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

Fix bugs previously introduces in dynare_estimation_1.m related to penalty function

time-shift
Johannes Pfeifer 2016-06-06 18:28:45 +02:00 committed by Stéphane Adjemian (Lupi)
parent 2446ab02ba
commit 552a9b5230
2 changed files with 5 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

7
matlab/dynare_estimation_1.m
View File

@ -221,7 +221,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
end end
end end
[xparam1, fval, exitflag, hh, options_, Scale] = dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_); [xparam1, fval, exitflag, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval); fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval);
if isnumeric(options_.mode_compute) && options_.mode_compute==5 && options_.analytic_derivation==-1 %reset options changed by newrat if isnumeric(options_.mode_compute) && options_.mode_compute==5 && options_.analytic_derivation==-1 %reset options changed by newrat
@ -269,7 +269,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
if compute_hessian, if compute_hessian,
crit = options_.newrat.tolerance.f; crit = options_.newrat.tolerance.f;
newratflag = newratflag>0; newratflag = newratflag>0;
hh = reshape(mr_hessian(xparam1,objective_function,newratflag,crit,new_rat_hess_info,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx); hh = reshape(mr_hessian(xparam1,objective_function,fval,newratflag,crit,new_rat_hess_info,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
end end
options_.kalman_algo = kalman_algo0; options_.kalman_algo = kalman_algo0;
end end
@ -322,7 +322,7 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
disp('=> posterior variance of the estimated parameters are not positive.') disp('=> posterior variance of the estimated parameters are not positive.')
disp('You should try to change the initial values of the parameters using') disp('You should try to change the initial values of the parameters using')
disp('the estimated_params_init block, or use another optimization routine.') disp('the estimated_params_init block, or use another optimization routine.')
params_at_bound=find(xparam1==bounds.ub | xparam1==bounds.lb); params_at_bound=find(abs(xparam1-bounds.ub)<1.e-10 | abs(xparam1-bounds.lb)<1.e-10);
if ~isempty(params_at_bound) if ~isempty(params_at_bound)
for ii=1:length(params_at_bound) for ii=1:length(params_at_bound)
params_at_bound_name{ii,1}=get_the_name(params_at_bound(ii),0,M_,estim_params_,options_); params_at_bound_name{ii,1}=get_the_name(params_at_bound(ii),0,M_,estim_params_,options_);
@ -339,6 +339,7 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
fprintf(' - Change the optimization bounds.\n') fprintf(' - Change the optimization bounds.\n')
fprintf(' - Use a different mode_compute like 6 or 9.\n') fprintf(' - Use a different mode_compute like 6 or 9.\n')
fprintf(' - Check whether the parameters estimated are identified.\n') fprintf(' - Check whether the parameters estimated are identified.\n')
fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
fprintf(' - Increase the informativeness of the prior.\n') fprintf(' - Increase the informativeness of the prior.\n')
end end
warning('The results below are most likely wrong!'); warning('The results below are most likely wrong!');

2
matlab/optimization/csminwel1.m
View File

@ -261,7 +261,7 @@ while ~done
elseif ischar(grad), elseif ischar(grad),
[gh, badgh] = grad(xh,varargin{:}); [gh, badgh] = grad(xh,varargin{:});
else else
[junkh,cost_flag,gh] = penalty_objective_function(x1,penalty,varargin{:}); [junkh,cost_flag,gh] = penalty_objective_function(x1,fcn,penalty,varargin{:});
badgh = ~cost_flag; badgh = ~cost_flag;
end end
end end