commit
cb0f0e6701
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@ -189,7 +189,7 @@ We have considered the following DYNARE components suitable to be parallelized u
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\item the Random Walk- (and the analogous Independent-)-Metropolis-Hastings algorithm with multiple chains: the different chains are completely independent and do not require any communication between them, so it can be executed on different cores/CPUs/Computer Network easily;
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\item a number of procedures performed after the completion of Metropolis, that use the posterior MC sample:
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\begin{enumerate}
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\item the diagnostic tests for the convergence of the Markov Chain \\(\texttt{McMCDiagnostics.m});
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\item the diagnostic tests for the convergence of the Markov Chain \\(\texttt{mcmc\_diagnostics.m});
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\item the function that computes posterior IRF's (\texttt{posteriorIRF.m}).
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\item the function that computes posterior statistics for filtered and smoothed variables, forecasts, smoothed shocks, etc.. \\ (\verb"prior_posterior_statistics.m").
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\item the utility function that loads matrices of results and produces plots for posterior statistics (\texttt{pm3.m}).
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@ -725,8 +725,8 @@ So far, we have parallelized the following functions, by selecting the most comp
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\verb"independent_metropolis_hastings.m", \\
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\verb"independent_metropolis_hastings_core.m";
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\item the cycle looping over estimated parameters computing univariate diagnostics:\\
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\verb"McMCDiagnostics.m", \\
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\verb"McMCDiagnostics_core.m";
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\verb"mcmc_diagnostics.m", \\
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\verb"mcmc_diagnostics_core.m";
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\item the Monte Carlo cycle looping over posterior parameter subdraws performing the IRF simulations (\verb"<*>_core1") and the cycle looping over exogenous shocks plotting IRF's charts (\verb"<*>_core2"):\\
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\verb"posteriorIRF.m", \\\verb"posteriorIRF_core1.m", \verb"posteriorIRF_core2.m";
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\item the Monte Carlo cycle looping over posterior parameter subdraws, that computes filtered, smoothed, forecasted variables and shocks:\\
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@ -0,0 +1,67 @@
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function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
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% function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
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% -------------------------------------------------------------------------
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% Computes the J-test statistic and p-value for a GMM/SMM estimation
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% =========================================================================
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% INPUTS
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% xparam: [vector] estimated parameter vector
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% objective_function: [function handle] objective function
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% Woptflag: [logical] flag if optimal weighting matrix has already been computed
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% oo_: [struct] results
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% options_mom_: [struct] options
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% bayestopt_: [struct] information on priors
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% Bounds: [struct] bounds on parameters
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% estim_params_: [struct] information on estimated parameters
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% M_: [struct] information on the model
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% nobs: [scalar] number of observations
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% -------------------------------------------------------------------------
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% OUTPUT
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% oo_: [struct] updated results
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% -------------------------------------------------------------------------
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% This function is called by
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% o mom.run
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% -------------------------------------------------------------------------
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% This function calls
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% o mom.objective_function
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% o mom.optimal_weighting_matrix
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% =========================================================================
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% Copyright © 2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% =========================================================================
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if options_mom_.mom.mom_nbr > length(xparam)
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% Get optimal weighting matrix for J test, if necessary
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if ~Woptflag
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W_opt = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag);
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oo_J = oo_;
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oo_J.mom.Sw = chol(W_opt);
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fval = feval(objective_function, xparam, Bounds, oo_J, estim_params_, M_, options_mom_, bayestopt_);
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else
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fval = oo_.mom.Q;
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end
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% Compute J statistic
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if strcmp(options_mom_.mom.mom_method,'SMM')
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Variance_correction_factor = options_mom_.mom.variance_correction_factor;
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elseif strcmp(options_mom_.mom.mom_method,'GMM')
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Variance_correction_factor = 1;
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end
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oo_.mom.J_test.j_stat = nobs*Variance_correction_factor*fval/options_mom_.mom.weighting_matrix_scaling_factor;
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oo_.mom.J_test.degrees_freedom = length(oo_.mom.model_moments)-length(xparam);
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oo_.mom.J_test.p_val = 1-chi2cdf(oo_.mom.J_test.j_stat, oo_.mom.J_test.degrees_freedom);
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fprintf('\nValue of J-test statistic: %f\n',oo_.mom.J_test.j_stat);
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fprintf('p-value of J-test statistic: %f\n',oo_.mom.J_test.p_val);
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end
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@ -0,0 +1,270 @@
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function options_mom_ = default_option_mom_values(options_mom_, options_, dname, doBayesianEstimation)
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% function options_mom_ = default_option_mom_values(options_mom_, options_, dname, doBayesianEstimation)
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% Returns structure containing the options for method_of_moments command
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% options_mom_ is local and contains default and user-specified values for
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% all settings needed for the method of moments estimation. Some options,
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% though, are set by the preprocessor into options_ and we copy these over.
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% The idea is to be independent of options_ and have full control of the
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% estimation instead of possibly having to deal with options chosen somewhere
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% else in the mod file.
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% =========================================================================
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% INPUTS
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% o options_mom_: [structure] information about all (user-specified and updated) settings used in estimation (options_mom_)
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% o options_: [structure] information on global options
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% o dname: [string] name of directory to store results
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% o doBayesianEstimation [boolean] indicator whether we do Bayesian estimation
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% -------------------------------------------------------------------------
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% OUTPUTS
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% o oo_: [structure] storage for results (oo_)
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% o options_mom_: [structure] information about all (user-specified and updated) settings used in estimation (options_mom_)
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% -------------------------------------------------------------------------
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% This function is called by
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% o mom.run
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% -------------------------------------------------------------------------
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% This function calls
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% o set_default_option
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% o user_has_matlab_license
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% o user_has_octave_forge_package
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% -------------------------------------------------------------------------
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% Copyright © 2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% =========================================================================
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mom_method = options_mom_.mom.mom_method; % this is a required option
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% -------------------------------------------------------------------------
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% LIMITATIONS
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% -------------------------------------------------------------------------
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if options_.logged_steady_state || options_.loglinear
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error('method_of_moments: The loglinear option is not supported. Please append the required logged variables as auxiliary equations.')
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else
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options_mom_.logged_steady_state = 0;
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options_mom_.loglinear = false;
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end
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options_mom_.hessian.use_penalized_objective = false; % penalized objective not yet
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% options related to variable declarations
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if isfield(options_,'trend_coeffs')
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error('method_of_moments: %s does not allow for trend in data',mom_method)
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end
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% options related to endogenous prior restrictions are not supported
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if ~isempty(options_.endogenous_prior_restrictions.irf) && ~isempty(options_.endogenous_prior_restrictions.moment)
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fprintf('method_of_moments: Endogenous prior restrictions are not supported yet and will be skipped.\n')
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end
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options_mom_.endogenous_prior_restrictions.irf = {};
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options_mom_.endogenous_prior_restrictions.moment = {};
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options_mom_.mom.analytic_jacobian_optimizers = [1, 3, 4, 13, 101]; % these are currently supported optimizers that are able to use the analytical_jacobian option
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% -------------------------------------------------------------------------
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% OPTIONS POSSIBLY SET BY THE USER
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% -------------------------------------------------------------------------
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% common settings
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options_mom_ = set_default_option(options_mom_,'dirname',dname); % specify directory in which to store estimation output
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options_mom_ = set_default_option(options_mom_,'graph_format','eps'); % specify the file format(s) for graphs saved to disk
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options_mom_ = set_default_option(options_mom_,'nodisplay',false); % do not display the graphs, but still save them to disk
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options_mom_ = set_default_option(options_mom_,'nograph',false); % do not create graphs (which implies that they are not saved to the disk nor displayed)
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options_mom_ = set_default_option(options_mom_,'noprint',false); % do not print output to console
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options_mom_ = set_default_option(options_mom_,'TeX',false); % print TeX tables and graphics
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options_mom_.mom = set_default_option(options_mom_.mom,'verbose',false); % display and store intermediate estimation results
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%options_mom_ = set_default_option(options_mom_,'verbosity',false); %
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if doBayesianEstimation
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options_mom_ = set_default_option(options_mom_,'plot_priors',true); % control plotting of priors
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options_mom_ = set_default_option(options_mom_,'prior_trunc',1e-10); % probability of extreme values of the prior density that is ignored when computing bounds for the parameters
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end
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% specific method_of_moments settings
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if strcmp(mom_method,'GMM') || strcmp(mom_method,'SMM')
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options_mom_.mom = set_default_option(options_mom_.mom,'bartlett_kernel_lag',20); % bandwith in optimal weighting matrix
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options_mom_.mom = set_default_option(options_mom_.mom,'penalized_estimator',false); % include deviation from prior mean as additional moment restriction and use prior precision as weights
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options_mom_.mom = set_default_option(options_mom_.mom,'se_tolx',1e-5); % step size for numerical computation of standard errors
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options_mom_.mom = set_default_option(options_mom_.mom,'weighting_matrix_scaling_factor',1); % scaling of weighting matrix in objective function
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options_mom_.mom = set_default_option(options_mom_.mom,'weighting_matrix',{'DIAGONAL'; 'OPTIMAL'}); % weighting matrix in moments distance objective function at each iteration of estimation;
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% possible values are 'OPTIMAL', 'IDENTITY_MATRIX' ,'DIAGONAL' or a filename. Size of cell determines stages in iterated estimation.
