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details all the options for testing particle filters.

time-shift
Frédéric Karamé 2012-11-16 11:11:42 +01:00
parent edf9955c09
commit a6576debd5
1 changed files with 23 additions and 12 deletions
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35
tests/particle/dsge_base2.mod
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@ -24,16 +24,15 @@ log(A) = rho*log(A(-1)) + e_a ;
(((c^(tet))*((1-l)^(1-tet)))^(1-tau))/c - bet*((((c(+1)^(tet))*((1-l(+1))^(1-tet)))^(1-tau))/c(+1))*(1 -delt+alp*(A(1)*(k^alp)*(l(1)^(1-alp)))/k)=0 ;
end;
steady;
resid(1);
shocks;
var e_a; stderr 0.007;
var e_a; stderr 0.035;
end;
steady;
//stoch_simul(order=2,drop=0,periods=250,noprint,nograph) y l i ;
//disp([y l i ]) ;
//disp(oo_.mean) ;
estimated_params;
alp, uniform_pdf,,, 0.0001, 1;
@ -61,8 +60,10 @@ stderr l, .00312;//.0011;
stderr i, .00465;//.000866;
end;
varobs y l i ;
varobs y l i;
//options_.gstep(1) = 1e-4;
//options_.gstep(2) = .1;
options_.particle.status = 1;
options_.particle.algorithm = 'sequential_importance_particle_filter';
@ -72,11 +73,21 @@ options_.particle.number_of_particles = 20000;
options_.particle.resampling.status = 'systematic';
options_.particle.resampling.neff_threshold = .1;
options_.gstep(1) = 1e-4;
options_.gstep(2) = .1;
options_.mode_check_neighbourhood_size = 0.05;
set_dynare_threads('local_state_space_iteration_2',3);
estimation(datafile=data_risky_perturb2,nograph,order=2,nobs=100,mh_replic=0,mode_compute=7,mode_check);
options_.particle.algorithm = 'sequential_importance_particle_filter';
//options_.particle.algorithm = 'auxiliary_particle_filter';
//options_.particle.algorithm = 'gaussian_mixture_filter';
//options_.particle.algorithm = 'each_gaussian_filter';
//options_.particle.algorithm = 'gaussian_filter';
options_.particle.IS_approximation_method = 'quadrature' ;
//options_.particle.IS_approximation_method = 'cubature' ;
//options_.particle.IS_approximation_method = 'unscented' ;
//options_.particle.approximation_method = 'quadrature' ;
//options_.particle.approximation_method = 'cubature' ;
//options_.particle.approximation_method = 'unscented' ;
//options_.particle.approximation_method = 'MonteCarlo' ;
estimation(datafile=data_risky_perturb2,nograph,order=2,nobs=100,mh_replic=0,mode_compute=7,mode_check);