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SMC: gracefully exit with unsupported options

master^2
Johannes Pfeifer 2024-02-19 14:19:55 +01:00
parent 1ce40d4df5
commit 5d47ac2aa9
3 changed files with 50 additions and 33 deletions
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3
doc/manual/source/the-model-file.rst
View File

@ -7490,7 +7490,8 @@ observed variables.
Instructs Dynare to use the *Herbst and Schorfheide (2014)*
version of the Sequential Monte-Carlo sampler instead of the
standard Random-Walk Metropolis-Hastings.
standard Random-Walk Metropolis-Hastings. Does not yet support
``moments_varendo``, ``bayesian_irf``, and ``smoother``.
``'dsmh'``

74
matlab/estimation/dynare_estimation_1.m
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@ -493,52 +493,66 @@ if issmc(options_) || (any(bayestopt_.pshape>0) && options_.mh_replic) || (any(
end
if ~issmc(options_)
[error_flag, ~, options_]= metropolis_draw(1, options_, estim_params_, M_);
else
error_flag=false;
end
if ~(~isempty(options_.sub_draws) && options_.sub_draws==0)
if options_.bayesian_irf
if error_flag
error('%s: I cannot compute the posterior IRFs!',dispString)
if ~issmc(options_)
if error_flag
error('%s: I cannot compute the posterior IRFs!',dispString)
end
oo_=PosteriorIRF('posterior',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString);
else
fprintf('%s: SMC does not yet support the bayesian_irf option. Skipping computation.\n',dispString);
end
oo_=PosteriorIRF('posterior',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString);
end
if options_.moments_varendo
if error_flag
error('%s: I cannot compute the posterior moments for the endogenous variables!',dispString)
end
if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
[MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
if ~info
generic_post_data_file_name={'Posterior2ndOrderMoments','decomposition','PosteriorVarianceDecomposition','correlation','PosteriorCorrelations','conditional decomposition','PosteriorConditionalVarianceDecomposition'};
for ii=1:length(generic_post_data_file_name)
delete_stale_file([MetropolisFolder filesep M_.fname '_' generic_post_data_file_name{1,ii} '*']);
end
% restore compatibility for loading pre-4.6.2 runs where estim_params_ was not saved; see 6e06acc7 and !1944
NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
if NumberOfDrawsFiles>0
temp=load([M_.dname '/metropolis/' M_.fname '_posterior_draws1']);
if ~isfield(temp,'estim_params_')
for file_iter=1:NumberOfDrawsFiles
save([M_.dname '/metropolis/' M_.fname '_posterior_draws' num2str(file_iter)],'estim_params_','-append')
if ~issmc(options_)
if error_flag
error('%s: I cannot compute the posterior moments for the endogenous variables!',dispString)
end
if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
[MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
if ~info
generic_post_data_file_name={'Posterior2ndOrderMoments','decomposition','PosteriorVarianceDecomposition','correlation','PosteriorCorrelations','conditional decomposition','PosteriorConditionalVarianceDecomposition'};
for ii=1:length(generic_post_data_file_name)
delete_stale_file([MetropolisFolder filesep M_.fname '_' generic_post_data_file_name{1,ii} '*']);
end
% restore compatibility for loading pre-4.6.2 runs where estim_params_ was not saved; see 6e06acc7 and !1944
NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
if NumberOfDrawsFiles>0
temp=load([M_.dname '/metropolis/' M_.fname '_posterior_draws1']);
if ~isfield(temp,'estim_params_')
for file_iter=1:NumberOfDrawsFiles
save([M_.dname '/metropolis/' M_.fname '_posterior_draws' num2str(file_iter)],'estim_params_','-append')
end
end
end
end
end
oo_ = compute_moments_varendo('posterior',options_,M_,oo_,estim_params_,var_list_);
else
fprintf('%s: SMC does not yet support the moments_varendo option. Skipping computation.\n',dispString);
end
oo_ = compute_moments_varendo('posterior',options_,M_,oo_,estim_params_,var_list_);
end
if options_.smoother || ~isempty(options_.filter_step_ahead) || options_.forecast
if error_flag
error('%s: I cannot compute the posterior statistics!',dispString)
end
if options_.order==1 && ~options_.particle.status
oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
if ~ishssmc(options_)
if error_flag
error('%s: I cannot compute the posterior statistics!',dispString)
end
if options_.order==1 && ~options_.particle.status
oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
else
error('%s: Particle Smoothers are not yet implemented.',dispString)
end
else
error('%s: Particle Smoothers are not yet implemented.',dispString)
fprintf('%s: SMC does not yet support the smoother and forecast options. Skipping computation.\n',dispString);
end
end
else
fprintf('%s: sub_draws was set to 0. Skipping posterior computations.',dispString);
end
else
fprintf('%s: sub_draws was set to 0. Skipping posterior computations.\n',dispString);
end
xparam1 = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
M_ = set_all_parameters(xparam1,estim_params_,M_);
end

6
tests/estimation/hssmc/fs2000.mod
View File

@ -86,6 +86,8 @@ estimation(order=1, datafile='../fsdat_simul.m', nobs=192, loglinear,
posterior_sampling_method='hssmc',
posterior_sampler_options=('steps',10,
'lambda',2,
'particles', 20000,
'particles', 5000,
'scale',.5,
'target', .25));
'target', .25),
bayesian_irf, smoother, moments_varendo,consider_all_endogenous
);