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end
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if strcmp(mom_method,'SMM')
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options_mom_.mom = set_default_option(options_mom_.mom,'burnin',500); % number of periods dropped at beginning of simulation
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options_mom_.mom = set_default_option(options_mom_.mom,'bounded_shock_support',false); % trim shocks in simulation to +- 2 stdev
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options_mom_.mom = set_default_option(options_mom_.mom,'seed',24051986); % seed used in simulations
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options_mom_.mom = set_default_option(options_mom_.mom,'simulation_multiple',7); % multiple of the data length used for simulation
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end
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if strcmp(mom_method,'GMM')
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options_mom_.mom = set_default_option(options_mom_.mom,'analytic_standard_errors',false); % compute standard errors numerically (0) or analytically (1). Analytical derivatives are only available for GMM.
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end
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% data related options
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if strcmp(mom_method,'GMM') || strcmp(mom_method,'SMM')
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options_mom_ = set_default_option(options_mom_,'first_obs',1); % number of first observation
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options_mom_ = set_default_option(options_mom_,'logdata',false); % if data is already in logs
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options_mom_ = set_default_option(options_mom_,'nobs',NaN); % number of observations
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options_mom_ = set_default_option(options_mom_,'prefilter',false); % demean each data series by its empirical mean and use centered moments
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options_mom_ = set_default_option(options_mom_,'xls_sheet',1); % name of sheet with data in Excel, Octave does not support the empty string, rather use first sheet
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options_mom_ = set_default_option(options_mom_,'xls_range',''); % range of data in Excel sheet
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end
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% optimization related
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if (isoctave && user_has_octave_forge_package('optim')) || (~isoctave && user_has_matlab_license('optimization_toolbox'))
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if strcmp(mom_method,'GMM') || strcmp(mom_method,'SMM')
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options_mom_ = set_default_option(options_mom_,'mode_compute',13); % specifies lsqnonlin as default optimizer for minimization
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end
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else
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options_mom_ = set_default_option(options_mom_,'mode_compute',4); % specifies csminwel as fallback default option for minimization
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end
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options_mom_ = set_default_option(options_mom_,'additional_optimizer_steps',[]); % vector of additional mode-finders run after mode_compute
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options_mom_ = set_default_option(options_mom_,'optim_opt',[]); % a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute
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options_mom_ = set_default_option(options_mom_,'silent_optimizer',false); % run minimization of moments distance silently without displaying results or saving files in between
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options_mom_ = set_default_option(options_mom_,'huge_number',1e7); % value for replacing the infinite bounds on parameters by finite numbers. Used by some optimizers for numerical reasons
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options_mom_.mom = set_default_option(options_mom_.mom,'analytic_jacobian',false); % use analytic Jacobian in optimization, only available for GMM and gradient-based optimizers
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options_mom_.optimizer_vec = [options_mom_.mode_compute;num2cell(options_mom_.additional_optimizer_steps)];
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% perturbation related
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options_mom_ = set_default_option(options_mom_,'order',1); % order of Taylor approximation in perturbation
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options_mom_ = set_default_option(options_mom_,'pruning',false); % use pruned state space system at order>1
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options_mom_ = set_default_option(options_mom_,'aim_solver',false); % use AIM algorithm to compute perturbation approximation instead of mjdgges
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options_mom_ = set_default_option(options_mom_,'k_order_solver',false); % use k_order_perturbation instead of mjdgges
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options_mom_ = set_default_option(options_mom_,'dr_cycle_reduction',false); % use cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients associated to the endogenous variables in the decision rule
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options_mom_ = set_default_option(options_mom_,'dr_cycle_reduction_tol',1e-7); % convergence criterion used in the cycle reduction algorithm
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options_mom_ = set_default_option(options_mom_,'dr_logarithmic_reduction',false); % use logarithmic reduction algorithm to solve the polynomial equation for retrieving the coefficients associated to the endogenous variables in the decision rule
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options_mom_ = set_default_option(options_mom_,'dr_logarithmic_reduction_maxiter',100); % maximum number of iterations used in the logarithmic reduction algorithm
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options_mom_ = set_default_option(options_mom_,'dr_logarithmic_reduction_tol',1e-12); % convergence criterion used in the cycle reduction algorithm
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options_mom_ = set_default_option(options_mom_,'qz_criterium',1-1e-6); % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
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% if there are no unit roots one can use 1.0 (or slightly below) which we set as default; if they are possible, you may have have multiple unit roots and the accuracy decreases when computing the eigenvalues in lyapunov_symm
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% Note that unit roots are only possible at first-order, at higher order we set it to 1 in pruned_state_space_system and focus only on stationary observables.
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options_mom_ = set_default_option(options_mom_,'qz_zero_threshold',1e-6); % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
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options_mom_ = set_default_option(options_mom_,'schur_vec_tol',1e-11); % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix.
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% numerical algorithms
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options_mom_ = set_default_option(options_mom_,'lyapunov_db',false); % doubling algorithm (disclyap_fast) to solve Lyapunov equation to compute variance-covariance matrix of state variables
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options_mom_ = set_default_option(options_mom_,'lyapunov_fp',false); % fixed-point algorithm to solve Lyapunov equation to compute variance-covariance matrix of state variables
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options_mom_ = set_default_option(options_mom_,'lyapunov_srs',false); % square-root-solver (dlyapchol) algorithm to solve Lyapunov equation to compute variance-covariance matrix of state variables
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options_mom_ = set_default_option(options_mom_,'lyapunov_complex_threshold',1e-15); % complex block threshold for the upper triangular matrix in symmetric Lyapunov equation solver
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options_mom_ = set_default_option(options_mom_,'lyapunov_fixed_point_tol',1e-10); % convergence criterion used in the fixed point Lyapunov solver
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options_mom_ = set_default_option(options_mom_,'lyapunov_doubling_tol',1e-16); % convergence criterion used in the doubling algorithm
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options_mom_ = set_default_option(options_mom_,'sylvester_fp',false); % determines whether to use fixed point algorihtm to solve Sylvester equation (gensylv_fp), faster for large scale models
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options_mom_ = set_default_option(options_mom_,'sylvester_fixed_point_tol',1e-12); % convergence criterion used in the fixed point Sylvester solver
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% mode check plot
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options_mom_.mode_check.nolik = false; % we don't do likelihood (also this initializes mode_check substructure)
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options_mom_.mode_check = set_default_option(options_mom_.mode_check,'status',false); % plot the target function for values around the computed minimum for each estimated parameter in turn. This is helpful to diagnose problems with the optimizer.
