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Added an option for setting the number of points where the posterior kernel is evaluated when using mode_check. Reorganized the options_ global structure wrt mode_check.

time-shift
Stéphane Adjemian (Charybdis) 2013-06-20 17:19:44 +02:00
parent ae4df964c8
commit 340bcc2739
6 changed files with 25 additions and 19 deletions
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3
doc/dynare.texi
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@ -4462,6 +4462,9 @@ which can be useful if the posterior mode is close to a domain
boundary, or in conjunction with @code{mode_check_neighbourhood_size =
Inf} when the domain in not the entire real line. Default: @code{1}.
@item mode_check_number_of_points = @var{INTEGER}
Number of points around the posterior mode where the posterior kernel is evaluated (for each parameter). Default is @code{20}
@item prior_trunc = @var{DOUBLE}
@anchor{prior_trunc} Probability of extreme values of the prior
density that is ignored when computing bounds for the

2
matlab/dynare_estimation_1.m
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@ -495,7 +495,7 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
end
end
if options_.mode_check == 1 && ~options_.mh_posterior_mode_estimation
if options_.mode_check.status == 1 && ~options_.mh_posterior_mode_estimation
ana_deriv = options_.analytic_derivation;
options_.analytic_derivation = 0;
mode_check(objective_function,xparam1,hh,dataset_,options_,M_,estim_params_,bayestopt_,oo_);

11
matlab/global_initialization.m
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@ -57,9 +57,11 @@ options_.solve_tolf = eps^(1/3);
options_.solve_tolx = eps^(2/3);
options_.solve_maxit = 500;
options_.mode_check_neighbourhood_size = .5;
options_.mode_check_symmetric_plots = 1;
options_.mode_check_node_number = 1000;
options_.mode_check.status = 0;
options_.mode_check.neighbourhood_size = .5;
options_.mode_check.symmetric_plots = 1;
options_.mode_check.number_of_points = 20;
options_.mode_check.nolik = 0;
% Default number of threads for parallelized mex files.
options_.threads.kronecker.A_times_B_kronecker_C = 1;
@ -372,8 +374,7 @@ options_.mh_nblck = 2;
options_.mh_recover = 0;
options_.mh_replic = 20000;
options_.recursive_estimation_restart = 0;
options_.mode_check = 0;
options_.mode_check_nolik = 0;
options_.mode_compute = 4;
options_.mode_file = '';
options_.moments_varendo = 0;

17
matlab/mode_check.m
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@ -84,11 +84,10 @@ if TeX
fprintf(fidTeX,' \n');
end
ll = DynareOptions.mode_check_neighbourhood_size;
ll = DynareOptions.mode_check.neighbourhood_size;
if isinf(ll),
DynareOptions.mode_check_symmetric_plots = 0;
DynareOptions.mode_check.symmetric_plots = 0;
end
half_number_nodes = .5*DynareOptions.mode_check_node_number ;
for plt = 1:nbplt,
if TeX
@ -112,7 +111,7 @@ for plt = 1:nbplt,
xx = x;
l1 = max(BayesInfo.lb(kk),(1-sign(x(kk))*ll)*x(kk)); m1 = 0;
l2 = min(BayesInfo.ub(kk),(1+sign(x(kk))*ll)*x(kk));
if DynareOptions.mode_check_symmetric_plots,
if DynareOptions.mode_check.symmetric_plots,
if l2<(1+ll)*x(kk)
l1 = x(kk) - (l2-x(kk));
m1 = 1;
@ -121,10 +120,10 @@ for plt = 1:nbplt,
l2 = x(kk) + (x(kk)-l1);
end
end
z1 = l1:((x(kk)-l1)/10):x(kk);
z2 = x(kk):((l2-x(kk))/10):l2;
z1 = l1:((x(kk)-l1)/(DynareOptions.mode_check.number_of_points/2)):x(kk);
z2 = x(kk):((l2-x(kk))/(DynareOptions.mode_check.number_of_points/2)):l2;
z = union(z1,z2);
if DynareOptions.mode_check_nolik==0,
if DynareOptions.mode_check.nolik==0,
y = zeros(length(z),2);
dy = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
end
@ -136,7 +135,7 @@ for plt = 1:nbplt,
else
y(i,1) = NaN;
end
if DynareOptions.mode_check_nolik==0
if DynareOptions.mode_check.nolik==0
lnprior = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
y(i,2) = (y(i,1)+lnprior-dy);
end
@ -154,7 +153,7 @@ for plt = 1:nbplt,
axis tight
drawnow
end
if DynareOptions.mode_check_nolik==0,
if DynareOptions.mode_check.nolik==0,
if exist('OCTAVE_VERSION'),
axes('outerposition',[0.3 0.93 0.42 0.07],'box','on'),
else

