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