last modfile
Frédéric Karamé
Stéphane Adjemian (Hermes)
parent
b7d40cc714
commit
2a5728dd85
|
|
@ -2,7 +2,7 @@
|
|||
//employment for comparison with the benchmark in Gauss which solves with
|
||||
//the same particular filter but global methodology.
|
||||
//
|
||||
// December 2014
|
||||
// Juin 2015
|
||||
|
||||
var k A c l i y;
|
||||
varexo e_a;
|
||||
|
|
@ -32,7 +32,7 @@ steady;
|
|||
|
||||
estimated_params;
|
||||
alp, uniform_pdf,,, 0.0001, 0.99;
|
||||
bet, uniform_pdf,,, 0.0001, 0.9999;
|
||||
bet, uniform_pdf,,, 0.0001, 0.99999;
|
||||
tet, uniform_pdf,,, 0.0001, .999;
|
||||
tau, uniform_pdf,,, 0.0001, 100;
|
||||
delt, uniform_pdf,,, 0.0001, 0.05;
|
||||
|
|
@ -43,19 +43,47 @@ stderr l, uniform_pdf,,, 0.00001, 0.1;
|
|||
stderr i, uniform_pdf,,, 0.00001, 0.1;
|
||||
end;
|
||||
|
||||
//estimated_params_init;
|
||||
//alp, 0.4;
|
||||
//bet, 0.99;
|
||||
//tet, 0.357;
|
||||
//tau, 50;
|
||||
//delt, 0.02;
|
||||
//rho, 0.95;
|
||||
//stderr e_a, .035;
|
||||
//stderr y, .00158;
|
||||
//stderr l, .0011;
|
||||
//stderr i, .000866;
|
||||
//end;
|
||||
// Risky
|
||||
estimated_params_init;
|
||||
alp, 0.4;
|
||||
bet, 0.99;
|
||||
tet, 0.357;
|
||||
tau, 50;
|
||||
delt, 0.02;
|
||||
rho, 0.95;
|
||||
stderr e_a, .035;
|
||||
stderr y, .00158;
|
||||
stderr l, .0011;
|
||||
stderr i, .000866;
|
||||
end;
|
||||
|
||||
estimated_params_init;
|
||||
alp, 0.405156;
|
||||
bet, 0.9999;
|
||||
tet, 0.360716;
|
||||
tau, 30.687089;
|
||||
delt, 0.017113;
|
||||
rho, 0.968120;
|
||||
stderr e_a, .043001;
|
||||
stderr y, .006791;
|
||||
stderr l, .001065;
|
||||
stderr i, .004716;
|
||||
end;
|
||||
|
||||
estimated_params_init;
|
||||
stderr e_a, 0.043021303067030 ;
|
||||
stderr y, 0.006670476313281;
|
||||
stderr l, 0.001074088088005;
|
||||
stderr i, 0.004799910878108;
|
||||
alp, 0.405140190096526;
|
||||
bet, 0.9953935267771;
|
||||
tet, 0.360731313440020;
|
||||
tau, 30.687088931783695 ;
|
||||
delt, 0.017070312172381 ;
|
||||
rho, 0.968261076182835 ;
|
||||
end;
|
||||
|
||||
// Extreme
|
||||
estimated_params_init;
|
||||
alp, 0.4;
|
||||
bet, 0.99;
|
||||
|
|
@ -69,40 +97,77 @@ stderr l, .00312;
|
|||
stderr i, .00465;
|
||||
end;
|
||||
|
||||
// Extreme: intermediate solution for SIR
|
||||
//estimated_params_init;
|
||||
//stderr e_a, 0.025533519509666;
|
||||
//stderr y, 0.018507739054788;
|
||||
//stderr l, 0.003197047316401;
|
||||
//stderr i, 0.003802850762698;
|
||||
//alp, 0.363888235523713;
|
||||
//bet, 0.994999761247253;
|
||||
//tet, 0.342346704799396;
|
||||
//tau, 53.199696552640710;
|
||||
//delt, 0.012206251968057;
|
||||
//rho, 0.976115559512299 ;
|
||||
//end ;
|
||||
|
||||
varobs y l i ;
|
||||
|
||||
options_.mode_check.neighbourhood_size = .05 ;
|
||||
options_.mode_check.neighbourhood_size = .01 ;
|
||||
options_.mode_check.number_of_points = 250;
|
||||
|
||||
//estimation(datafile=extreme,order=2,number_of_particles=10000,resampling=generic,mode_compute=7,mh_replic=0,mode_check);
|
||||
//KALMAN
|
||||
//estimation(datafile=extreme,nograph,order=1,nobs=150,mode_compute=8,mh_replic=0,mode_check);
|
||||
|
||||
//estimation(datafile=extreme,order=2,number_of_particles=10000,nobs=150,mode_compute=7,mode_check);
|
||||
//SIR
|
||||
//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8,mode_check);
|
||||
|
||||
//estimation(datafile=extreme,order=2,number_of_particles=50000,nobs=150,resampling_method=smooth,mode_compute=7);
|
||||
//OK
|
||||
// SISmoothR
|
||||
//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=4,mh_replic=0);
|
||||
//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=8,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
