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v4: made dynare_estimation safe for computing Smoother of a calibrated model (temporary) 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1702 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-02-09 17:27:26 +00:00
parent 083cae4c84
commit 806c29cc4a
2 changed files with 75 additions and 38 deletions
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4
matlab/DsgeLikelihood.m
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@ -82,7 +82,9 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
end
offset = offset+estim_params_.ncn;
end
M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end);
if estim_params_.np > 0
M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end);
end
% for i=1:estim_params_.np
% M_.params(estim_params_.param_vals(i,1)) = xparam1(i+offset);
%end

109
matlab/dynare_estimation.m
View File

@ -35,54 +35,77 @@ end
if options_.order > 1
options_.order = 1;
options_.order = 1;
end
if options_.prefilter == 1
options_.noconstant = 1;
options_.noconstant = 1;
end
if options_.filtered_vars ~= 0 & options_.filter_step_ahead == 0
options_.filter_step_ahead = 1;
options_.filter_step_ahead = 1;
end
if options_.filter_step_ahead ~= 0
options_.nk = max(options_.filter_step_ahead);
options_.nk = max(options_.filter_step_ahead);
else
options_.nk = 0;
options_.nk = 0;
end
%% Add something to the parser ++>
M_.dname = M_.fname; % The user should be able to choose another name
% for the directory...
% The user should be able to choose another name
% for the directory...
M_.dname = M_.fname;
pnames = [' ';'beta ';'gamm ';'norm ';'invg ';'unif ';'invg2'];
n_varobs = size(options_.varobs,1);
[xparam1,estim_params_,bayestopt_,lb,ub] = set_prior(estim_params_);
if ~isempty(estim_params_)
[xparam1,estim_params_,bayestopt_,lb,ub] = set_prior(estim_params_);
if any(bayestopt_.pshape > 0)
if options_.mode_compute
plot_priors
end
if any(bayestopt_.pshape > 0)
if options_.mode_compute
plot_priors
end
else
options_.mh_replic = 0;
end
% set prior bounds and check initial value of the parameters
bounds = prior_bounds(bayestopt_);
bounds(:,1)=max(bounds(:,1),lb);
bounds(:,2)=min(bounds(:,2),ub);
if any(xparam1 < bounds(:,1)) | any(xparam1 > bounds(:,2))
find(xparam1 < bounds(:,1))
find(xparam1 > bounds(:,2))
error('Initial parameter values are outside parameter bounds')
end
lb = bounds(:,1);
ub = bounds(:,2);
bayestopt_.lb = lb;
bayestopt_.ub = ub;
else
options_.mh_replic = 0;
xparam1 = [];
bayestopt_.lb = [];
bayestopt_.ub = [];
bayestopt_.jscale = [];
bayestopt_.pshape = [];
bayestopt_.p1 = [];
bayestopt_.p2 = [];
bayestopt_.p3 = [];
bayestopt_.p4 = [];
estim_params_.nvx = 0;
estim_params_.nvn = 0;
estim_params_.ncx = 0;
estim_params_.ncn = 0;
estim_params_.np = 0;
end
% set prior bounds and check initial value of the parameters
bounds = prior_bounds(bayestopt_);
bounds(:,1)=max(bounds(:,1),lb);
bounds(:,2)=min(bounds(:,2),ub);
if any(xparam1 < bounds(:,1)) | any(xparam1 > bounds(:,2))
find(xparam1 < bounds(:,1))
find(xparam1 > bounds(:,2))
error('Initial parameter values are outside parameter bounds')
end
lb = bounds(:,1);
ub = bounds(:,2);
bayestopt_.lb = lb;
bayestopt_.ub = ub;
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncn = estim_params_.ncn;
np = estim_params_.np ;
nx = nvx+nvn+ncx+ncn+np;
if ~isfield(options_,'trend_coeffs')
bayestopt_.with_trend = 0;
@ -102,13 +125,6 @@ end
bayestopt_.penalty = 1e8; % penalty
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncn = estim_params_.ncn;
np = estim_params_.np ;
nx = nvx+nvn+ncx+ncn+np;
dr = set_state_space([]);
nstatic = dr.nstatic;
npred = dr.npred;
@ -226,7 +242,9 @@ if length(options_.mode_file) > 0 & options_.posterior_mode_estimation
end
%% Compute the steady state:
set_parameters(xparam1);
if ~isempty(estim_params_)
set_parameters(xparam1);
end
if options_.steadystate_flag% if the _steadystate.m file is provided.
[oo_.steady_state,tchek] = feval([M_.fname '_steadystate'],[],[]);
else% if the steady state file is not provided.
@ -248,6 +266,23 @@ end
initial_estimation_checks(xparam1,gend,data);
if options_.mode_compute == 0 & length(options_.mode_file) == 0
if options_.smoother == 1
[atT,innov,measurement_error,filtered_state_vector,ys,trend_coeff,aK,T,R,P,PK,d,decomp] = DsgeSmoother(xparam1,gend,data);
oo_.Smoother.SteadyState = ys;
oo_.Smoother.TrendCoeffs = trend_coeff;
oo_.Smoother.integration_order = d;
oo_.Smoother.variance = P;
i_endo_nbr = 1:M_.endo_nbr;
if options_.nk ~= 0
oo_.FilteredVariablesKStepAhead = aK(options_.filter_step_ahead,i_endo_nbr,:);
oo_.FilteredVariablesKStepAheadVariances = PK(options_.filter_step_ahead,i_endo_nbr,i_endo_nbr,:);
oo_.FilteredVariablesShockDecomposition = decomp(options_.filter_step_ahead,i_endo_nbr,:,:);
end
for i=1:M_.endo_nbr
eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = atT(i,:)'';']);
eval(['oo_.FilteredVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = filtered_state_vector(i,:)'';']);
end
end
return;
end