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Closes #567.

time-shift
Stéphane Adjemian (Scylla) 2013-12-18 16:39:41 +01:00
parent 6efdfb5414
commit 63986a0ebf
9 changed files with 51 additions and 36 deletions
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18
doc/dynare.texi
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@ -4494,12 +4494,20 @@ algorithm. For the time being, @code{mh_replic} should be larger than
@code{1200}. Default: @code{20000}
@item sub_draws = @var{INTEGER}
@anchor{sub_draws} number of draws from the Metropolis iterations that
are used to compute posterior distribution of various objects (smoothed
variable, smoothed shocks, forecast, moments, IRF). @code{sub_draws} should be smaller than
the total number of Metropolis draws available. Default:
@code{min(1200,0.25*Total number of draws)}
@anchor{sub_draws} number of draws from the MCMC that are used to
compute posterior distribution of various objects (smoothed variable,
smoothed shocks, forecast, moments, IRF). The draws used to compute
these posterior moments are sampled uniformly in the estimated empirical
posterior distribution (@i{ie} draws of the MCMC). @code{sub_draws}
should be smaller than the total number of MCMC draws available.
Default: @code{min(posterior_max_subsample_draws,0.25*Total number of
draws)}
@item posterior_max_subsample_draws = @var{INTEGER}
@anchor{posterior_max_subsample_draws} maximum number of draws from the
MCMC used to compute posterior distribution of various objects (smoothed
variable, smoothed shocks, forecast, moments, IRF), if not overriden by
option @ref{sub_draws}.
@item mh_nblocks = @var{INTEGER}
@anchor{mh_nblocks} Number of parallel chains for Metropolis-Hastings algorithm. Default:

14
matlab/PosteriorIRF.m
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@ -95,9 +95,8 @@ end
delete([MhDirectoryName filesep M_.fname '_IRF_DSGEs*.mat']);
delete([MhDirectoryName filesep M_.fname '_IRF_BVARDSGEs*.mat']);
if strcmpi(type,'posterior')
load_last_mh_history_file(MhDirectoryName, M_.fname);
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
B = options_.sub_draws;
options_.B = B;
elseif strcmpi(type,'gsa')
RootDirectoryName = CheckPath('gsa',M_.dname);
if options_.opt_gsa.pprior
@ -107,13 +106,10 @@ elseif strcmpi(type,'gsa')
end
x=[lpmat0(istable,:) lpmat(istable,:)];
clear lpmat istable
NumberOfDraws=size(x,1);
B=NumberOfDraws; options_.B = B;
B=size(x,1); options_.B = B;
else% type = 'prior'
NumberOfDraws = options_.prior_draws;
end
if ~strcmpi(type,'gsa')
B = min([round(.5*NumberOfDraws),500]); options_.B = B;
B = options_.prior_draws;
options_.B = B;
end
try
delete([MhDirectoryName filesep M_.fname '_irf_dsge*.mat'])

11
matlab/dynare_estimation_1.m
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@ -827,14 +827,23 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
else
load([M_.fname '_results'],'oo_');
end
metropolis_draw(1);
error_flag = metropolis_draw(1);
if options_.bayesian_irf
if error_flag
error('Estimation::mcmc: I cannot compute the posterior IRFs!')
end
PosteriorIRF('posterior');
end
if options_.moments_varendo
if error_flag
error('Estimation::mcmc: I cannot compute the posterior moments for the endogenous variables!')
end
oo_ = compute_moments_varendo('posterior',options_,M_,oo_,var_list_);
end
if options_.smoother || ~isempty(options_.filter_step_ahead) || options_.forecast
if error_flag
error('Estimation::mcmc: I cannot compute the posterior statistics!')
end
prior_posterior_statistics('posterior',dataset_);
end
xparam = get_posterior_parameters('mean');

2
matlab/global_initialization.m
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@ -355,7 +355,6 @@ options_.dataset.xls_range = NaN;
options_.Harvey_scale_factor = 10;
options_.MaxNumberOfBytes = 1e6;
options_.MaximumNumberOfMegaBytes = 111;
options_.PosteriorSampleSize = 1000;
options_.analytic_derivation = 0;
options_.analytic_derivation_mode = 0;
options_.bayesian_irf = 0;
@ -399,6 +398,7 @@ options_.presample = 0;
options_.prior_trunc = 1e-10;
options_.smoother = 0;
options_.student_degrees_of_freedom = 3;
options_.posterior_max_subsample_draws = 1200;
options_.sub_draws = [];
options_.use_mh_covariance_matrix = 0;
options_.gradient_method = 2;