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options_mom_.mode_check = set_default_option(options_mom_.mode_check,'neighbourhood_size',.5); % width of the window around the computed minimum to be displayed on the diagnostic plots. This width is expressed in percentage deviation. The Inf value is allowed, and will trigger a plot over the entire domain
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options_mom_.mode_check = set_default_option(options_mom_.mode_check,'symmetric_plots',true); % ensure that the check plots are symmetric around the minimum. A value of 0 allows to have asymmetric plots, which can be useful if the minimum is close to a domain boundary, or in conjunction with neighbourhood_size = Inf when the domain is not the entire real line
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options_mom_.mode_check = set_default_option(options_mom_.mode_check,'number_of_points',20); % number of points around the minimum where the target function is evaluated (for each parameter)
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% -------------------------------------------------------------------------
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% OPTIONS THAT NEED TO BE CARRIED OVER (E.G. SET BY THE PREPROCESSOR)
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% -------------------------------------------------------------------------
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% related to VAROBS block
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options_mom_.varobs = options_.varobs; % observable variables in order they are declared in varobs
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options_mom_.varobs_id = options_.varobs_id; % index for observable variables in M_.endo_names
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options_mom_.obs_nbr = length(options_mom_.varobs); % number of observed variables
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% related to call of dynare
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options_mom_.console_mode = options_.console_mode;
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options_mom_.parallel = options_.parallel;
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options_mom_.parallel_info = options_.parallel_info;
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% related to estimated_params and estimated_params_init blocks
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options_mom_.use_calibration_initialization = options_.use_calibration_initialization;
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% related to model block
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options_mom_.linear = options_.linear;
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options_mom_.use_dll = options_.use_dll;
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options_mom_.block = options_.block;
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options_mom_.bytecode = options_.bytecode;
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% related to steady-state computations
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options_mom_.homotopy_force_continue = options_.homotopy_force_continue;
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options_mom_.homotopy_mode = options_.homotopy_mode;
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options_mom_.homotopy_steps = options_.homotopy_steps;
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options_mom_.markowitz = options_.markowitz;
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options_mom_.solve_algo = options_.solve_algo;
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options_mom_.solve_tolf = options_.solve_tolf;
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options_mom_.solve_tolx = options_.solve_tolx;
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options_mom_.steady = options_.steady;
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options_mom_.steadystate = options_.steadystate;
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options_mom_.steadystate_flag = options_.steadystate_flag;
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%options_mom_.steadystate_partial
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options_mom_.threads = options_.threads; % needed by resol
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options_mom_.debug = options_.debug; % debug option needed by some functions, e.g. check_plot
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% random numbers
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options_mom_.DynareRandomStreams.seed = options_.DynareRandomStreams.seed;
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options_mom_.DynareRandomStreams.algo = options_.DynareRandomStreams.algo;
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% dataset_ related
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options_mom_.dataset = options_.dataset;
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options_mom_.initial_period = options_.initial_period;
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% optimization related
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if any(cellfun(@(x) isnumeric(x) && any(x == 2), options_mom_.optimizer_vec)) % simulated annealing (mode_compute=2)
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options_mom_.saopt = options_.saopt;
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end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 4), options_mom_.optimizer_vec)) % csminwel (mode_compute=4)
|
||||
options_mom_.csminwel = options_.csminwel;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 5), options_mom_.optimizer_vec)) % newrat (mode_compute=5)
|
||||
options_mom_.newrat = options_.newrat;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 6), options_mom_.optimizer_vec)) % gmhmaxlik (mode_compute=6)
|
||||
options_mom_.gmhmaxlik = options_.gmhmaxlik;
|
||||
options_mom_.mh_jscale = options_.mh_jscale;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 8), options_mom_.optimizer_vec)) % simplex variation on Nelder Mead algorithm (mode_compute=8)
|
||||
options_mom_.simplex = options_.simplex;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 9), options_mom_.optimizer_vec)) % cmaes (mode_compute=9)
|
||||
options_mom_.cmaes = options_.cmaes;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 10), options_mom_.optimizer_vec)) % simpsa (mode_compute=10)
|
||||
options_mom_.simpsa = options_.simpsa;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 12), options_mom_.optimizer_vec)) % particleswarm (mode_compute=12)
|
||||
options_mom_.particleswarm = options_.particleswarm;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && any(x == 101), options_mom_.optimizer_vec)) % solveopt (mode_compute=101)
|
||||
options_mom_.solveopt = options_.solveopt;
|
||||
end
|
||||
if any(cellfun(@(x) isnumeric(x) && (any(x == 4) || any(x == 5)), options_mom_.optimizer_vec)) % used by csminwel and newrat
|
||||
options_mom_.gradient_method = options_.gradient_method;
|
||||
options_mom_.gradient_epsilon = options_.gradient_epsilon;
|
||||
end
|
||||
options_mom_.gstep = options_.gstep; % needed by hessian.m
|
||||
options_mom_.trust_region_initial_step_bound_factor = options_.trust_region_initial_step_bound_factor; % used in dynare_solve for trust_region
|
||||
|
||||
% other
|
||||
options_mom_.MaxNumberOfBytes = options_.MaxNumberOfBytes;
|
||||
%options_mom_.MaximumNumberOfMegaBytes = options_.MaximumNumberOfMegaBytes;
|
||||
|
||||
|
||||
% -------------------------------------------------------------------------
|
||||
% DEFAULT VALUES
|
||||
% -------------------------------------------------------------------------
|
||||
|
||||
options_mom_.analytic_derivation = 0;
|
||||
options_mom_.analytic_derivation_mode = 0; % needed by get_perturbation_params_derivs.m, ie use efficient sylvester equation method to compute analytical derivatives as in Ratto & Iskrev (2012)
|
||||
options_mom_.initialize_estimated_parameters_with_the_prior_mode = 0; % needed by set_prior.m
|
||||
options_mom_.figures = options_.figures; % needed by plot_priors.m
|
||||
options_mom_.ramsey_policy = false; % needed by evaluate_steady_state
|
||||
options_mom_.risky_steadystate = false; % needed by resol
|
||||
options_mom_.jacobian_flag = true; % needed by dynare_solve
|
|
@ -0,0 +1,74 @@
|
|||
function display_comparison_moments(M_, options_mom_, data_moments, model_moments)
|
||||
% function display_comparison_moments(M_, options_mom_, data_moments, model_moments)
|
||||
% -------------------------------------------------------------------------
|
||||
% Displays and saves to disk the comparison of the data moments and the model moments
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% M_: [structure] model information
|
||||
% options_mom_: [structure] method of moments options
|
||||
% data_moments: [vector] data moments
|
||||
% model_moments: [vector] model moments
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% No output, just displays and saves to disk the comparison of the data moments and the model moments
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% o dyn_latex_table
|
||||
% o dyntable
|
||||
% o cellofchararraymaxlength
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
titl = ['Comparison of matched data moments and model moments (',options_mom_.mom.mom_method,')'];
|
||||
headers = {'Moment','Data','Model'};
|
||||
for jm = 1:size(M_.matched_moments,1)
|
||||
lables_tmp = 'E[';
|
||||
lables_tmp_tex = 'E \left[ ';
|
||||
for jvar = 1:length(M_.matched_moments{jm,1})
|
||||
lables_tmp = [lables_tmp M_.endo_names{M_.matched_moments{jm,1}(jvar)}];
|
||||
lables_tmp_tex = [lables_tmp_tex, '{', M_.endo_names_tex{M_.matched_moments{jm,1}(jvar)}, '}'];
|
||||
if M_.matched_moments{jm,2}(jvar) ~= 0
|
||||
lables_tmp = [lables_tmp, '(', num2str(M_.matched_moments{jm,2}(jvar)), ')'];
|
||||
lables_tmp_tex = [lables_tmp_tex, '_{t', num2str(M_.matched_moments{jm,2}(jvar)), '}'];
|
||||
else
|
||||
lables_tmp_tex = [lables_tmp_tex, '_{t}'];
|
||||
end
|
||||
if M_.matched_moments{jm,3}(jvar) > 1
|
||||
lables_tmp = [lables_tmp, '^', num2str(M_.matched_moments{jm,3}(jvar))];
|
||||
lables_tmp_tex = [lables_tmp_tex, '^{', num2str(M_.matched_moments{jm,3}(jvar)) '}'];
|
||||
end
|
||||
if jvar == length(M_.matched_moments{jm,1})
|
||||
lables_tmp = [lables_tmp, ']'];
|
||||
lables_tmp_tex = [lables_tmp_tex, ' \right]'];
|
||||
else
|
||||
lables_tmp = [lables_tmp, '*'];
|
||||
lables_tmp_tex = [lables_tmp_tex, ' \times '];
|
||||
end
|
||||
end
|
||||
labels{jm,1} = lables_tmp;
|
||||
labels_TeX{jm,1} = lables_tmp_tex;
|
||||
end
|
||||
data_mat = [data_moments model_moments];
|
||||
dyntable(options_mom_, titl, headers, labels, data_mat, cellofchararraymaxlength(labels)+2, 10, 7);