10
preprocessor/DynareBison.yy
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@ -112,7 +112,7 @@ class ParsingDriver;
%token LABELS LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR LYAPUNOV
%token LYAPUNOV_FIXED_POINT_TOL LYAPUNOV_DOUBLING_TOL LYAPUNOV_SQUARE_ROOT_SOLVER_TOL LOG_DEFLATOR LOG_TREND_VAR LOG_GROWTH_FACTOR MARKOWITZ MARGINAL_DENSITY MAX MAXIT
%token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN MINIMAL_SOLVING_PERIODS SOLVE_MAXIT
%token MODE_CHECK MODE_CHECK_NEIGHBOURHOOD_SIZE MODE_CHECK_SYMMETRIC_PLOTS MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
%token MODE_CHECK MODE_CHECK_NEIGHBOURHOOD_SIZE MODE_CHECK_SYMMETRIC_PLOTS MODE_CHECK_NUMBER_OF_POINTS MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
%token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER SUB_DRAWS
%token <string_val> NAME
%token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NODISPLAY NOCORR NODIAGNOSTIC NOFUNCTIONS
@ -1519,6 +1519,7 @@ estimation_options : o_datafile
| o_mode_check
| o_mode_check_neighbourhood_size
| o_mode_check_symmetric_plots
| o_mode_check_number_of_points
| o_prior_trunc
| o_mh_mode
| o_mh_nblocks
@ -2354,9 +2355,10 @@ o_mh_init_scale : MH_INIT_SCALE EQUAL non_negative_number { driver.option_num("m
o_mode_file : MODE_FILE EQUAL filename { driver.option_str("mode_file", $3); };
o_mode_compute : MODE_COMPUTE EQUAL INT_NUMBER { driver.option_num("mode_compute", $3); };
| MODE_COMPUTE EQUAL symbol { driver.option_str("mode_compute", $3); };
o_mode_check : MODE_CHECK { driver.option_num("mode_check", "1"); };
o_mode_check_neighbourhood_size : MODE_CHECK_NEIGHBOURHOOD_SIZE EQUAL signed_number_w_inf { driver.option_num("mode_check_neighbourhood_size", $3); };
o_mode_check_symmetric_plots : MODE_CHECK_SYMMETRIC_PLOTS EQUAL INT_NUMBER { driver.option_num("mode_check_symmetric_plots", $3); };
o_mode_check : MODE_CHECK { driver.option_num("mode_check.status", "1"); };
o_mode_check_neighbourhood_size : MODE_CHECK_NEIGHBOURHOOD_SIZE EQUAL signed_number_w_inf { driver.option_num("mode_check.neighbourhood_size", $3); };
o_mode_check_number_of_points : MODE_CHECK_NUMBER_OF_POINTS EQUAL INT_NUMBER { driver.option_num("mode_check.number_of_points", $3); };
o_mode_check_symmetric_plots : MODE_CHECK_SYMMETRIC_PLOTS EQUAL INT_NUMBER { driver.option_num("mode_check.symmetric_plots", $3); };
o_prior_trunc : PRIOR_TRUNC EQUAL non_negative_number { driver.option_num("prior_trunc", $3); };
o_mh_mode : MH_MODE EQUAL INT_NUMBER { driver.option_num("mh_mode", $3); };
o_mh_nblocks : MH_NBLOCKS EQUAL INT_NUMBER { driver.option_num("mh_nblck", $3); };

1
preprocessor/DynareFlex.ll
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@ -241,6 +241,7 @@ string eofbuff;
<DYNARE_STATEMENT>mode_check {return token::MODE_CHECK;}
<DYNARE_STATEMENT>mode_check_neighbourhood_size {return token::MODE_CHECK_NEIGHBOURHOOD_SIZE;}
<DYNARE_STATEMENT>mode_check_symmetric_plots {return token::MODE_CHECK_SYMMETRIC_PLOTS;}
<DYNARE_STATEMENT>mode_check_number_of_points {return token::MODE_CHECK_NUMBER_OF_POINTS;}
<DYNARE_STATEMENT>prior_trunc {return token::PRIOR_TRUNC;}
<DYNARE_STATEMENT>mh_mode {return token::MH_MODE;}
<DYNARE_STATEMENT>mh_nblocks {return token::MH_NBLOCKS;}