Rewrote doc header.
parent
996bdd6c64
commit
6418e225bf
|
@ -1,113 +1,32 @@
|
|||
function [fval,info,exit_flag,DLIK,Hess,ys,trend_coeff,Model,DynareOptions,BayesInfo,DynareResults] = non_linear_dsge_likelihood(xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults)
|
||||
|
||||
% Evaluates the posterior kernel of a dsge model using a non linear filter.
|
||||
%
|
||||
% INPUTS
|
||||
% - xparam1 [double] n×1 vector, estimated parameters.
|
||||
% - DynareDataset [struct] Matlab's structure containing the dataset (initialized by dynare, aka dataset_).
|
||||
% - DatasetInfo [struct] Matlab's structure describing the dataset (initialized by dynare, aka dataset_info).
|
||||
% - DynareOptions [struct] Matlab's structure describing the options (initialized by dynare, aka options_).
|
||||
% - Model [struct] Matlab's structure describing the Model (initialized by dynare, aka M_).
|
||||
% - EstimatedParameters [struct] Matlab's structure describing the estimated_parameters (initialized by dynare, aka estim_params_).
|
||||
% - BayesInfo [struct] Matlab's structure describing the priors (initialized by dynare,aka bayesopt_).
|
||||
% - BoundsInfo [struct] Matlab's structure specifying the bounds on the paramater values (initialized by dynare,aka bayesopt_).
|
||||
% - DynareResults [struct] Matlab's structure gathering the results (initialized by dynare,aka oo_).
|
||||
%
|
||||
% OUTPUTS
|
||||
% - fval [double] scalar, value of the likelihood or posterior kernel.
|
||||
% - info [integer] 4×1 vector, informations resolution of the model and evaluation of the likelihood.
|
||||
% - exit_flag [integer] scalar, equal to 1 (no issues when evaluating the likelihood) or 0 (not able to evaluate the likelihood).
|
||||
% - DLIK [double] Empty array.
|
||||
% - Hess [double] Empty array.
|
||||
% - ys [double] Empty array.
|
||||
% - trend_coeff [double] Empty array.
|
||||
% - Model [struct] Updated Model structure described in INPUTS section.
|
||||
% - DynareOptions [struct] Updated DynareOptions structure described in INPUTS section.
|
||||
% - BayesInfo [struct] See INPUTS section.
|
||||
% - DynareResults [struct] Updated DynareResults structure described in INPUTS section.
|
||||
|
||||
%@info:
|
||||
%! @deftypefn {Function File} {[@var{fval},@var{exit_flag},@var{ys},@var{trend_coeff},@var{info},@var{Model},@var{DynareOptions},@var{BayesInfo},@var{DynareResults}] =} non_linear_dsge_likelihood (@var{xparam1},@var{DynareDataset},@var{DynareOptions},@var{Model},@var{EstimatedParameters},@var{BayesInfo},@var{DynareResults})
|
||||
%! @anchor{dsge_likelihood}
|
||||
%! @sp 1
|
||||
%! Evaluates the posterior kernel of a dsge model using a non linear filter.
|
||||
%! @sp 2
|
||||
%! @strong{Inputs}
|
||||
%! @sp 1
|
||||
%! @table @ @var
|
||||
%! @item xparam1
|
||||
%! Vector of doubles, current values for the estimated parameters.
|
||||
%! @item DynareDataset
|
||||
%! Matlab's structure describing the dataset (initialized by dynare, see @ref{dataset_}).
|
||||
%! @item DynareOptions
|
||||
%! Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
|
||||
%! @item Model
|
||||
%! Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).
|
||||
%! @item EstimatedParamemeters
|
||||
%! Matlab's structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
|
||||
%! @item BayesInfo
|
||||
%! Matlab's structure describing the priors (initialized by dynare, see @ref{bayesopt_}).
|
||||
%! @item DynareResults
|
||||
%! Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{Outputs}
|
||||
%! @sp 1
|
||||
%! @table @ @var
|
||||
%! @item fval
|
||||
%! Double scalar, value of (minus) the likelihood.
