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Merge pull request #851 from JohannesPfeifer/Estimation_Bugfixes 

Estimation bugfixes
time-shift
Stéphane Adjemian 2015-03-01 16:33:51 +01:00
parent bcfa24bd99 a7f380d8c0
commit 511d621818
2 changed files with 15 additions and 13 deletions
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2
matlab/dynare_estimation_1.m
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@ -235,7 +235,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
if options_.mode_compute==5
%get whether analytical Hessian with non-analytical mode-finding is requested
newratflag=[];
if isfield(options_,'optim_opt')
if ~isempty(options_.optim_opt)
options_list = read_key_value_string(options_.optim_opt);
for i=1:rows(options_list)
if strcmp(options_list{i,1},'Hessian')

26
matlab/initial_estimation_checks.m
View File

@ -49,20 +49,22 @@ old_steady_params=Model.params; %save initial parameters for check if steady sta
% % check if steady state solves static model (except if diffuse_filter == 1)
[DynareResults.steady_state, new_steady_params] = evaluate_steady_state(DynareResults.steady_state,Model,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
%check whether steady state file changes estimated parameters
Model_par_varied=Model; %store Model structure
Model_par_varied.params(EstimatedParameters.param_vals(:,1))=Model_par_varied.params(EstimatedParameters.param_vals(:,1))*1.01; %vary parameters
[junk, new_steady_params_2] = evaluate_steady_state(DynareResults.steady_state,Model_par_varied,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
if ~isempty(EstimatedParameters.param_vals)
%check whether steady state file changes estimated parameters
Model_par_varied=Model; %store Model structure
Model_par_varied.params(EstimatedParameters.param_vals(:,1))=Model_par_varied.params(EstimatedParameters.param_vals(:,1))*1.01; %vary parameters
[junk, new_steady_params_2] = evaluate_steady_state(DynareResults.steady_state,Model_par_varied,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
changed_par_indices=find((old_steady_params(EstimatedParameters.param_vals(:,1))-new_steady_params(EstimatedParameters.param_vals(:,1))) ...
| (Model_par_varied.params(EstimatedParameters.param_vals(:,1))-new_steady_params_2(EstimatedParameters.param_vals(:,1))));
changed_par_indices=find((old_steady_params(EstimatedParameters.param_vals(:,1))-new_steady_params(EstimatedParameters.param_vals(:,1))) ...
| (Model_par_varied.params(EstimatedParameters.param_vals(:,1))-new_steady_params_2(EstimatedParameters.param_vals(:,1))));
if ~isempty(changed_par_indices)
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
disp(Model.param_names(changed_par_indices,:));
fprintf('This will override the parameter values drawn from the proposal density and may lead to wrong results.\n')
fprintf('Check whether this is really intended.\n')
warning('The steady state file internally changes the values of the estimated parameters.')
if ~isempty(changed_par_indices)
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
disp(Model.param_names(changed_par_indices,:));
fprintf('This will override the parameter values drawn from the proposal density and may lead to wrong results.\n')
fprintf('Check whether this is really intended.\n')
warning('The steady state file internally changes the values of the estimated parameters.')
end
end
if any(BayesInfo.pshape) % if Bayesian estimation