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Fixes related to estimation under discretion

time-shift
Johannes Pfeifer 2020-02-06 13:30:00 +01:00
parent 931ebece92
commit 30bfa16211
4 changed files with 24 additions and 4 deletions
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4
matlab/PosteriorIRF_core1.m
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@ -145,7 +145,11 @@ while fpar<B
end end
stock_param(irun2,:) = deep; stock_param(irun2,:) = deep;
set_parameters(deep); set_parameters(deep);
if options_.discretionary_policy
[dr,info,M_,options_,oo_] = discretionary_policy_1(options_.instruments,M_,options_,oo_);
else
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_); [dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
oo_.dr = dr; oo_.dr = dr;
if info(1) if info(1)
nosaddle = nosaddle + 1; nosaddle = nosaddle + 1;

13
matlab/discretionary_policy_1.m
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@ -1,6 +1,17 @@
function [dr, info, M_, options_, oo_]=discretionary_policy_1(Instruments, M_, options_, oo_) function [dr, info, M_, options_, oo_]=discretionary_policy_1(Instruments, M_, options_, oo_)
% Higher-level function for solving discretionary optimal policy % Higher-level function for solving discretionary optimal policy
% Has the same interface as resol.m % INPUTS
% - Instruments [cell] array containing instrument names
% - M_ [structure] Matlab's structure describing the model (M_).
% - options_ [structure] Matlab's structure describing the current options (options_).
% - oo_ [structure] Matlab's structure containing the results (oo_).
%
% OUTPUTS
% - dr [structure] Reduced form model.
% - info [integer] scalar or vector, error code.
% - M_ [structure] Matlab's structure describing the model (M_).
% - options_ [structure] Matlab's structure describing the current options (options_).
% - oo_ [structure] Matlab's structure containing the results (oo_).
% Copyright (C) 2007-2020 Dynare Team % Copyright (C) 2007-2020 Dynare Team
% %

4
matlab/selec_posterior_draws.m
View File

@ -115,7 +115,11 @@ if info
pdraws(i,1) = {x2(SampleAddress(i,4),:)}; pdraws(i,1) = {x2(SampleAddress(i,4),:)};
if info-1 if info-1
set_parameters(pdraws{i,1}); set_parameters(pdraws{i,1});
if options_.discretionary_policy
[dr,info,M_,options_,oo_] = discretionary_policy_1(options_.instruments,M_,options_,oo_);
else
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_); [dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
pdraws(i,2) = { dr }; pdraws(i,2) = { dr };
end end
old_mhfile = mhfile; old_mhfile = mhfile;

3
tests/discretionary_policy/dennis_1_estim.mod
View File

@ -35,7 +35,8 @@ estimated_params;
kappa, normal_pdf, 0.2, 0.1; kappa, normal_pdf, 0.2, 0.1;
end; end;
estimation(order = 1, datafile = dennis_simul, mh_replic = 2000); options_.plot_priors=0;
estimation(order = 1, datafile = dennis_simul, mh_replic = 2000, mh_nblocks=1,smoother,bayesian_irf,moments_varendo) y i pi pi_c q;
if max(abs(oo_.posterior.optimization.mode - [1; 0.3433])) > 0.025 if max(abs(oo_.posterior.optimization.mode - [1; 0.3433])) > 0.025
error('Posterior mode too far from true parameter values'); error('Posterior mode too far from true parameter values');