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Merge pull request #441 from JohannesPfeifer/mode_check 

Bugfix for mode_check and display of parameters out of bounds
time-shift
Sébastien Villemot 2013-08-12 03:31:50 -07:00
parent 1e9521af0f 41f6c2ff66
commit b4f8532bea
3 changed files with 56 additions and 18 deletions
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31
matlab/dynare_estimation_1.m
View File

@ -513,6 +513,24 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
disp('=> posterior variance of the estimated parameters are not positive.')
disp('You should try to change the initial values of the parameters using')
disp('the estimated_params_init block, or use another optimization routine.')
params_at_bound=find(xparam1==ub | xparam1==lb);
if ~isempty(params_at_bound)
for ii=1:length(params_at_bound)
params_at_bound_name{ii,1}=get_the_name(ii,0,M_,estim_params_,options_);
end
disp_string=[params_at_bound_name{1,:}];
for ii=2:size(params_at_bound_name,1)
disp_string=[disp_string,', ',params_at_bound_name{ii,:}];
end
fprintf('\nThe following parameters are at the prior bound: %s\n', disp_string)
fprintf('Some potential solutions are:\n')
fprintf(' - Check your model for mistakes.\n')
fprintf(' - Check whether model and data are consistent (correct observation equation).\n')
fprintf(' - Shut off prior_trunc.\n')
fprintf(' - Use a different mode_compute like 6 or 9.\n')
fprintf(' - Check whether the parameters estimated are identified.\n')
fprintf(' - Increase the informativeness of the prior.\n')
end
warning('The results below are most likely wrong!');
end
end
@ -578,11 +596,14 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
bounds(:,2)=min(bounds(:,2),ub);
bayestopt_.lb = bounds(:,1);
bayestopt_.ub = bounds(:,2);
if any(xparam1 < bounds(:,1)) || any(xparam1 > bounds(:,2))
outside_bound_vars=bayestopt_.name([find(xparam1 < bounds(:,1)); find(xparam1 > bounds(:,2))],:);
disp_string=[outside_bound_vars{1,:}];
for ii=2:size(outside_bound_vars,1)
disp_string=[disp_string,', ',outside_bound_vars{ii,:}];
outside_bound_pars=find(xparam1 < bounds(:,1) | xparam1 > bounds(:,2));
if ~isempty(outside_bound_pars)
for ii=1:length(outside_bound_pars)
outside_bound_par_names{ii,1}=get_the_name(ii,0,M_,estim_params_,options_);
end
disp_string=[outside_bound_par_names{1,:}];
for ii=2:size(outside_bound_par_names,1)
disp_string=[disp_string,', ',outside_bound_par_names{ii,:}];
end
error(['Mode value(s) of ', disp_string ,' are outside parameter bounds. Potentially, you should set prior_trunc=0.'])
end

13
matlab/dynare_estimation_init.m
View File

@ -146,11 +146,14 @@ if ~isempty(estim_params_)
end
% Test if initial values of the estimated parameters are all between
% the prior lower and upper bounds.
if any(xparam1 < bounds(:,1)) || any(xparam1 > bounds(:,2))
outside_bound_vars=bayestopt_.name([find(xparam1 < bounds(:,1)); find(xparam1 > bounds(:,2))],:);
disp_string=[outside_bound_vars{1,:}];
for ii=2:size(outside_bound_vars,1)
disp_string=[disp_string,', ',outside_bound_vars{ii,:}];
outside_bound_pars=find(xparam1 < bounds(:,1) | xparam1 > bounds(:,2));
if ~isempty(outside_bound_pars)
for ii=1:length(outside_bound_pars)
outside_bound_par_names{ii,1}=get_the_name(ii,0,M_,estim_params_,options_);
end
disp_string=[outside_bound_par_names{1,:}];
for ii=2:size(outside_bound_par_names,1)
disp_string=[disp_string,', ',outside_bound_par_names{ii,:}];
end
error(['Initial value(s) of ', disp_string ,' are outside parameter bounds. Potentially, you should set prior_trunc=0. If you used the mode_file-option, check whether your mode-file is consistent with the priors.'])
end

30
matlab/mode_check.m
View File

@ -109,15 +109,24 @@ for plt = 1:nbplt,
end
end
xx = x;
l1 = max(BayesInfo.lb(kk),(1-sign(x(kk))*ll)*x(kk)); m1 = 0;
l2 = min(BayesInfo.ub(kk),(1+sign(x(kk))*ll)*x(kk));
if DynareOptions.mode_check.symmetric_plots,
if l2<(1+ll)*x(kk)
l1 = x(kk) - (l2-x(kk));
l1 = max(BayesInfo.lb(kk),(1-sign(x(kk))*ll)*x(kk)); m1 = 0; %lower bound
l2 = min(BayesInfo.ub(kk),(1+sign(x(kk))*ll)*x(kk)); %upper bound
binding_lower_bound=0;
binding_upper_bound=0;
if isequal(x(kk),BayesInfo.lb(kk))
binding_lower_bound=1;
bound_value=BayesInfo.lb(kk);
elseif isequal(x(kk),BayesInfo.ub(kk))
binding_upper_bound=1;
bound_value=BayesInfo.ub(kk);
end
if DynareOptions.mode_check.symmetric_plots && ~binding_lower_bound && ~binding_upper_bound
if l2<(1+ll)*x(kk) %test whether upper bound is too small due to prior binding
l1 = x(kk) - (l2-x(kk)); %adjust lower bound to become closer
m1 = 1;
end
if ~m1 && (l1>(1-ll)*x(kk)) && (x(kk)+(x(kk)-l1)<BayesInfo.ub(kk))
l2 = x(kk) + (x(kk)-l1);
if ~m1 && (l1>(1-ll)*x(kk)) && (x(kk)+(x(kk)-l1)<BayesInfo.ub(kk)) % if lower bound was truncated and using difference from lower bound does not violate upper bound
l2 = x(kk) + (x(kk)-l1); %set upper bound to same distance as lower bound
end
end
z1 = l1:((x(kk)-l1)/(DynareOptions.mode_check.number_of_points/2)):x(kk);
@ -149,8 +158,13 @@ for plt = 1:nbplt,
yNaN = yl(1)*ones(size(NaN_index));
plot(zNaN,yNaN,'o','MarkerEdgeColor','r','MarkerFaceColor','r','MarkerSize',6);
title(name,'interpreter','none')
hold off
axis tight
if binding_lower_bound || binding_upper_bound
xl=get(gca,'xlim');
plot( [bound_value bound_value], yl, 'r--', 'LineWidth', 1)
xlim([xl(1)-0.5*binding_lower_bound*(xl(2)-xl(1)) xl(2)+0.5*binding_upper_bound*(xl(2)-xl(1))])
end
hold off
drawnow
end
if DynareOptions.mode_check.nolik==0,