|
||||
if options_mom_.TeX
|
||||
dyn_latex_table(M_, options_mom_, titl, ['comparison_moments_', options_mom_.mom.mom_method], headers, labels_TeX, data_mat, cellofchararraymaxlength(labels)+2, 10, 7);
|
||||
end
|
|
@ -1,5 +1,5 @@
|
|||
function [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, options_mom_)
|
||||
% [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, options_mom_)
|
||||
function [dataMoments, m_data] = get_data_moments(data, oo_, matched_moments_, options_mom_)
|
||||
% [dataMoments, m_data] = get_data_moments(data, oo_, matched_moments_, options_mom_)
|
||||
% This function computes the user-selected empirical moments from data
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
|
@ -13,10 +13,10 @@ function [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, optio
|
|||
% o m_data [T x numMom] selected empirical moments at each point in time
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run.m
|
||||
% o mom.objective_function.m
|
||||
% o mom.run
|
||||
% o mom.objective_function
|
||||
% =========================================================================
|
||||
% Copyright © 2020-2021 Dynare Team
|
||||
% Copyright © 2020-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -49,7 +49,7 @@ for jm = 1:options_mom_.mom.mom_nbr
|
|||
leadlags = matched_moments_{jm,2}; % lags are negative numbers and leads are positive numbers
|
||||
powers = matched_moments_{jm,3};
|
||||
for jv = 1:length(vars)
|
||||
jvar = (oo_.dr.obs_var == vars(jv));
|
||||
jvar = (oo_.mom.obs_var == vars(jv));
|
||||
y = NaN(T,1); %Take care of T_eff instead of T for lags and NaN via mean with 'omitnan' option below
|
||||
y( (1-min(leadlags(jv),0)) : (T-max(leadlags(jv),0)), 1) = data( (1+max(leadlags(jv),0)) : (T+min(leadlags(jv),0)), jvar).^powers(jv);
|
||||
if jv==1
|
||||
|
@ -66,7 +66,4 @@ for jm = 1:options_mom_.mom.mom_nbr
|
|||
end
|
||||
m_data_tmp(isnan(m_data_tmp)) = dataMoments(jm,1);
|
||||
m_data(:,jm) = m_data_tmp;
|
||||
end
|
||||
|
||||
|
||||
end %function end
|
||||
end
|
|
@ -0,0 +1,80 @@
|
|||
function matched_moments = matched_moments_block(matched_moments, mom_method)
|
||||
% function matched_moments = matched_moments_block(matched_moments, mom_method)
|
||||
% -------------------------------------------------------------------------
|
||||
% Checks and transforms matched_moments bock for further use in the estimation
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% matched_moments: [cell array] original matched_moments block
|
||||
% mom_method: [string] method of moments method (GMM or SMM)
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% matched_moments: [cell array] transformed matched_moments block
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
matched_moments_orig = matched_moments;
|
||||
% higher-order product moments not supported yet for GMM
|
||||
if strcmp(mom_method, 'GMM') && any(cellfun(@sum,matched_moments(:,3))> 2)
|
||||
error('method_of_moments: GMM does not yet support product moments higher than 2. Change your ''matched_moments'' block!');
|
||||
end
|
||||
% check for duplicate moment conditions
|
||||
for jm = 1:size(matched_moments,1)
|
||||
% expand powers to vector of ones
|
||||
if any(matched_moments{jm,3}>1)
|
||||
tmp1=[]; tmp2=[]; tmp3=[];
|
||||
for jjm=1:length(matched_moments{jm,3})
|
||||
tmp1 = [tmp1 repmat(matched_moments{jm,1}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
|
||||
tmp2 = [tmp2 repmat(matched_moments{jm,2}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
|
||||
tmp3 = [tmp3 repmat(1,[1 matched_moments{jm,3}(jjm)]) ];
|
||||
end
|
||||
matched_moments{jm,1} = tmp1;
|
||||
matched_moments{jm,2} = tmp2;
|
||||
matched_moments{jm,3} = tmp3;
|
||||
end
|
||||
% shift time structure to focus only on lags
|
||||
matched_moments{jm,2} = matched_moments{jm,2} - max(matched_moments{jm,2});
|
||||
% sort such that t=0 variable comes first
|
||||
[matched_moments{jm,2},idx_sort] = sort(matched_moments{jm,2},'descend');
|
||||
matched_moments{jm,1} = matched_moments{jm,1}(idx_sort);
|
||||
matched_moments{jm,3} = matched_moments{jm,3}(idx_sort);
|
||||
end
|
||||
% find duplicate rows in cell array by making groups according to powers as we can then use cell2mat for the unique function
|
||||
powers = cellfun(@sum,matched_moments(:,3))';
|
||||
UniqueMomIdx = [];
|
||||
for jpow = unique(powers)
|
||||
idx1 = find(powers==jpow);
|
||||
[~,idx2] = unique(cell2mat(matched_moments(idx1,:)),'rows');
|
||||
UniqueMomIdx = [UniqueMomIdx idx1(idx2)];
|
||||
end
|
||||
% remove duplicate elements
|
||||
DuplicateMoms = setdiff(1:size(matched_moments_orig,1),UniqueMomIdx);
|
||||
if ~isempty(DuplicateMoms)
|
||||
fprintf('Duplicate declared moments found and removed in ''matched_moments'' block in rows:\n %s.\n',num2str(DuplicateMoms))
|
||||
fprintf('Dynare will continue with remaining moment conditions\n');
|
||||
end
|
||||
if strcmp(mom_method, 'SMM')
|
||||
% for SMM: keep the original structure, but get rid of duplicate moments
|
||||
matched_moments = matched_moments_orig(sort(UniqueMomIdx),:);
|
||||
elseif strcmp(mom_method, 'GMM')
|
||||
% for GMM we use the transformed matched_moments structure
|
||||
matched_moments = matched_moments(sort(UniqueMomIdx),:);
|
||||
end
|
|
@ -0,0 +1,129 @@
|
|||
function [xparam1, oo_, Woptflag] = mode_compute_gmm_smm(xparam0, objective_function, oo_, M_, options_mom_, estim_params_, bayestopt_, Bounds)
|
||||
% function [xparam1, oo_, Woptflag] = mode_compute_gmm_smm(xparam0, objective_function, oo_, M_, options_mom_, estim_params_, bayestopt_, Bounds)
|
||||
% -------------------------------------------------------------------------
|
||||
% Iterated method of moments for GMM and SMM, computes the minimum of the
|
||||
% objective function (distance between data moments and model moments)
|
||||
% for a sequence of optimizers and GMM/SMM iterations with different
|
||||
% weighting matrices.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% xparam0: [vector] vector of initialized parameters
|
||||
% objective_function: [func handle] name of the objective function
|
||||
% oo_: [structure] results
|
||||
% M_: [structure] model information
|
||||
% options_mom_: [structure] options
|
||||
% estim_params_: [structure] information on estimated parameters
|
||||
% bayestopt_: [structure] information on priors
|
||||
% Bounds: [structure] bounds for optimization
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% xparam1: [vector] mode of objective function
|
||||
% oo_: [structure] updated results
|
||||
% Woptflag: [logical] true if optimal weighting matrix was computed
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% o mom.optimal_weighting_matrix
|
||||
% o mom.display_estimation_results_table
|
||||
% o dynare_minimize_objective
|
||||
% o mom.objective_function
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
if size(options_mom_.mom.weighting_matrix,1)>1 && ~(any(strcmpi('diagonal',options_mom_.mom.weighting_matrix)) || any(strcmpi('optimal',options_mom_.mom.weighting_matrix)))
|
||||
fprintf('\nYou did not specify the use of an optimal or diagonal weighting matrix. There is no point in running an iterated method of moments.\n')
|
||||
end
|
||||
|
||||
for stage_iter = 1:size(options_mom_.mom.weighting_matrix,1)
|
||||
fprintf('Estimation stage %u\n',stage_iter);
|
||||
Woptflag = false;
|
||||
switch lower(options_mom_.mom.weighting_matrix{stage_iter})
|
||||
case 'identity_matrix'
|
||||
fprintf(' - identity weighting matrix\n');
|
||||
weighting_matrix = eye(options_mom_.mom.mom_nbr);
|
||||
case 'diagonal'
|
||||
fprintf(' - diagonal of optimal weighting matrix (Bartlett kernel with %d lags)\n', options_mom_.mom.bartlett_kernel_lag);
|
||||
if stage_iter == 1
|
||||
fprintf(' and using data-moments as initial estimate of model-moments\n');
|
||||
weighting_matrix = diag(diag( mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.data_moments, options_mom_.mom.bartlett_kernel_lag) ));
|
||||
else
|
||||
fprintf(' and using previous stage estimate of model-moments\n');
|
||||
weighting_matrix = diag(diag( mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag) ));
|
||||
end
|
||||
case 'optimal'
|
||||
fprintf(' - optimal weighting matrix (Bartlett kernel with %d lags)\n', options_mom_.mom.bartlett_kernel_lag);
|
||||
if stage_iter == 1
|
||||
fprintf(' and using data-moments as initial estimate of model-moments\n');
|
||||
weighting_matrix = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.data_moments, options_mom_.mom.bartlett_kernel_lag);
|
||||
else
|
||||
fprintf(' and using previous stage estimate of model-moments\n');
|
||||
weighting_matrix = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag);
|
||||
Woptflag = true;
|
||||
end
|
||||
otherwise % user specified matrix in file
|
||||
fprintf(' - user-specified weighting matrix\n');
|
||||
try
|
||||
load(options_mom_.mom.weighting_matrix{stage_iter},'weighting_matrix')
|
||||
catch
|
||||
error(['method_of_moments: No matrix named ''weighting_matrix'' could be found in ',options_mom_.mom.weighting_matrix{stage_iter},'.mat !'])
|
||||
end
|
||||
[nrow, ncol] = size(weighting_matrix);
|
||||
if ~isequal(nrow,ncol) || ~isequal(nrow,length(oo_.mom.data_moments)) %check if square and right size
|
||||
error(['method_of_moments: ''weighting_matrix'' must be square and have ',num2str(length(oo_.mom.data_moments)),' rows and columns!'])
|
||||
end
|
||||
end
|
||||
try % check for positive definiteness of weighting_matrix
|
||||
oo_.mom.Sw = chol(weighting_matrix);
|
||||
catch
|
||||
error('method_of_moments: Specified ''weighting_matrix'' is not positive definite. Check whether your model implies stochastic singularity!')
|
||||
end
|
||||
|
||||
for optim_iter = 1:length(options_mom_.optimizer_vec)
|
||||
options_mom_.current_optimizer = options_mom_.optimizer_vec{optim_iter};
|
||||
if options_mom_.optimizer_vec{optim_iter} == 0
|
||||
xparam1 = xparam0; % no minimization, evaluate objective at current values
|
||||
fval = feval(objective_function, xparam1, Bounds, oo_, estim_params_, M_, options_mom_);
|
||||
else
|
||||
if options_mom_.optimizer_vec{optim_iter} == 13
|
||||
options_mom_.mom.vector_output = true;
|
||||
else
|
||||
options_mom_.mom.vector_output = false;
|
||||
end
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_jacobian && ismember(options_mom_.optimizer_vec{optim_iter},options_mom_.mom.analytic_jacobian_optimizers) %do this only for gradient-based optimizers
|
||||
options_mom_.mom.compute_derivs = true;
|
||||
else
|
||||
options_mom_.mom.compute_derivs = false;
|
||||
end
|
||||
[xparam1, fval, exitflag] = dynare_minimize_objective(objective_function, xparam0, options_mom_.optimizer_vec{optim_iter}, options_mom_, [Bounds.lb Bounds.ub], bayestopt_.name, bayestopt_, [],...