|
||||
//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=4,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
|
||||
|
||||
//estimation(datafile=extreme,order=1,nobs=150,mode_compute=7);
|
||||
// OK
|
||||
// APF
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=apf,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8,mode_check);
|
||||
|
||||
//estimation(datafile=extreme,order=2,filter_algorithm=gf,nobs=150,mh_replic=0,mode_compute=7,mode_check);
|
||||
//estimation(datafile=extreme,order=2,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=50000,nobs=150,mh_replic=0,mode_compute=7,mode_check);
|
||||
// OK
|
||||
// GPF
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mode_file=dsge_base2_mode,mh_replic=0,mode_compute=4,mode_check);
|
||||
//estimation(datafile=risky,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
|
||||
//estimation(datafile=risky,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=4,mode_check);
|
||||
|
||||
//estimation(datafile=extreme,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=7,mode_check);
|
||||
//OK
|
||||
// GCF
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,nobs=150,mh_replic=0,mode_compute=4);
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,nobs=150,mh_replic=0,mode_compute=8,mode_file=dsge_base2_mode,mode_check);
|
||||
|
||||
estimation(datafile=risky,order=2,noconstant,filter_algorithm=apf,number_of_particles=10000,nobs=150,mh_replic=0,mode_compute=7);
|
||||
// GUF
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,nobs=150,mh_replic=0,mode_compute=4);
|
||||
//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,nobs=150,mh_replic=0,mode_compute=8,mode_check);
|
||||
|
||||
//options_.mh_posterior_mode_estimation = 1 ;
|
||||
//options_.mh_jscale =1.2e-3 ;
|
||||
//options_.mh_nblck = 10 ;
|
||||
// GMPF
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=4,mode_check);
|
||||
|
||||
// GMCF
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=4,mode_file=dsge_base2_mode,mode_check);
|
||||
//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=0,mode_file=dsge_base2_mode,mode_check);
|
||||
|
||||
// P-MH with SIR
|
||||
%options_.mh_posterior_mode_estimation = 1 ;
|
||||
%options_.mh_jscale = 1.2e-3 ;
|
||||
options_.mh_nblck = 10 ;
|
||||
//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=50000,mh_replic=0,mode_compute=7);
|
||||
//estimation(datafile=risky,order=2,nobs=150,number_of_particles=50000,mh_replic=0,mode_compute=7);
|
||||
//options_.posterior_sampling_method = 'RWGMH';
|
||||
options_.posterior_sampling_method = 'RWGMH';
|
||||
options_.rwgmh_scale_shock = (1e-5)*[10 10 1 1 10 10 10 1000 10 10] ;
|
||||
//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=1000,mh_replic=10000,mode_compute=8);
|
||||
//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=1000,mh_replic=10000,mode_file=dsge_base2_mode,mode_compute=0);
|
||||
estimation(datafile=extreme,order=1,mh_replic=5000,mode_compute=0,mode_file=dsge_base2_mode);
|
||||
|
||||
//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=50000,mode_file=dsge_base2_mode,mh_replic=60000,mode_compute=7);
|
||||
//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=10000,load_mh_file,mh_replic=1,mode_compute=0);
|
||||
//OK
|
||||
|
||||
//options_.particle.liu_west_delta = 0.99 ;
|
||||
//estimation(datafile=extreme,order=2,number_of_particles=20000,nobs=150,mode_compute=11);
|
||||
//OK
|
||||
// Online
|
||||
//options_.particle.liu_west_delta = 0.9 ;
|
||||
//estimation(datafile=extreme,order=2,number_of_particles=10000,nobs=150,mode_compute=11);
|
||||
|
|
|
|||
Loading…
Reference in New Issue