|
||||
%! @item info
|
||||
%! Double vector, fourth entry stores penalty, first entry the error code.
|
||||
%! @table @ @code
|
||||
%! @item info==0
|
||||
%! No error.
|
||||
%! @item info==1
|
||||
%! The model doesn't determine the current variables uniquely.
|
||||
%! @item info==2
|
||||
%! MJDGGES returned an error code.
|
||||
%! @item info==3
|
||||
%! Blanchard & Kahn conditions are not satisfied: no stable equilibrium.
|
||||
%! @item info==4
|
||||
%! Blanchard & Kahn conditions are not satisfied: indeterminacy.
|
||||
%! @item info==5
|
||||
%! Blanchard & Kahn conditions are not satisfied: indeterminacy due to rank failure.
|
||||
%! @item info==6
|
||||
%! The jacobian evaluated at the deterministic steady state is complex.
|
||||
%! @item info==19
|
||||
%! The steadystate routine has thrown an exception (inconsistent deep parameters).
|
||||
%! @item info==20
|
||||
%! Cannot find the steady state, info(2) contains the sum of square residuals (of the static equations).
|
||||
%! @item info==21
|
||||
%! The steady state is complex, info(2) contains the sum of square of imaginary parts of the steady state.
|
||||
%! @item info==22
|
||||
%! The steady has NaNs.
|
||||
%! @item info==23
|
||||
%! M_.params has been updated in the steadystate routine and has complex valued scalars.
|
||||
%! @item info==24
|
||||
%! M_.params has been updated in the steadystate routine and has some NaNs.
|
||||
%! @item info==30
|
||||
%! Ergodic variance can't be computed.
|
||||
%! @item info==41
|
||||
%! At least one parameter is violating a lower bound condition.
|
||||
%! @item info==42
|
||||
%! At least one parameter is violating an upper bound condition.
|
||||
%! @item info==43
|
||||
%! The covariance matrix of the structural innovations is not positive definite.
|
||||
%! @item info==44
|
||||
%! The covariance matrix of the measurement errors is not positive definite.
|
||||
%! @item info==45
|
||||
%! Likelihood is not a number (NaN).
|
||||
%! @item info==45
|
||||
%! Likelihood is a complex valued number.
|
||||
%! @end table
|
||||
%! @item exit_flag
|
||||
%! Integer scalar, equal to zero if the routine return with a penalty (one otherwise).
|
||||
%! @item DLIK
|
||||
%! Vector of doubles, placeholder for score of the likelihood, currently
|
||||
%! not supported by non_linear_dsge_likelihood
|
||||
%! @item AHess
|
||||
%! Matrix of doubles, placeholder for asymptotic hessian matrix, currently
|
||||
%! not supported by non_linear_dsge_likelihood
|
||||
%! @item ys
|
||||
%! Vector of doubles, steady state level for the endogenous variables.
|
||||
%! @item trend_coeffs
|
||||
%! Matrix of doubles, coefficients of the deterministic trend in the measurement equation.
|
||||
%! @item Model
|
||||
%! Matlab's structure describing the model (initialized by dynare, see @ref{M_}).
|
||||
%! @item DynareOptions
|
||||
%! Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
|
||||
%! @item BayesInfo
|
||||
%! Matlab's structure describing the priors (initialized by dynare, see @ref{bayesopt_}).
|
||||
%! @item DynareResults
|
||||
%! Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
|
||||
%! @end table
|
||||
%! @sp 2
|
||||
%! @strong{This function is called by:}
|
||||
%! @sp 1
|
||||
%! @ref{dynare_estimation_1}, @ref{mode_check}
|
||||
%! @sp 2
|
||||
%! @strong{This function calls:}
|
||||
%! @sp 1
|
||||
%! @ref{dynare_resolve}, @ref{lyapunov_symm}, @ref{priordens}
|
||||
%! @end deftypefn
|
||||
%@eod:
|
||||
|
||||
% Copyright (C) 2010-2017 Dynare Team
|
||||
% Copyright (C) 2010-2019 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
Loading…
Reference in New Issue