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Document mh_init_scale

time-shift
Johannes Pfeifer 2016-06-11 00:36:35 +02:00 committed by Stéphane Adjemian (Hermes)
parent df8ad833fb
commit 818befd4eb
1 changed files with 15 additions and 3 deletions
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@ -809,7 +809,8 @@ Activate the @code{nograph} option (@pxref{nograph}), so that Dynare will not pr
graph
@item nointeractive
Instructs Dynare to not request user input
@anchor{nointeractive}
Instructs Dynare to not request user input.
@item nopathchange
By default Dynare will change Matlab/Octave's path if
@ -5135,13 +5136,24 @@ This can be done in the @ref{estimated_params}- block.
Note that @code{mode_compute=6} will tune the scale parameter to achieve an acceptance rate of
@ref{AcceptanceRateTarget}. The resulting scale parameter will be saved into a file
named @file{@var{MODEL_FILENAME}_mh_scale.mat}. This file can be loaded in subsequent runs
via the @code{posterior_sampler_options}-option @code{scale_file}. Both @code{mode_compute=6}
via the @code{posterior_sampler_options}-option @ref{scale_file}. Both @code{mode_compute=6}
and @code{scale_file} will overwrite any value specified in @code{estimated_params} with the tuned value.
Default: @code{0.2}
@item mh_init_scale = @var{DOUBLE}
The scale to be used for drawing the initial value of the
Metropolis-Hastings chain. Default: 2*@code{mh_scale}
Metropolis-Hastings chain. Generally, the starting points should be overdispersed
for the @cite{Brooks and Gelman (1998)}-convergence diagnostics to be meaningful. Default: 2*@code{mh_jscale}.
It is important to keep in mind that @code{mh_init_scale} is set at the beginning of
Dynare execution, i.e. the default will not take into account potential changes in
@ref{mh_jscale} introduced by either @code{mode_compute=6} or the
@code{posterior_sampler_options}-option @ref{scale_file}.
If @code{mh_init_scale} is too wide during initalization of the posterior sampler so that 100 tested draws
are inadmissible (e.g. Blanchard-Kahn conditions are always violated), Dynare will request user input
of a new @code{mh_init_scale} value with which the next 100 draws will be drawn and tested.
If the @ref{nointeractive}-option has been invoked, the program will instead automatically decrease
@code{mh_init_scale} by 10 percent after 100 futile draws and try another 100 draws. This iterative
procedure will take place at most 10 times, at which point Dynare will abort with an error message.
@item mh_recover
@anchor{mh_recover} Attempts to recover a Metropolis-Hastings