|
||||
Bounds, oo_, estim_params_, M_, options_mom_);
|
||||
if options_mom_.mom.vector_output
|
||||
fval = fval'*fval;
|
||||
end
|
||||
end
|
||||
fprintf('\nStage %d Iteration %d: Value of minimized moment distance objective function: %12.10f.\n',stage_iter,optim_iter,fval)
|
||||
if options_mom_.mom.verbose
|
||||
oo_.mom = display_estimation_results_table(xparam1,NaN(size(xparam1)),M_,options_mom_,estim_params_,bayestopt_,oo_.mom,prior_dist_names,sprintf('%s (STAGE %d ITERATION %d) VERBOSE',options_mom_.mom.mom_method,stage_iter,optim_iter),sprintf('verbose_%s_stage_%d_iter_%d',lower(options_mom_.mom.mom_method),stage_iter,optim_iter));
|
||||
end
|
||||
xparam0 = xparam1;
|
||||
end
|
||||
options_mom_.vector_output = false;
|
||||
[~, ~, ~,~,~, oo_] = feval(objective_function, xparam1, Bounds, oo_, estim_params_, M_, options_mom_); % get oo_.mom.model_moments for iterated GMM/SMM to compute optimal weighting matrix
|
||||
end
|
|
@ -1,42 +1,43 @@
|
|||
function [fval, info, exit_flag, df, junk1, oo_, M_, options_mom_] = objective_function(xparam1, Bounds, oo_, estim_params_, M_, options_mom_)
|
||||
% [fval, info, exit_flag, df, junk1, oo_, M_, options_mom_] = objective_function(xparam1, Bounds, oo_, estim_params_, M_, options_mom_)
|
||||
function [fval, info, exit_flag, df, junkHessian, oo_, M_] = objective_function(xparam, Bounds, oo_, estim_params_, M_, options_mom_, bayestopt_)
|
||||
% [fval, info, exit_flag, df, junk1, oo_, M_] = objective_function(xparam, Bounds, oo_, estim_params_, M_, options_mom_, bayestopt_)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function evaluates the objective function for GMM/SMM estimation
|
||||
% This function evaluates the objective function for method of moments estimation
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o xparam1: current value of estimated parameters as returned by set_prior()
|
||||
% o Bounds: structure containing parameter bounds
|
||||
% o oo_: structure for results
|
||||
% o estim_params_: structure describing the estimated_parameters
|
||||
% o M_ structure describing the model
|
||||
% o options_mom_: structure information about all settings (specified by the user, preprocessor, and taken from global options_)
|
||||
% o xparam: [vector] current value of estimated parameters as returned by set_prior()
|
||||
% o Bounds: [structure] containing parameter bounds
|
||||
% o oo_: [structure] for results
|
||||
% o estim_params_: [structure] describing the estimated_parameters
|
||||
% o M_ [structure] describing the model
|
||||
% o options_mom_: [structure] information about all settings (specified by the user, preprocessor, and taken from global options_)
|
||||
% o bayestopt_: [structure] information about the prior
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o fval: value of the quadratic form of the moment difference (except for lsqnonlin, where this is done implicitly)
|
||||
% o info: vector storing error code and penalty
|
||||
% o exit_flag: 0 if error, 1 if no error
|
||||
% o df: analytical parameter Jacobian of the quadratic form of the moment difference (for GMM only)
|
||||
% o junk1: empty matrix required for optimizer interface (Hessian would go here)
|
||||
% o oo_: structure containing the results with the following updated fields:
|
||||
% - mom.model_moments [numMom x 1] vector with model moments
|
||||
% - mom.Q value of the quadratic form of the moment difference
|
||||
% - mom.model_moments_params_derivs
|
||||
% [numMom x numParams] Jacobian matrix of derivatives of model_moments with respect to estimated parameters
|
||||
% (only for GMM with analytical derivatives)
|
||||
% o M_: Matlab's structure describing the model
|
||||
% o options_mom_: structure information about all settings (specified by the user, preprocessor, and taken from global options_)
|
||||
% o fval: [double] value of the quadratic form of the moment difference (except for lsqnonlin, where this is done implicitly)
|
||||
% o info: [vector] information on error codes and penalties
|
||||
% o exit_flag: [double] flag for exit status (0 if error, 1 if no error)
|
||||
% o df: [matrix] analytical jacobian of the moment difference (wrt paramters), currently for GMM only
|
||||
% o junkHessian: [matrix] empty matrix required for optimizer interface (Hessian would typically go here)
|
||||
% o oo_: [structure] results with the following updated fields:
|
||||
% - oo_.mom.model_moments: [vector] model moments
|
||||
% - oo_.mom.Q: [double] value of the quadratic form of the moment difference
|
||||
% - oo_.mom.model_moments_params_derivs: [matrix] analytical jacobian of the model moments wrt estimated parameters (currently for GMM only)
|
||||
% o M_: [structure] updated model structure
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run.m
|
||||
% o dynare_minimize_objective.m
|
||||
% o mom.run
|
||||
% o dynare_minimize_objective
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% o check_bounds_and_definiteness_estimation
|
||||
% o pruned_state_space_system
|
||||
% o resol
|
||||
% o set_all_parameters
|
||||
% o check_bounds_and_definiteness_estimation
|
||||
% o get_perturbation_params_derivs
|
||||
% o mom.get_data_moments
|
||||
% o pruned_state_space_system
|
||||
% o resol
|
||||
% o set_all_parameters
|
||||
% o simult_
|
||||
% =========================================================================
|
||||
% Copyright © 2020-2021 Dynare Team
|
||||
% Copyright © 2020-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -52,65 +53,65 @@ function [fval, info, exit_flag, df, junk1, oo_, M_, options_mom_] = objective_f
|
|||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
% -------------------------------------------------------------------------
|
||||
% Author(s):
|
||||
% o Willi Mutschler (willi@mutschler.eu)
|
||||
% o Johannes Pfeifer (jpfeifer@uni-koeln.de)
|
||||
% =========================================================================
|
||||
|
||||
%% TO DO
|
||||
% check the info values and make use of meaningful penalties
|
||||
% how do we do the penalty for the prior??
|
||||
|
||||
|
||||
%------------------------------------------------------------------------------
|
||||
% 0. Initialization of the returned variables and others...
|
||||
% Initialization of the returned variables and others...
|
||||
%------------------------------------------------------------------------------
|
||||
if options_mom_.mom.compute_derivs && options_mom_.mom.analytic_jacobian
|
||||
if options_mom_.vector_output == 1
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df = nan(size(oo_.mom.data_moments,1)+length(xparam1),length(xparam1));
|
||||
junkHessian = [];
|
||||
df = []; % required to be empty by e.g. newrat
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
if options_mom_.mom.compute_derivs && options_mom_.mom.analytic_jacobian
|
||||
if options_mom_.mom.vector_output == 1
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df = nan(size(oo_.mom.data_moments,1)+length(xparam),length(xparam));
|
||||
else
|
||||
df = nan(size(oo_.mom.data_moments,1),length(xparam));
|
||||
end
|
||||
else
|
||||
df = nan(size(oo_.mom.data_moments,1),length(xparam1));
|
||||
df = nan(1,length(xparam));
|
||||
end
|
||||
else
|
||||
df = nan(1,length(xparam1));
|
||||
end
|
||||
else
|
||||
df=[]; %required to be empty by e.g. newrat
|
||||
end
|
||||
junk1 = [];
|
||||
junk2 = [];
|
||||
|
||||
|
||||
%--------------------------------------------------------------------------
|
||||
% 1. Get the structural parameters & define penalties
|
||||
% Get the structural parameters and define penalties
|
||||
%--------------------------------------------------------------------------
|
||||
|
||||
% Ensure that xparam1 is a column vector; particleswarm.m requires this.
|
||||
xparam1 = xparam1(:);
|
||||
|
||||
M_ = set_all_parameters(xparam1, estim_params_, M_);
|
||||
|
||||
[fval,info,exit_flag]=check_bounds_and_definiteness_estimation(xparam1, M_, estim_params_, Bounds);
|
||||
xparam = xparam(:);
|
||||
M_ = set_all_parameters(xparam, estim_params_, M_);
|
||||
[fval,info,exit_flag] = check_bounds_and_definiteness_estimation(xparam, M_, estim_params_, Bounds);
|
||||
if info(1)
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = ones(size(oo_.mom.data_moments,1),1)*options_mom_.huge_number;
|
||||
end
|
||||
return
|
||||
end
|
||||
|
||||
|
||||
%--------------------------------------------------------------------------
|
||||
% 2. call resol to compute steady state and model solution
|
||||
% Call resol to compute steady state and model solution
|
||||
%--------------------------------------------------------------------------
|
||||
|
||||
% Compute linear approximation around the deterministic steady state
|
||||
[dr, info, M_, oo_] = resol(0, M_, options_mom_, oo_);
|
||||
|
||||
% Return, with endogenous penalty when possible, if resol issues an error code
|
||||
if info(1)
|
||||
if info(1) == 3 || info(1) == 4 || info(1) == 5 || info(1)==6 ||info(1) == 19 ||...
