H0,[],crit,nit,gend,data);
disp(sprintf('Objective function at mode: %f',fval))
@ -308,7 +315,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
else
nit=1000;
end
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
[xparam1,hh,gg,fval,invhess] = newrat('DsgeLikelihood',xparam1,hh,gg,igg,crit,nit,flag,gend,data);
else
[xparam1,hh,gg,fval,invhess] = newrat('DsgeVarLikelihood',xparam1,hh,gg,igg,crit,nit,flag,gend);
@ -316,7 +323,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
save([M_.fname '_mode'],'xparam1','hh','gg','fval','invhess');
%eval(['save ' M_.fname '_mode xparam1 hh gg fval invhess;']);
elseif options_.mode_compute == 6
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
fval = DsgeLikelihood(xparam1,gend,data);
else
fval = DsgeVarLikelihood(xparam1,gend);
@ -353,7 +360,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
else
flag = 'LastCall';
end
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
[xparam1,PostVar,Scale,PostMean] = ...
gmhmaxlik('DsgeLikelihood',xparam1,bounds,options_.Opt6Numb,Scale,flag,MeanPar,CovJump,gend,data);
fval = DsgeLikelihood(xparam1,gend,data);
@ -374,7 +381,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
else
flag = 'LastCall';
end
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if options_.bvar_dsge
[xparam1,PostVar,Scale,PostMean] = ...
gmhmaxlik('DsgeLikelihood',xparam1,bounds,...
options_.Opt6Numb,Scale,flag,PostMean,PostVar,gend,data);
@ -398,7 +405,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
end
if options_.mode_compute ~= 5
if options_.mode_compute ~= 6
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if options_.bvar_dsge
hh = reshape(hessian('DsgeLikelihood',xparam1,gend,data),nx,nx);
else
hh = reshape(hessian('DsgeVarLikelihood',xparam1,gend),nx,nx);
@ -425,7 +432,7 @@ if options_.posterior_mode_estimation
else
variances = bayestopt_.pstdev.^2;
invhess = 0.001*diag(variances);
invhess = 0.001*eye(length(variances));
invhess = 0.01*eye(length(variances));
end
@ -524,7 +531,7 @@ if any(bayestopt_.pshape > 0) & options_.posterior_mode_estimation
end
end
%% Laplace approximation to the marginal log density:
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
md_Laplace = .5*size(xparam1,1)*log(2*pi) + .5*log(det(invhess)) ...
- DsgeLikelihood(xparam1,gend,data);
else
@ -812,7 +819,7 @@ if (any(bayestopt_.pshape >0 ) & options_.mh_replic) | ...
end
if options_.mh_replic
if ~options_.load_mh_file
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar_dsge
metropolis('DsgeLikelihood',xparam1,invhess,bounds,gend,data);
else
metropolis('DsgeVarLikelihood',xparam1,invhess,bounds,gend);
@ -821,7 +828,7 @@ if (any(bayestopt_.pshape >0 ) & options_.mh_replic) | ...
if options_.use_mh_covariance_matrix
invhess = compute_mh_covariance_matrix();
end
if isempty(strmatch('dsge_prior_weight',M_.param_names))
if ~options_.bvar-dsge
metropolis('DsgeLikelihood',xparam1,invhess,bounds,gend,data);
else
metropolis('DsgeVarLikelihood',xparam1,invhess,bounds,gend);

1
matlab/global_initialization.m
View File

@ -34,6 +34,7 @@ function global_initialization()
options_.ParamSubSet = 'None';
% bvar-dsge
options_.bvar_dsge = 0;
options_.varlag = 4;
% Optimization algorithm [6] gmhmaxlik