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Add check whether initial prior is Inf 

Requires adding fourth output argument of priordens.m that stores position of problematic parameter.
time-shift
Johannes Pfeifer 2014-09-17 20:09:33 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 9c3c0d727f
commit 27403fb2dd
2 changed files with 26 additions and 2 deletions
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8
matlab/initial_estimation_checks.m
View File

@ -89,8 +89,14 @@ if any(BayesInfo.pshape) % if Bayesian estimation
end
end
%% display warning if some parameters are still NaN
% display warning if some parameters are still NaN
test_for_deep_parameters_calibration(Model);
[lnprior, junk1,junk2,info]= priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
if info
fprintf('The prior density evaluated at the initial values is Inf for the following parameters: %s\n',BayesInfo.name{info,1})
error('The initial value of the prior is -Inf')
end
% Evaluate the likelihood.
ana_deriv = DynareOptions.analytic_derivation;

20
matlab/priordens.m
View File

@ -1,4 +1,4 @@
function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7, p3, p4,initialization)
function [logged_prior_density, dlprior, d2lprior, info] = priordens(x, pshape, p6, p7, p3, p4,initialization)
% Computes a prior density for the structural parameters of DSGE models
%
% INPUTS
@ -12,6 +12,7 @@ function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7
%
% OUTPUTS
% logged_prior_density [double] scalar, log of the prior density evaluated at x.
% info [double] error code for index of Inf-prior parameter
%
% Copyright (C) 2003-2012 Dynare Team
@ -34,6 +35,8 @@ function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7
persistent id1 id2 id3 id4 id5 id6
persistent tt1 tt2 tt3 tt4 tt5 tt6
info=0;
if nargin > 6 && initialization == 1
% Beta indices.
tt1 = 1;
@ -81,6 +84,9 @@ d2lprior = 0.0;
if tt1
logged_prior_density = logged_prior_density + sum(lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1))) ;
if isinf(logged_prior_density)
if nargout ==4
info=id1(isinf(lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1))));
end
return
end
if nargout == 2,
@ -93,6 +99,9 @@ end
if tt2
logged_prior_density = logged_prior_density + sum(lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2))) ;
if isinf(logged_prior_density)
if nargout ==4
info=id2(isinf(lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2))));
end
return
end
if nargout == 2,
@ -114,6 +123,9 @@ end
if tt4
logged_prior_density = logged_prior_density + sum(lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4))) ;
if isinf(logged_prior_density)
if nargout ==4
info=id4(isinf(lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4))));
end
return
end
if nargout == 2,
@ -126,6 +138,9 @@ end
if tt5
if any(x(id5)-p3(id5)<0) || any(x(id5)-p4(id5)>0)
logged_prior_density = -Inf ;
if nargout ==4
info=id5((x(id5)-p3(id5)<0) || (x(id5)-p4(id5)>0));
end
return
end
logged_prior_density = logged_prior_density + sum(log(1./(p4(id5)-p3(id5)))) ;
@ -140,6 +155,9 @@ end
if tt6
logged_prior_density = logged_prior_density + sum(lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6))) ;
if isinf(logged_prior_density)
if nargout ==4
info=id6(isinf(lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6))));
end
return
end
if nargout == 2,