From 9a9b8f2a70e07f05d4e7935f5b4656fbb882cae8 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Thu, 14 Apr 2016 20:11:22 +0200 Subject: [PATCH 1/4] Account for smoother setting parameter count fields in dynare_estimation_init.m Otherwise, subsequent calls to the smoother will result in crashes --- matlab/dynare_estimation_init.m | 10 +++++----- 1 file changed, 5 insertions(+), 5 deletions(-) diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m index df416898a..c7d32065c 100644 --- a/matlab/dynare_estimation_init.m +++ b/matlab/dynare_estimation_init.m @@ -144,7 +144,7 @@ else end % Set priors over the estimated parameters. -if ~isempty(estim_params_) +if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) [xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_); end @@ -158,7 +158,7 @@ if exist([M_.fname '_prior_restrictions.m']) end % Check that the provided mode_file is compatible with the current estimation settings. -if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_posterior_mode_estimation +if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) && ~isempty(options_.mode_file) && ~options_.mh_posterior_mode_estimation number_of_estimated_parameters = length(xparam1); mode_file = load(options_.mode_file); if number_of_estimated_parameters>length(mode_file.xparam1) @@ -289,7 +289,7 @@ if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_poste end %check for calibrated covariances before updating parameters -if ~isempty(estim_params_) +if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_); end @@ -308,7 +308,7 @@ if options_.use_calibration_initialization %set calibration as starting values end end -if ~isempty(estim_params_) && ~all(strcmp(fieldnames(estim_params_),'full_calibration_detected')) +if ~isempty(estim_params_) && ~(all(strcmp(fieldnames(estim_params_),'full_calibration_detected')) || (isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0)) if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0) % Plot prior densities. if ~options_.nograph && options_.plot_priors @@ -339,7 +339,7 @@ if ~isempty(estim_params_) && ~all(strcmp(fieldnames(estim_params_),'full_calibr end end -if isempty(estim_params_) || all(strcmp(fieldnames(estim_params_),'full_calibration_detected'))% If estim_params_ is empty (e.g. when running the smoother on a calibrated model) +if isempty(estim_params_) || all(strcmp(fieldnames(estim_params_),'full_calibration_detected')) || (isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) % If estim_params_ is empty (e.g. when running the smoother on a calibrated model) if ~options_.smoother error('Estimation: the ''estimated_params'' block is mandatory (unless you are running a smoother)') end From 8908d465679f5a0b320ae77b8a479f1650cd8e00 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Thu, 14 Apr 2016 14:28:59 +0200 Subject: [PATCH 2/4] Initialize s to make sure univariate_kalman_filter_d.m does not crash if newRank is 0 initially --- matlab/kalman/likelihood/univariate_kalman_filter_d.m | 1 + 1 file changed, 1 insertion(+) diff --git a/matlab/kalman/likelihood/univariate_kalman_filter_d.m b/matlab/kalman/likelihood/univariate_kalman_filter_d.m index 2383dc602..fbfde3157 100644 --- a/matlab/kalman/likelihood/univariate_kalman_filter_d.m +++ b/matlab/kalman/likelihood/univariate_kalman_filter_d.m @@ -112,6 +112,7 @@ llik = zeros(smpl,pp); newRank = rank(Pinf,diffuse_kalman_tol); l2pi = log(2*pi); +s=0; while newRank && (t<=last) s = t-start+1; From 9d6126c5f6788f4eb89260a4af2cfa4c731a8d61 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Thu, 14 Apr 2016 14:30:36 +0200 Subject: [PATCH 3/4] Make fs2000_smoother_only.mod call all Kalman options --- tests/kalman_filter_smoother/fs2000_smoother_only.mod | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/tests/kalman_filter_smoother/fs2000_smoother_only.mod b/tests/kalman_filter_smoother/fs2000_smoother_only.mod index 64bb193ca..696f68c05 100644 --- a/tests/kalman_filter_smoother/fs2000_smoother_only.mod +++ b/tests/kalman_filter_smoother/fs2000_smoother_only.mod @@ -101,7 +101,10 @@ check; varobs gp_obs gy_obs; estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother) m P c e W R k d n l gy_obs gp_obs y dA; - +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=1) m P c e W R k d n l gy_obs gp_obs y dA; +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=2) m P c e W R k d n l gy_obs gp_obs y dA; +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=3) m P c e W R k d n l gy_obs gp_obs y dA; +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother,kalman_algo=4) m P c e W R k d n l gy_obs gp_obs y dA; /* * The following lines were used to generate the data file. If you want to From 30be2ed62aafa94453f278b91a682cbccffec511 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Thu, 14 Apr 2016 14:31:03 +0200 Subject: [PATCH 4/4] Add unit test for smoother only on nonstationary model --- tests/Makefile.am | 1 + .../fs2000_smoother_only_ns.mod | 121 ++++++++++++++++++ 2 files changed, 122 insertions(+) create mode 100644 tests/kalman_filter_smoother/fs2000_smoother_only_ns.mod diff --git a/tests/Makefile.am b/tests/Makefile.am index c65e761b1..f3fadbf2f 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -193,6 +193,7 @@ MODFILES = \ kalman_filter_smoother/fs2000_2.mod \ kalman_filter_smoother/fs2000a.mod \ kalman_filter_smoother/fs2000_smoother_only.mod \ + kalman_filter_smoother/fs2000_smoother_only_ns.mod \ kalman_filter_smoother/check_variable_dimensions/fs2000.mod \ kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod \ kalman/likelihood_from_dynare/fs2000_corr_ME.mod \ diff --git a/tests/kalman_filter_smoother/fs2000_smoother_only_ns.mod b/tests/kalman_filter_smoother/fs2000_smoother_only_ns.mod new file mode 100644 index 000000000..5688611a3 --- /dev/null +++ b/tests/kalman_filter_smoother/fs2000_smoother_only_ns.mod @@ -0,0 +1,121 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA; +varexo e_a e_m; + +parameters alp bet gam mst rho psi del; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; + +model; +dA = exp(gam+e_a); +log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; +-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; +W = l/n; +-(psi/(1-psi))*(c*P/(1-n))+l/n = 0; +R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; +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; +c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); +P*c = m; +m-1+d = l; +e = exp(e_a); +y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); +gy_obs = dA*y/y(-1); +gp_obs = (P/P(-1))*m(-1)/dA; +Y_obs/Y_obs(-1) = gy_obs; +P_obs/P_obs(-1) = gp_obs; +end; + +steady_state_model; + dA = exp(gam); + gst = 1/dA; + m = mst; + khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1)); + xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1); + nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp ); + n = xist/(nust+xist); + P = xist + nust; + k = khst*n; + + l = psi*mst*n/( (1-psi)*(1-n) ); + c = mst/P; + d = l - mst + 1; + y = k^alp*n^(1-alp)*gst^alp; + R = mst/bet; + W = l/n; + ist = y-c; + q = 1 - d; + + e = 1; + + gp_obs = m/dA; + gy_obs = dA; + Y_obs = gy_obs; + P_obs = gp_obs; +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +varobs P_obs Y_obs; + +observation_trends; +P_obs (log(mst)-gam); +Y_obs (gam); +end; + +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother) m P c e W R k d n l gy_obs gp_obs y dA; +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother,kalman_algo=3) m P c e W R k d n l gy_obs gp_obs y dA; +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear,diffuse_filter, smoother,kalman_algo=4) m P c e W R k d n l gy_obs gp_obs y dA; + +/* + * The following lines were used to generate the data file. If you want to + * generate another random data file, comment the "estimation" line and uncomment + * the following lines. + */ + +//stoch_simul(periods=200, order=1); +//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));