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Added new tool. When using the instruction get_prior_info(2) in the mod file (after the 

definition of the priors) Dynare tries to compute the prior mode using
Chris Sims' optimization routine.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2724 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-06-05 10:16:31 +00:00
parent 7691c17b15
commit a9d7088ced
3 changed files with 127 additions and 3 deletions
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51
matlab/get_prior_info.m
View File

@ -92,8 +92,8 @@ function get_prior_info(info)
end
M_.dname = M_.fname;
if info% Prior simulations.
if info==1% Prior simulations.
results = prior_sampler(0,M_,bayestopt_,options_,oo_);
disp(['Prior mass = ' num2str(results.prior.mass)])
disp(['BK indeterminacy share = ' num2str(results.bk.indeterminacy_share)])
@ -106,7 +106,52 @@ function get_prior_info(info)
disp(['Analytical steady state problem share = ' num2str(results.ass.problem_share)])
end
if info==2% Prior optimization.
k = find(~isnan(bayestopt_.p5));
xparam1(k) = bayestopt_.p5(k);
look_for_admissible_initial_condition = 1;
scale = 1.0;
iter = 0;
while look_for_admissible_initial_condition
xinit = xparam1+scale*randn(size(xparam1));
if all(xinit>bayestopt_.p3) && all(xinit<bayestopt_.p4)
look_for_admissible_initial_condition = 0;
else
if iter == 2000;
scale = scale/1.1;
iter = 0;
else
iter = iter+1;
end
end
end
[xparams,lpd,hessian] = ...
maximize_prior_density(xinit, bayestopt_.pshape, ...
bayestopt_.p6, ...
bayestopt_.p7, ...
bayestopt_.p3, ...
bayestopt_.p4);
disp(' ')
disp(' ')
disp('------------------')
disp('PRIOR OPTIMIZATION')
disp('------------------')
disp(' ')
for i = 1:length(xparams)
disp(['deep parameter ' int2str(i) ': ' get_the_name(i,0) '.'])
disp([' Initial condition ....... ' num2str(xinit(i)) '.'])
disp([' Prior mode .............. ' num2str(bayestopt_.p5(i)) '.'])
disp([' Optimized prior mode .... ' num2str(xparams(i)) '.'])
disp(' ')
end
end

47
matlab/maximize_prior_density.m Normal file
View File

@ -0,0 +1,47 @@
function [xparams,lpd,hessian] = ...
maximize_prior_density(iparams, prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound)
% Maximizes the logged prior density using Chris Sims' optimization routine.
%
% INPUTS
% iparams [double] vector of initial parameters.
% prior_shape [integer] vector specifying prior densities shapes.
% prior_hyperparameter_1 [double] vector, first hyperparameter.
% prior_hyperparameter_2 [double] vector, second hyperparameter.
% prior_inf_bound [double] vector, prior's lower bound.
% prior_sup_bound [double] vector, prior's upper bound.
%
% OUTPUTS
% xparams [double] vector, prior mode.
% lpd [double] scalar, value of the logged prior density at the mode.
% hessian [double] matrix, Hessian matrix at the prior mode.
% Copyright (C) 2009 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 <http://www.gnu.org/licenses/>.
number_of_estimated_parameters = length(iparams);
H0 = 1e-4*eye(number_of_estimated_parameters);
crit = 1e-7;
nit = 1000;
verbose = 2;
gradient_method = 2;
[lpd,xparams,grad,hessian,itct,fcount,retcodehat] = ...
csminwel('minus_logged_prior_density',iparams,H0,[],crit,nit,gradient_method, ...
prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound);
lpd = -lpd;

32
matlab/minus_logged_prior_density.m Normal file
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@ -0,0 +1,32 @@
function [f,fake] = minus_logged_prior_density(xparams,pshape,p6,p7,p3,p4)
% Evaluates minus the logged prior density.
%
% INPUTS
% xparams [double] vector of parameters.
% pshape [integer] vector specifying prior densities shapes.
% p6 [double] vector, first hyperparameter.
% p7 [double] vector, second hyperparameter.
% p3 [double] vector, prior's lower bound.
% p4 [double] vector, prior's upper bound.
%
% OUTPUTS
% f [double] value of minus the logged prior density.
% Copyright (C) 2009 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 <http://www.gnu.org/licenses/>.
fake = 1;
f = - priordens(xparams,pshape,p6,p7,p3,p4);