|
||||
info(1) == 20 || info(1) == 21 || info(1) == 23 || info(1) == 26 || ...
|
||||
info(1) == 81 || info(1) == 84 || info(1) == 85 || info(1) == 86
|
||||
%meaningful second entry of output that can be used
|
||||
% meaningful second entry of output that can be used
|
||||
fval = Inf;
|
||||
info(4) = info(2);
|
||||
exit_flag = 0;
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = ones(size(oo_.mom.data_moments,1),1)*options_mom_.huge_number;
|
||||
end
|
||||
return
|
||||
|
@ -118,31 +119,32 @@ if info(1)
|
|||
fval = Inf;
|
||||
info(4) = 0.1;
|
||||
exit_flag = 0;
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = ones(size(oo_.mom.data_moments,1),1)*options_mom_.huge_number;
|
||||
end
|
||||
return
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
%--------------------------------------------------------------------------
|
||||
% GMM: Set up pruned state-space system and compute model moments
|
||||
%--------------------------------------------------------------------------
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM')
|
||||
%--------------------------------------------------------------------------
|
||||
% 3. Set up pruned state-space system and compute model moments
|
||||
%--------------------------------------------------------------------------
|
||||
if options_mom_.mom.compute_derivs && ( options_mom_.mom.analytic_standard_errors || options_mom_.mom.analytic_jacobian )
|
||||
indpmodel = []; %initialize index for model parameters
|
||||
indpmodel = []; % initialize index for model parameters
|
||||
if ~isempty(estim_params_.param_vals)
|
||||
indpmodel = estim_params_.param_vals(:,1); %values correspond to parameters declaration order, row number corresponds to order in estimated_params
|
||||
indpmodel = estim_params_.param_vals(:,1); % values correspond to parameters declaration order, row number corresponds to order in estimated_params
|
||||
end
|
||||
indpstderr=[]; %initialize index for stderr parameters
|
||||
indpstderr=[]; % initialize index for stderr parameters
|
||||
if ~isempty(estim_params_.var_exo)
|
||||
indpstderr = estim_params_.var_exo(:,1); %values correspond to varexo declaration order, row number corresponds to order in estimated_params
|
||||
indpstderr = estim_params_.var_exo(:,1); % values correspond to varexo declaration order, row number corresponds to order in estimated_params
|
||||
end
|
||||
indpcorr=[]; %initialize matrix for corr paramters
|
||||
indpcorr=[]; % initialize matrix for corr paramters
|
||||
if ~isempty(estim_params_.corrx)
|
||||
indpcorr = estim_params_.corrx(:,1:2); %values correspond to varexo declaration order, row number corresponds to order in estimated_params
|
||||
indpcorr = estim_params_.corrx(:,1:2); % values correspond to varexo declaration order, row number corresponds to order in estimated_params
|
||||
end
|
||||
if estim_params_.nvn || estim_params_.ncn %nvn is number of stderr parameters and ncn is number of corr parameters of measurement innovations as declared in estimated_params
|
||||
if estim_params_.nvn || estim_params_.ncn % nvn is number of stderr parameters and ncn is number of corr parameters of measurement innovations as declared in estimated_params
|
||||
error('Analytic computation of standard errrors does not (yet) support measurement errors.\nInstead, define them explicitly as varexo and provide measurement equations in the model definition.\nAlternatively, use numerical standard errors.')
|
||||
end
|
||||
modparam_nbr = estim_params_.np; % number of model parameters as declared in estimated_params
|
||||
|
@ -151,27 +153,26 @@ if strcmp(options_mom_.mom.mom_method,'GMM')
|
|||
totparam_nbr = stderrparam_nbr+corrparam_nbr+modparam_nbr;
|
||||
dr.derivs = get_perturbation_params_derivs(M_, options_mom_, estim_params_, oo_, indpmodel, indpstderr, indpcorr, 0); %analytic derivatives of perturbation matrices
|
||||
oo_.mom.model_moments_params_derivs = NaN(options_mom_.mom.mom_nbr,totparam_nbr);
|
||||
pruned_state_space = pruned_state_space_system(M_, options_mom_, dr, oo_.dr.obs_var, options_mom_.ar, 0, 1);
|
||||
pruned_state_space = pruned_state_space_system(M_, options_mom_, dr, oo_.mom.obs_var, options_mom_.ar, 0, 1);
|
||||
else
|
||||
pruned_state_space = pruned_state_space_system(M_, options_mom_, dr, oo_.dr.obs_var, options_mom_.ar, 0, 0);
|
||||
pruned_state_space = pruned_state_space_system(M_, options_mom_, dr, oo_.mom.obs_var, options_mom_.ar, 0, 0);
|
||||
end
|
||||
|
||||
oo_.mom.model_moments = NaN(options_mom_.mom.mom_nbr,1);
|
||||
for jm = 1:size(M_.matched_moments,1)
|
||||
% First moments
|
||||
if ~options_mom_.prefilter && (sum(M_.matched_moments{jm,3}) == 1)
|
||||
idx1 = (oo_.dr.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}) );
|
||||
idx1 = (oo_.mom.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}) );
|
||||
oo_.mom.model_moments(jm,1) = pruned_state_space.E_y(idx1);
|
||||
if options_mom_.mom.compute_derivs && ( options_mom_.mom.analytic_standard_errors || options_mom_.mom.analytic_jacobian )
|
||||
oo_.mom.model_moments_params_derivs(jm,:) = pruned_state_space.dE_y(idx1,:);
|
||||
end
|
||||
end
|
||||
% Second moments
|
||||
% second moments
|
||||
if (sum(M_.matched_moments{jm,3}) == 2)
|
||||
idx1 = (oo_.dr.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}(1)) );
|
||||
idx2 = (oo_.dr.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}(2)) );
|
||||
idx1 = (oo_.mom.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}(1)) );
|
||||
idx2 = (oo_.mom.obs_var == find(oo_.dr.order_var==M_.matched_moments{jm,1}(2)) );
|
||||
if nnz(M_.matched_moments{jm,2}) == 0
|
||||
% Covariance
|
||||
% covariance
|
||||
if options_mom_.prefilter
|
||||
oo_.mom.model_moments(jm,1) = pruned_state_space.Var_y(idx1,idx2);
|
||||
if options_mom_.mom.compute_derivs && ( options_mom_.mom.analytic_standard_errors || options_mom_.mom.analytic_jacobian )
|
||||
|
@ -186,8 +187,8 @@ if strcmp(options_mom_.mom.mom_method,'GMM')
|
|||
end
|
||||
end
|
||||
else
|
||||
% Autocovariance
|
||||
lag = -M_.matched_moments{jm,2}(2); %note that leads/lags in matched_moments are transformed such that first entry is always 0 and the second is a lag
|
||||
% autocovariance
|
||||
lag = -M_.matched_moments{jm,2}(2); %note that leads/lags in M_.matched_moments are transformed such that first entry is always 0 and the second is a lag
|
||||
if options_mom_.prefilter
|
||||
oo_.mom.model_moments(jm,1) = pruned_state_space.Var_yi(idx1,idx2,lag);
|
||||
if options_mom_.mom.compute_derivs && ( options_mom_.mom.analytic_standard_errors || options_mom_.mom.analytic_jacobian )
|
||||
|
@ -204,24 +205,23 @@ if strcmp(options_mom_.mom.mom_method,'GMM')
|
|||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
elseif strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
%------------------------------------------------------------------------------
|
||||
% 3. Compute Moments of the model solution for normal innovations
|
||||
%------------------------------------------------------------------------------
|
||||
|
||||
%------------------------------------------------------------------------------
|
||||
% SMM: Compute Moments of the model solution for Gaussian innovations
|
||||
%------------------------------------------------------------------------------
|
||||
if strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
% create shock series with correct covariance matrix from iid standard normal shocks
|
||||
i_exo_var = setdiff(1:M_.exo_nbr, find(diag(M_.Sigma_e) == 0 )); %find singular entries in covariance
|
||||
i_exo_var = setdiff(1:M_.exo_nbr, find(diag(M_.Sigma_e) == 0 )); % find singular entries in covariance
|
||||
chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
|
||||
scaled_shock_series = zeros(size(options_mom_.mom.shock_series)); %initialize
|
||||
scaled_shock_series(:,i_exo_var) = options_mom_.mom.shock_series(:,i_exo_var)*chol_S; %set non-zero entries
|
||||
|
||||
scaled_shock_series = zeros(size(options_mom_.mom.shock_series)); % initialize
|
||||
scaled_shock_series(:,i_exo_var) = options_mom_.mom.shock_series(:,i_exo_var)*chol_S; % set non-zero entries
|
||||
% simulate series