16
matlab/metropolis_draw.m
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@ -32,6 +32,9 @@ function [xparams, logpost]=metropolis_draw(init)
global options_ estim_params_ M_
persistent mh_nblck NumberOfDraws BaseName FirstLine FirstMhFile MAX_nruns
xparams = 0;
logpost = 0;
if init
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
@ -39,7 +42,6 @@ if init
ncn = estim_params_.ncn;
np = estim_params_.np ;
npar = nvx+nvn+ncx+ncn+np;
MetropolisFolder = CheckPath('metropolis',M_.dname);
FileName = M_.fname;
BaseName = [MetropolisFolder filesep FileName];
@ -52,6 +54,18 @@ if init
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
mh_nblck = options_.mh_nblck;
% set sub_draws option if empty
if isempty(options_.sub_draws)
options_.sub_draws = min(options_.posterior_max_subsample_draws, round(.25*NumberOfDraws));
else
if options_.sub_draws>NumberOfDraws
skipline()
disp(['Estimation::mcmc: The value of option sub_draws (' num2str(options_.sub_draws) ') is greater than the number of available draws in the MCMC (' num2str(NumberOfDraws) ')!'])
disp('Estimation::mcmc: You can either change the value of sub_draws, reduce the value of mh_drop, or run another mcmc (with the load_mh_file option).')
skipline()
xparams = 1; % xparams is interpreted as an error flag
end
end
return
end

2
matlab/posterior_analysis.m
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@ -17,7 +17,7 @@ function oo_ = posterior_analysis(type,arg1,arg2,arg3,options_,M_,oo_)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
info = check_posterior_analysis_data(type,M_);
SampleSize = options_.PosteriorSampleSize;
SampleSize = options_.sub_draws;
switch info
case 0
disp('check_posterior_analysis_data:: Can''t find any mcmc file!')

19
matlab/prior_posterior_statistics.m
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@ -69,21 +69,7 @@ maxlag = M_.maximum_endo_lag;
if strcmpi(type,'posterior')
DirectoryName = CheckPath('metropolis',M_.dname);
load_last_mh_history_file(DirectoryName, M_.fname);
FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles;
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
clear record;
if ~isempty(options_.sub_draws)
B = options_.sub_draws;
if B > NumberOfDraws
B = NumberOfDraws;
end
else
B = min(1200, round(0.25*NumberOfDraws));
end
B = options_.sub_draws;
elseif strcmpi(type,'gsa')
RootDirectoryName = CheckPath('gsa',M_.dname);
if options_.opt_gsa.pprior
@ -99,8 +85,7 @@ elseif strcmpi(type,'gsa')
x=lpmat(istable,:);
end
clear lpmat lpmat0 istable
NumberOfDraws=size(x,1);
B=NumberOfDraws;
B = size(x,1);
elseif strcmpi(type,'prior')
DirectoryName = CheckPath('prior',M_.dname);
B = options_.prior_draws;

4
preprocessor/DynareBison.yy
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@ -110,7 +110,7 @@ class ParsingDriver;
%token KALMAN_ALGO KALMAN_TOL SUBSAMPLES OPTIONS TOLF
%token LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR LYAPUNOV
%token LYAPUNOV_FIXED_POINT_TOL LYAPUNOV_DOUBLING_TOL LYAPUNOV_SQUARE_ROOT_SOLVER_TOL LOG_DEFLATOR LOG_TREND_VAR LOG_GROWTH_FACTOR MARKOWITZ MARGINAL_DENSITY MAX MAXIT
%token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN MINIMAL_SOLVING_PERIODS
%token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER POSTERIOR_MAX_SUBSAMPLE_DRAWS MIN MINIMAL_SOLVING_PERIODS
%token MODE_CHECK MODE_CHECK_NEIGHBOURHOOD_SIZE MODE_CHECK_SYMMETRIC_PLOTS MODE_CHECK_NUMBER_OF_POINTS MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
%token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER SUB_DRAWS TAPER_STEPS GEWEKE_INTERVAL MCMC_JUMPING_COVARIANCE
%token <string_val> NAME
@ -1633,6 +1633,7 @@ estimation_options : o_datafile
| o_geweke_interval
| o_mcmc_jumping_covariance
| o_irf_plot_threshold
| o_posterior_max_subsample_draws
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -2423,6 +2424,7 @@ o_subsample_name : symbol EQUAL date_expr ':' date_expr
;
o_conf_sig : CONF_SIG EQUAL non_negative_number { driver.option_num("conf_sig", $3); };
o_mh_replic : MH_REPLIC EQUAL INT_NUMBER { driver.option_num("mh_replic", $3); };
o_posterior_max_subsample_draws : POSTERIOR_MAX_SUBSAMPLE_DRAWS EQUAL INT_NUMBER { driver.option_num("posterior_max_subsample_draws", $3); };
o_mh_drop : MH_DROP EQUAL non_negative_number { driver.option_num("mh_drop", $3); };
o_mh_jscale : MH_JSCALE EQUAL non_negative_number { driver.option_num("mh_jscale", $3); };
o_optim : OPTIM EQUAL '(' optim_options ')';

1
preprocessor/DynareFlex.ll
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@ -284,6 +284,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>dsge_var {return token::DSGE_VAR;}
<DYNARE_STATEMENT>dsge_varlag {return token::DSGE_VARLAG;}
<DYNARE_STATEMENT>moments_varendo {return token::MOMENTS_VARENDO;}
<DYNARE_STATEMENT>posterior_max_subsample_draws {return token::POSTERIOR_MAX_SUBSAMPLE_DRAWS;}
<DYNARE_STATEMENT>filtered_vars {return token::FILTERED_VARS;}
<DYNARE_STATEMENT>filter_step_ahead {return token::FILTER_STEP_AHEAD;}
<DYNARE_STATEMENT>relative_irf {return token::RELATIVE_IRF;}