stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

clean the dsge_base mod file.

time-shift
Frédéric Karamé 2014-12-17 12:04:15 +01:00 committed by Stéphane Adjemian (Hermes)
parent 84cef49584
commit 503356c2e3
1 changed files with 48 additions and 60 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

108
tests/particle/dsge_base2.mod
View File

@ -2,7 +2,7 @@
//employment for comparison with the benchmark in Gauss which solves with
//the same particular filter but global methodology.
//
// January 2010
// December 2014
var k A c l i y;
varexo e_a;
@ -11,7 +11,7 @@ parameters alp bet tet tau delt rho ;
alp = 0.4;
bet = 0.99;
tet = 0.357 ;
tau = 50 ;
tau = 50 ;
delt = 0.02;
rho = 0.95;
@ -30,17 +30,13 @@ end;
steady;
//stoch_simul(order=2,drop=0,periods=250,noprint,nograph) y l i ;
//disp([y l i ]) ;
//disp(oo_.mean) ;
estimated_params;
alp, uniform_pdf,,, 0.0001, 0.99;
bet, uniform_pdf,,, 0.0001, 0.99;
tet, uniform_pdf,,, 0.0001, 1;
bet, uniform_pdf,,, 0.0001, 0.9999;
tet, uniform_pdf,,, 0.0001, .999;
tau, uniform_pdf,,, 0.0001, 100;
delt, uniform_pdf,,, 0.0001, 0.05;
rho, uniform_pdf,,, 0.0001, 0.99;
rho, uniform_pdf,,, 0.0001, 0.9999;
stderr e_a, uniform_pdf,,, 0.00001, 0.1;
stderr y, uniform_pdf,,, 0.00001, 0.1;
stderr l, uniform_pdf,,, 0.00001, 0.1;
@ -48,73 +44,65 @@ stderr i, uniform_pdf,,, 0.00001, 0.1;
end;
//estimated_params_init;
//alp, 0.4;
//alp, 0.4;
//bet, 0.99;
//tet, 0.357 ;
//tet, 0.357;
//tau, 50;
//delt, 0.02;
//rho, 0.95 ;
//rho, 0.95;
//stderr e_a, .035;
//stderr y, .0175;//.00158;
//stderr l, .00312;//.0011;
//stderr i, .00465;//.000866;
//stderr y, .00158;
//stderr l, .0011;
//stderr i, .000866;
//end;
estimated_params_init;
alp, 0.4;
bet, 0.98;
tet, 0.3;
tau, 30;
delt, 0.01;
rho, 0.85;
stderr e_a, .03;
stderr y, .0175;//.00158;
stderr l, .00312;//.0011;
stderr i, .00465;//.000866;
alp, 0.4;
bet, 0.99;
tet, 0.357;
tau, 50;
delt, 0.02;
rho, 0.95;
stderr e_a, .035;
stderr y, .0175;
stderr l, .00312;
stderr i, .00465;
end;
varobs y l i ;
//options_.gstep(1) = 1e-4;
//options_.gstep(2) = .1;
options_.particle.status = 1;
options_.particle.initialization = 1;
options_.particle.pruning = 0;
options_.particle.number_of_particles = 5000 ;
options_.particle.resampling.status = 'systematic';
options_.particle.resampling.method1 = 'traditional' ;
//options_.particle.resampling.method1 = 'residual' ;
//options_.particle.resampling.method1 = 'smooth' ;
options_.particle.reampling.method2 = 'kitagawa' ;//'stratified' ;
options_.particle.resampling.neff_threshold = .5;
options_.mode_check.neighbourhood_size = .2 ;
options_.mode_check.neighbourhood_size = .05 ;
options_.mode_check.number_of_points = 250;
//set_dynare_threads('local_state_space_iteration_2',3);
//estimation(datafile=extreme,order=2,number_of_particles=10000,resampling=generic,mode_compute=7,mh_replic=0,mode_check);
options_.particle.algorithm = 'sequential_importance_particle_filter';
//options_.particle.algorithm = 'auxiliary_particle_filter';
//options_.particle.algorithm = 'gaussian_mixture_filter';
//options_.particle.algorithm = 'conditional_particle_filter';
//options_.particle.algorithm = 'gaussian_filter';
//estimation(datafile=extreme,order=2,number_of_particles=10000,nobs=150,mode_compute=7,mode_check);
//options_.particle.IS_approximation_method = 'quadrature' ;
options_.particle.IS_approximation_method = 'cubature' ;
//options_.particle.IS_approximation_method = 'unscented' ;
//estimation(datafile=extreme,order=2,number_of_particles=50000,nobs=150,resampling_method=smooth,mode_compute=7);
//OK
//options_.particle.approximation_method = 'quadrature' ;
//options_.particle.approximation_method = 'cubature' ;
//options_.particle.approximation_method = 'unscented' ;
//options_.particle.approximation_method = 'MonteCarlo' ;
//estimation(datafile=extreme,order=1,nobs=150,mode_compute=7);
// OK
options_.mh_posterior_mode_estimation=0 ;
//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
// online
options_.particle.liu_west_delta = 0.99 ;
options_.mode_check_node_number = 250 ;
//estimation(datafile=extreme,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=7,mode_check);
//OK
estimation(datafile=data_risky_perturb3,order=1,nograph,nobs=100,mh_replic=0,mode_compute=11);
estimation(datafile=risky,order=2,noconstant,filter_algorithm=apf,number_of_particles=10000,nobs=150,mh_replic=0,mode_compute=7);
//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';
//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