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preprocessor: add proprosal_distribution and student_degrees_of_freedom options to estimation. closes #925

time-shift
Houtan Bastani 2015-05-19 12:08:42 +02:00
parent 19286d850b
commit 89828e56cc
4 changed files with 20 additions and 7 deletions
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10
matlab/initial_estimation_checks.m
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@ -44,6 +44,16 @@ if DynareDataset.vobs>length(find(diag(Model.Sigma_e)))+EstimatedParameters.nvn
error(['initial_estimation_checks:: Estimation can''t take place because too many shocks have been calibrated with a zero variance!'])
end
if ~strcmpi(DynareOptions.proposal_distribution, 'rand_multivariate_student') || ...
~strcmpi(DynareOptions.proposal_distribution, 'rand_multivariate_studuuent')
error(['initial_estimation_checks:: the proposal_distribution option to estimation takes either ' ...
'rand_multivariate_student or rand_multivariate_normal as options']);
end
if DynareOptions.student_degrees_of_freedom <= 0
error('initial_estimation_checks:: the student_degrees_of_freedom takes a positive integer argument');
end
old_steady_params=Model.params; %save initial parameters for check if steady state changes param values
% % check if steady state solves static model (except if diffuse_filter == 1)

8
preprocessor/DynareBison.yy
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@ -87,9 +87,9 @@ class ParsingDriver;
%token BVAR_DENSITY BVAR_FORECAST NODECOMPOSITION DR_DISPLAY_TOL HUGE_NUMBER
%token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA TARB_OPTIM
%token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
%token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED
%token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED PROPOSAL_DISTRIBUTION
%token CALIB_SMOOTHER CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF CYCLE_REDUCTION LOGARITHMIC_REDUCTION
%token CONSIDER_ALL_ENDOGENOUS CONSIDER_ONLY_OBSERVED
%token CONSIDER_ALL_ENDOGENOUS CONSIDER_ONLY_OBSERVED STUDENT_DEGREES_OF_FREEDOM
%token DATAFILE FILE SERIES DOUBLING DR_CYCLE_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_MAXITER DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION DIFFERENTIATE_FORWARD_VARS
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT EXTENDED_PATH ENDOGENOUS_PRIOR
%token FILENAME DIRNAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS LAST_OBS SET_TIME
@ -1719,6 +1719,8 @@ estimation_options : o_datafile
| o_tarb_mode_compute
| o_tarb_new_block_probability
| o_tarb_optim
| o_proposal_distribution
| o_student_degrees_of_freedom
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -2633,6 +2635,8 @@ 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 ')';
o_tarb_optim : TARB_OPTIM EQUAL '(' tarb_optim_options ')';
o_proposal_distribution : PROPOSAL_DISTRIBUTION EQUAL symbol { driver.option_str("proposal_distribution", $3); };
o_student_degrees_of_freedom : STUDENT_DEGREES_OF_FREEDOM EQUAL INT_NUMBER { driver.option_num("student_degrees_of_freedom", $3); };
o_mh_init_scale : MH_INIT_SCALE EQUAL non_negative_number { driver.option_num("mh_init_scale", $3); };
o_mode_file : MODE_FILE EQUAL filename { driver.option_str("mode_file", $3); };
o_mode_compute : MODE_COMPUTE EQUAL INT_NUMBER { driver.option_num("mode_compute", $3); };

2
preprocessor/DynareFlex.ll
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@ -371,6 +371,8 @@ 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>unscented {return token::UNSCENTED;}
<DYNARE_STATEMENT>montecarlo {return token::MONTECARLO;}
<DYNARE_STATEMENT>distribution_approximation {return token::DISTRIBUTION_APPROXIMATION;}
<DYNARE_STATEMENT>proposal_distribution {return token::PROPOSAL_DISTRIBUTION;}
<DYNARE_STATEMENT>student_degrees_of_freedom {return token::STUDENT_DEGREES_OF_FREEDOM;}
<DYNARE_STATEMENT>alpha {
yylval->string_val = new string(yytext);

7
tests/estimation/t_proposal/fs2000_student.mod
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@ -17,7 +17,7 @@
*/
/*
* Copyright (C) 2004-2010 Dynare Team
* Copyright (C) 2004-2015 Dynare Team
*
* This file is part of Dynare.
*
@ -114,7 +114,4 @@ end;
varobs gp_obs gy_obs;
options_.proposal_distribution='rand_multivariate_student';
options_.student_degrees_of_freedom=5;
estimation(order=1, datafile='../fsdat_simul',nobs=192, loglinear, mh_replic=2002, mh_nblocks=2, mh_jscale=0.8,mode_compute=4);
estimation(order=1, datafile='../fsdat_simul',nobs=192, loglinear, mh_replic=2002, mh_nblocks=2, mh_jscale=0.8,mode_compute=4, proposal_distribution=rand_multivariate_studuuent, student_degrees_of_freedom=5);