|
||||
y_sim = simult_(M_, options_mom_, dr.ys, dr, scaled_shock_series, options_mom_.order);
|
||||
% provide meaningful penalty if data is nan or inf
|
||||
if any(any(isnan(y_sim))) || any(any(isinf(y_sim)))
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = Inf(size(oo_.mom.Sw,1),1);
|
||||
else
|
||||
fval = Inf;
|
||||
|
@ -229,73 +229,70 @@ elseif strcmp(options_mom_.mom.mom_method,'SMM')
|
|||
info(1)=180;
|
||||
info(4) = 0.1;
|
||||
exit_flag = 0;
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = ones(size(oo_.mom.data_moments,1),1)*options_mom_.huge_number;
|
||||
end
|
||||
return
|
||||
end
|
||||
|
||||
% Remove burn-in and focus on observables (note that y_sim is in declaration order)
|
||||
y_sim = y_sim(oo_.dr.order_var(oo_.dr.obs_var) , end-options_mom_.mom.long+1:end)';
|
||||
|
||||
% remove burn-in and focus on observables (note that y_sim is in declaration order)
|
||||
y_sim = y_sim(oo_.dr.order_var(oo_.mom.obs_var) , end-options_mom_.mom.long+1:end)';
|
||||
if ~all(diag(M_.H)==0)
|
||||
i_ME = setdiff([1:size(M_.H,1)],find(diag(M_.H) == 0)); % find ME with 0 variance
|
||||
chol_S = chol(M_.H(i_ME,i_ME)); %decompose rest
|
||||
shock_mat=zeros(size(options_mom_.mom.ME_shock_series)); %initialize
|
||||
chol_S = chol(M_.H(i_ME,i_ME)); % decompose rest
|
||||
shock_mat=zeros(size(options_mom_.mom.ME_shock_series)); % initialize
|
||||
shock_mat(:,i_ME)=options_mom_.mom.ME_shock_series(:,i_ME)*chol_S;
|
||||
y_sim = y_sim+shock_mat;
|
||||
end
|
||||
|
||||
% Remove mean if centered moments
|
||||
% remove mean if centered moments
|
||||
if options_mom_.prefilter
|
||||
y_sim = bsxfun(@minus, y_sim, mean(y_sim,1));
|
||||
end
|
||||
oo_.mom.model_moments = mom.data_moments(y_sim, oo_, M_.matched_moments, options_mom_);
|
||||
|
||||
oo_.mom.model_moments = mom.get_data_moments(y_sim, oo_, M_.matched_moments, options_mom_);
|
||||
end
|
||||
|
||||
|
||||
%--------------------------------------------------------------------------
|
||||
% 4. Compute quadratic target function
|
||||
% Compute quadratic target function
|
||||
%--------------------------------------------------------------------------
|
||||
moments_difference = oo_.mom.data_moments - oo_.mom.model_moments;
|
||||
residuals = sqrt(options_mom_.mom.weighting_matrix_scaling_factor)*oo_.mom.Sw*moments_difference;
|
||||
oo_.mom.Q = residuals'*residuals;
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = residuals;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
fval=[fval;(xparam1-oo_.prior.mean)./sqrt(diag(oo_.prior.variance))];
|
||||
end
|
||||
else
|
||||
fval = oo_.mom.Q;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
fval=fval+(xparam1-oo_.prior.mean)'/oo_.prior.variance*(xparam1-oo_.prior.mean);
|
||||
end
|
||||
end
|
||||
|
||||
if options_mom_.mom.compute_derivs && options_mom_.mom.analytic_jacobian
|
||||
if options_mom_.mom.penalized_estimator
|
||||
dxparam1 = eye(length(xparam1));
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
residuals = sqrt(options_mom_.mom.weighting_matrix_scaling_factor)*oo_.mom.Sw*moments_difference;
|
||||
oo_.mom.Q = residuals'*residuals;
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
fval = residuals;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
fval=[fval;(xparam-oo_.mom.prior.mean)./sqrt(diag(oo_.mom.prior.variance))];
|
||||
end
|
||||
else
|
||||
fval = oo_.mom.Q;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
fval=fval+(xparam-oo_.mom.prior.mean)'/oo_.mom.prior.variance*(xparam-oo_.mom.prior.mean);
|
||||
end
|
||||
end
|
||||
|
||||
for jp=1:length(xparam1)
|
||||
dmoments_difference = - oo_.mom.model_moments_params_derivs(:,jp);
|
||||
dresiduals = sqrt(options_mom_.mom.weighting_matrix_scaling_factor)*oo_.mom.Sw*dmoments_difference;
|
||||
|
||||
if options_mom_.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df(:,jp)=[dresiduals;dxparam1(:,jp)./sqrt(diag(oo_.prior.variance))];
|
||||
if options_mom_.mom.compute_derivs && options_mom_.mom.analytic_jacobian
|
||||
if options_mom_.mom.penalized_estimator
|
||||
dxparam1 = eye(length(xparam));
|
||||
end
|
||||
for jp=1:length(xparam)
|
||||
dmoments_difference = - oo_.mom.model_moments_params_derivs(:,jp);
|
||||
dresiduals = sqrt(options_mom_.mom.weighting_matrix_scaling_factor)*oo_.mom.Sw*dmoments_difference;
|
||||
if options_mom_.mom.vector_output == 1 % lsqnonlin requires vector output
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df(:,jp)=[dresiduals;dxparam1(:,jp)./sqrt(diag(oo_.mom.prior.variance))];
|
||||
else
|
||||
df(:,jp) = dresiduals;
|
||||
end
|
||||
else
|
||||
df(:,jp) = dresiduals;
|
||||
end
|
||||
else
|
||||
df(:,jp) = dresiduals'*residuals + residuals'*dresiduals;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df(:,jp)=df(:,jp)+(dxparam1(:,jp))'/oo_.prior.variance*(xparam1-oo_.prior.mean)+(xparam1-oo_.prior.mean)'/oo_.prior.variance*(dxparam1(:,jp));
|
||||
df(:,jp) = dresiduals'*residuals + residuals'*dresiduals;
|
||||
if options_mom_.mom.penalized_estimator
|
||||
df(:,jp)=df(:,jp)+(dxparam1(:,jp))'/oo_.mom.prior.variance*(xparam-oo_.mom.prior.mean)+(xparam-oo_.mom.prior.mean)'/oo_.mom.prior.variance*(dxparam1(:,jp));
|
||||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
end%main function end
|
||||
end % main function end
|
||||
|
||||
|
|
|
@ -0,0 +1,123 @@
|
|||
function print_info_on_estimation_settings(options_mom_, number_of_estimated_parameters)
|
||||
% function print_info_on_estimation_settings(options_mom_, number_of_estimated_parameters)
|
||||
% -------------------------------------------------------------------------
|
||||
% Print information on the method of moments estimation settings to the console
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% options_mom_ [struct] Options for the method of moments estimation
|
||||
% number_of_estimated_parameters [integer] Number of estimated parameters
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% No output, just displays the chosen settings
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% o skipline
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
fprintf('\n---------------------------------------------------\n')
|
||||
if strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
fprintf('Simulated method of moments with');
|
||||
elseif strcmp(options_mom_.mom.mom_method,'GMM')
|
||||
fprintf('General method of moments with');
|
||||
end
|
||||
if strcmp(options_mom_.mom.mom_method,'SMM') || strcmp(options_mom_.mom.mom_method,'GMM')
|
||||
if options_mom_.prefilter
|
||||
fprintf('\n - centered moments (prefilter=1)');
|
||||
else
|
||||
fprintf('\n - uncentered moments (prefilter=0)');
|
||||
end
|
||||
if options_mom_.mom.penalized_estimator
|
||||
fprintf('\n - penalized estimation using deviation from prior mean and weighted with prior precision');
|
||||
end
|
||||
end
|
||||
|
||||
for i = 1:length(options_mom_.optimizer_vec)
|
||||
if i == 1
|
||||
str = '- optimizer (mode_compute';
|
||||
else
|
||||
str = ' (additional_optimizer_steps';
|
||||
end
|
||||
switch options_mom_.optimizer_vec{i}
|
||||
case 0
|
||||
fprintf('\n %s=0): no minimization',str);
|
||||
case 1
|
||||
fprintf('\n %s=1): fmincon',str);
|
||||
case 2
|
||||
fprintf('\n %s=2): continuous simulated annealing',str);
|
||||
case 3
|
||||
fprintf('\n %s=3): fminunc',str);
|
||||
case 4
|
||||
fprintf('\n %s=4): csminwel',str);
|
||||
case 5
|
||||
fprintf('\n %s=5): newrat',str);
|
||||
case 6
|
||||
fprintf('\n %s=6): gmhmaxlik',str);
|
||||
case 7
|
||||
fprintf('\n %s=7): fminsearch',str);
|
||||
case 8
|
||||
fprintf('\n %s=8): Dynare Nelder-Mead simplex',str);
|
||||
case 9
|
||||
fprintf('\n %s=9): CMA-ES',str);
|
||||
case 10
|
||||
fprintf('\n %s=10): simpsa',str);
|
||||
case 11
|
||||
skipline;
|
||||
error('method_of_moments: online_auxiliary_filter (mode_compute=11) is only supported with likelihood-based estimation techniques!');
|
||||
case 12
|
||||
fprintf('\n %s=12): particleswarm',str);
|
||||
case 101
|
||||
fprintf('\n %s=101): SolveOpt',str);
|
||||
case 102
|
||||
fprintf('\n %s=102): simulannealbnd',str);
|
||||
case 13
|
||||
fprintf('\n %s=13): lsqnonlin',str);
