order=2 in estimation command now triggers particle filter
parent
40fc16e618
commit
9bea42f411
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@ -40,9 +40,7 @@ if options_.order > 1
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elseif options_.particle.status && options_.order>2
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error(['Non linear filter are not implemented with order ' int2str(options_.order) ' approximation of the model!'])
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elseif ~options_.particle.status && options_.order==2
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disp('If you want to estimate the model with a second order approximation using a non linear filter, set options_.particle.status=1;')
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disp('I set order=1!')
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options_.order=1;
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error('For estimating the model with a second order approximation using a non linear filter, one should have options_.particle.status=1;')
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else
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error(['Cannot estimate a model with an order ' int2str(options_.order) ' approximation!'])
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end
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@ -276,8 +276,18 @@ EstimationStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsoli
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// Fill in option_order of mod_file_struct
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
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if (it != options_list.num_options.end())
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mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
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{
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int order = atoi(it->second.c_str());
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if (order > 2)
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{
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cerr << "ERROR: order > 2 is not supported in estimation" << endl;
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exit(EXIT_FAILURE);
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}
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mod_file_struct.order_option = max(mod_file_struct.order_option, order);
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}
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// Fill in mod_file_struct.partial_information
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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@ -334,6 +344,14 @@ void
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EstimationStatement::writeOutput(ostream &output, const string &basename) const
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{
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options_list.writeOutput(output);
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// Special treatment for order option and particle filter
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
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if (it == options_list.num_options.end())
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output << "options_.order = 1;" << endl;
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else if (atoi(it->second.c_str()) == 2)
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output << "options_.particle.status = 1;" << endl;
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symbol_list.writeOutput("var_list_", output);
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output << "dynare_estimation(var_list_);\n";
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}
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@ -65,6 +65,7 @@ MODFILES = \
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fs2000/fs2000_cmaes.mod \
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fs2000/fs2000_calib.mod \
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fs2000/fs2000_analytic_derivation.mod \
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fs2000/fs2000_particle.mod \
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homotopy/homotopy1_test.mod \
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homotopy/homotopy2_test.mod \
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homotopy/homotopy3_test.mod \
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@ -0,0 +1,76 @@
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// See fs2000.mod in the examples/ directory for details on the model
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var m P c e W R k d n l gy_obs gp_obs y dA;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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alp = 0.33;
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bet = 0.99;
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gam = 0.003;
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mst = 1.011;
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rho = 0.7;
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psi = 0.787;
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del = 0.02;
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model;
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
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c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
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P*c = m;
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m-1+d = l;
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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end;
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initval;
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k = 6;
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m = mst;
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P = 2.25;
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c = 0.45;
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e = 1;
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W = 4;
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R = 1.02;
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d = 0.85;
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n = 0.19;
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l = 0.86;
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y = 0.6;
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gy_obs = exp(gam);
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gp_obs = exp(-gam);
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dA = exp(gam);
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end;
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shocks;
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var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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end;
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steady;
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check;
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estimated_params;
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alp, beta_pdf, 0.356, 0.02;
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bet, beta_pdf, 0.993, 0.002;
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gam, normal_pdf, 0.0085, 0.003;
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mst, normal_pdf, 1.0002, 0.007;
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rho, beta_pdf, 0.129, 0.223;
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psi, beta_pdf, 0.65, 0.05;
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del, beta_pdf, 0.01, 0.005;
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stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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varobs gp_obs gy_obs;
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options_.solve_tolf = 1e-12;
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/* Not computing the mode because it is very expensive, just running a small MH */
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estimation(order=2,mode_compute=0,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=50);
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