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Add warning if prior allows for negative variances and if negative estimated variances are encountered. Closes #522 

Due to the use of variances for Sigma_e and subsequently backing out the standard deviation from these variances, the sign of the standard deviation does not matter and no bound needs to be imposed.
time-shift
Johannes Pfeifer 2013-11-06 08:26:22 +01:00
parent a5be9dd845
commit a9292c5086
2 changed files with 37 additions and 6 deletions
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7
matlab/display_estimation_results_table.m
View File

@ -20,7 +20,7 @@ function oo_=display_estimation_results_table(xparam1,stdh,M_,options_,estim_par
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2013 Dynare Team
% Copyright (C) 2014 Dynare Team
%
% This file is part of Dynare.
%
@ -169,6 +169,9 @@ if ncn
end
skipline()
end
if any(xparam1(1:nvx+nvn)<0)
warning('Some estimated standard deviations are negative. Dynare internally works with variances so that the sign does not matter. Nevertheless, it is recommended to impose either prior restrictions (Bayesian Estimation) or a lower bound (ML) to assure positive values.')
end
OutputDirectoryName = CheckPath('Output',M_.dname);
@ -556,4 +559,4 @@ elseif all(bayestopt_.pshape == 0) && options_.TeX %% MLE and GMM Latex output
fclose(fidTeX);
end
end
end

36
matlab/initial_estimation_checks.m
View File

@ -3,9 +3,14 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
% Checks data (complex values, ML evaluation, initial values, BK conditions,..)
%
% INPUTS
% xparam1: vector of parameters to be estimated
% gend: scalar specifying the number of observations
% data: matrix of data
% objective_function [function handle] of the objective function
% xparam1: [vector] of parameters to be estimated
% DynareDataset: [structure] storing the dataset information
% Model: [structure] decribing the model
% EstimatedParameters [structure] characterizing parameters to be estimated
% DynareOptions [structure] describing the options
% BayesInfo [structure] describing the priors
% DynareResults [structure] storing the results
%
% OUTPUTS
% DynareResults structure of temporary results
@ -13,7 +18,7 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2003-2012 Dynare Team
% Copyright (C) 2003-2014 Dynare Team
%
% This file is part of Dynare.
%
@ -41,6 +46,29 @@ end
% check if steady state solves static model (except if diffuse_filter == 1)
[DynareResults.steady_state] = evaluate_steady_state(DynareResults.steady_state,Model,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
if any(BayesInfo.pshape) % if Bayesian estimation
nvx=EstimatedParameters.nvx;
if nvx && any(BayesInfo.p3(1:nvx)<0)
warning('Your prior allows for negative standard deviations for structural shocks. Due to working with variances, Dynare will be able to continue, but it is recommended to change your prior.')
end
offset=nvx;
nvn=EstimatedParameters.nvn;
if nvn && any(BayesInfo.p3(1+offset:offset+nvn)<0)
warning('Your prior allows for negative standard deviations for measurement error. Due to working with variances, Dynare will be able to continue, but it is recommended to change your prior.')
end
offset = nvx+nvn;
ncx=EstimatedParameters.ncx;
if ncx && (any(BayesInfo.p3(1+offset:offset+ncx)<-1) || any(BayesInfo.p4(1+offset:offset+ncx)>1))
warning('Your prior allows for correlations between measurement errors larger than +-1 and will not integrate to 1 due to truncation. Please change your prior')
end
offset = nvx+nvn+ncx;
ncn=EstimatedParameters.ncn;
if ncn && (any(BayesInfo.p3(1+offset:offset+ncn)<-1) || any(BayesInfo.p4(1+offset:offset+ncn)>1))
warning('Your prior allows for correlations between structural shocks larger than +-1 and will not integrate to 1 due to truncation. Please change your prior')
end
end
% Evaluate the likelihood.
ana_deriv = DynareOptions.analytic_derivation;
DynareOptions.analytic_derivation=0;