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AnScho/AnScho_MoM_common.inc: use csminwel to prevent fmincon problems under Octave

bgp-dev
Johannes Pfeifer 2022-09-20 12:55:30 +02:00
parent 9506e723c9
commit 563035d070
1 changed files with 4 additions and 4 deletions
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8
tests/estimation/method_of_moments/AnScho/AnScho_MoM_common.inc
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@ -210,10 +210,10 @@ method_of_moments(
, se_tolx=1e-6 % step size for numerical computation of standard errors
% Options for SMM
% , burnin=500 % number of periods dropped at beginning of simulation
, burnin=50 % number of periods dropped at beginning of simulation
, bounded_shock_support % trim shocks in simulation to +- 2 stdev
% , seed = 24051986 % seed used in simulations
% , simulation_multiple = 5 % multiple of the data length used for simulation
, simulation_multiple = 5 % multiple of the data length used for simulation
% Options for GMM
@#if MoM_Method == "GMM"
@ -244,7 +244,7 @@ method_of_moments(
, mode_compute = 0
@#else
, mode_compute = 13 % specifies the optimizer for minimization of moments distance
, additional_optimizer_steps = [1] % vector of additional mode-finders run after mode_compute
, additional_optimizer_steps = [4] % vector of additional mode-finders run after mode_compute
, mode_check % plot the target function for values around the computed minimum for each estimated parameter in turn
@#endif
% optim: a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute, some exemplary common options:
@ -272,7 +272,7 @@ method_of_moments(
% , sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver
% , qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
% , qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
% , schur_vec_tol=1e-11 % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix
% , schur_vec_tol=1e-11 % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix
% , mode_check_neighbourhood_size = 5 % width of the window (expressed in percentage deviation) around the computed minimum to be displayed on the diagnostic plots
% , mode_check_symmetric_plots=1 % ensure that the check plots are symmetric around the minimum
% , mode_check_number_of_points = 20 % number of points around the minimum where the target function is evaluated (for each parameter)