|
||||
otherwise
|
||||
if ischar(options_mom_.optimizer_vec{i})
|
||||
fprintf('\n %s=%s): user-defined',str,options_mom_.optimizer_vec{i});
|
||||
else
|
||||
skipline;
|
||||
error('method_of_moments: Unknown optimizer!');
|
||||
end
|
||||
end
|
||||
if options_mom_.silent_optimizer
|
||||
fprintf(' (silent)');
|
||||
end
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_jacobian && ismember(options_mom_.optimizer_vec{i},options_mom_.mom.analytic_jacobian_optimizers)
|
||||
fprintf(' (using analytical Jacobian)');
|
||||
end
|
||||
end
|
||||
if options_mom_.order > 0
|
||||
fprintf('\n - stochastic simulations with perturbation order: %d', options_mom_.order)
|
||||
end
|
||||
if options_mom_.order > 1 && options_mom_.pruning
|
||||
fprintf(' (with pruning)')
|
||||
end
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_method,'SMM')
|
||||
if strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_standard_errors
|
||||
fprintf('\n - standard errors: analytic derivatives');
|
||||
else
|
||||
fprintf('\n - standard errors: numerical derivatives');
|
||||
end
|
||||
fprintf('\n - number of matched moments: %d', options_mom_.mom.mom_nbr);
|
||||
end
|
||||
fprintf('\n - number of parameters: %d', number_of_estimated_parameters);
|
||||
fprintf('\n\n');
|
1158
matlab/+mom/run.m
1158
matlab/+mom/run.m
File diff suppressed because it is too large
Load Diff
|
@ -0,0 +1,43 @@
|
|||
function Bounds = set_correct_bounds_for_stderr_corr(estim_params_,Bounds)
|
||||
% function Bounds = set_correct_bounds_for_stderr_corr(estim_params_,Bounds)
|
||||
% -------------------------------------------------------------------------
|
||||
% Set correct bounds for standard deviation and corrrelation parameters
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o estim_params_ [struct] information on estimated parameters
|
||||
% o Bounds [struct] information on bounds
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% o Bounds [struct] updated bounds
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
number_of_estimated_parameters = estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np;
|
||||
% set correct bounds for standard deviations and corrrelations
|
||||
param_of_interest = (1:number_of_estimated_parameters)'<=estim_params_.nvx+estim_params_.nvn;
|
||||
LB_below_0 = (Bounds.lb<0 & param_of_interest);
|
||||
Bounds.lb(LB_below_0) = 0;
|
||||
param_of_interest = (1:number_of_estimated_parameters)'> estim_params_.nvx+estim_params_.nvn & (1:number_of_estimated_parameters)'<estim_params_.nvx+estim_params_.nvn +estim_params_.ncx + estim_params_.ncn;
|
||||
LB_below_minus_1 = (Bounds.lb<-1 & param_of_interest);
|
||||
UB_above_1 = (Bounds.ub>1 & param_of_interest);
|
||||
Bounds.lb(LB_below_minus_1) = -1;
|
||||
Bounds.ub(UB_above_1) = 1;
|
|
@ -0,0 +1,58 @@
|
|||
function bayestopt_ = transform_prior_to_laplace_prior(bayestopt_)
|
||||
% function bayestopt_ = transform_prior_to_laplace_prior(bayestopt_)
|
||||
% -------------------------------------------------------------------------
|
||||
% Transforms the prior specification to a Laplace type of approximation:
|
||||
% only the prior mean and standard deviation are relevant, all other shape
|
||||
% information, except for the parameter bounds, is ignored.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% bayestopt_ [structure] prior information
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUT
|
||||
% bayestopt_ [structure] Laplace prior information
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o mom.run
|
||||
% =========================================================================
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
if any(setdiff([0;bayestopt_.pshape],[0,3]))
|
||||
fprintf('\nNon-normal priors specified. Penalized estimation uses a Laplace type of approximation:');
|
||||
fprintf('\nOnly the prior mean and standard deviation are relevant, all other shape information, except for the parameter bounds, is ignored.\n\n');
|
||||
non_normal_priors = (bayestopt_.pshape~=3);
|
||||
bayestopt_.pshape(non_normal_priors) = 3;
|
||||
bayestopt_.p3(non_normal_priors) = -Inf*ones(sum(non_normal_priors),1);
|
||||
bayestopt_.p4(non_normal_priors) = Inf*ones(sum(non_normal_priors),1);
|
||||
bayestopt_.p6(non_normal_priors) = bayestopt_.p1(non_normal_priors);
|
||||
bayestopt_.p7(non_normal_priors) = bayestopt_.p2(non_normal_priors);
|
||||
bayestopt_.p5(non_normal_priors) = bayestopt_.p1(non_normal_priors);
|
||||
end
|
||||
if any(isinf(bayestopt_.p2)) % find infinite variance priors
|
||||
inf_var_pars = bayestopt_.name(isinf(bayestopt_.p2));
|
||||
disp_string = [inf_var_pars{1,:}];
|
||||
for ii = 2:size(inf_var_pars,1)
|
||||
disp_string = [disp_string,', ',inf_var_pars{ii,:}];
|
||||
end
|
||||
fprintf('The parameter(s) %s have infinite prior variance. This implies a flat prior.\n',disp_string);
|
||||
fprintf('Dynare disables the matrix singularity warning\n');
|
||||
if isoctave
|
||||
warning('off','Octave:singular-matrix');
|
||||
else
|
||||
warning('off','MATLAB:singularMatrix');
|
||||
end
|
||||
end
|
|
@ -12,7 +12,7 @@ function [DirectoryName, info] = CheckPath(type,dname)
|
|||
% SPECIAL REQUIREMENTS
|
||||
% none
|
||||
|
||||
% Copyright © 2005-2017 Dynare Team
|
||||
% Copyright © 2005-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -31,7 +31,7 @@ function [DirectoryName, info] = CheckPath(type,dname)
|
|||
|
||||
info = 0;
|
||||
|
||||
DirectoryName = [ dname '/' type ];
|
||||
DirectoryName = [ dname filesep type ];
|
||||
|
||||
if ~isdir(dname)
|
||||
% Make sure there isn't a file with the same name, see trac ticket #47
|
||||
|
|
|
@ -33,6 +33,8 @@ function CutSample(M_, options_, estim_params_)
|
|||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
% Get the path to the metropolis files.
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
|
||||
|
@ -47,7 +49,7 @@ npar=size(record.LastParameters,2);
|
|||
mh_files = dir([ MetropolisFolder ,filesep, M_.fname '_mh*.mat' ]);
|
||||
|
||||
if ~length(mh_files)
|
||||
error('Estimation::mcmc: I can''t find MH file to load here!')
|
||||
error('%s: I can''t find MH file to load here!',dispString)
|
||||
end
|
||||
|
||||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||
|
@ -71,9 +73,9 @@ end
|
|||
% Save updated mh-history file.
|
||||
update_last_mh_history_file(MetropolisFolder, ModelName, record);
|
||||
|
||||
fprintf('Estimation::mcmc: Total number of MH draws per chain: %d.\n',TotalNumberOfMhDraws);
|
||||
fprintf('Estimation::mcmc: Total number of generated MH files: %d.\n',TotalNumberOfMhFiles);
|
||||
fprintf('Estimation::mcmc: I''ll use mh-files %d to %d.\n',FirstMhFile,TotalNumberOfMhFiles);
|
||||
fprintf('Estimation::mcmc: In MH-file number %d I''ll start at line %d.\n',FirstMhFile,FirstLine);
|
||||
fprintf('Estimation::mcmc: Finally I keep %d draws per chain.\n',TotalNumberOfMhDraws-FirstDraw+1);
|
||||
fprintf('%s: Total number of MH draws per chain: %d.\n',dispString,TotalNumberOfMhDraws);
|
||||
fprintf('%s: Total number of generated MH files: %d.\n',dispString,TotalNumberOfMhFiles);
|
||||
fprintf('%s: I''ll use mh-files %d to %d.\n',dispString,FirstMhFile,TotalNumberOfMhFiles);
|
||||
fprintf('%s: In MH-file number %d I''ll start at line %d.\n',dispString,FirstMhFile,FirstLine);
|
||||
fprintf('%s: Finally I keep %d draws per chain.\n',dispString,TotalNumberOfMhDraws-FirstDraw+1);
|
||||
skipline()
|
|
@ -16,7 +16,7 @@ function PosteriorIRF(type)
|
|||
% functions associated with it(the _core1 and _core2).
|
||||
% See also the comments posterior_sampler.m funtion.
|
||||
|
||||
% Copyright © 2006-2018 Dynare Team
|
||||
% Copyright © 2006-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -36,6 +36,8 @@ function PosteriorIRF(type)
|
|||
|
||||
global options_ estim_params_ oo_ M_ bayestopt_ dataset_ dataset_info
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
% Set the number of periods
|
||||
if isempty(options_.irf) || ~options_.irf
|
||||
options_.irf = 40;
|
||||
|
@ -287,7 +289,7 @@ if options_.TeX
|
|||
end
|
||||
end
|
||||
|
||||
fprintf('Estimation::mcmc: Posterior (dsge) IRFs...\n');
|
||||
fprintf('%s: Posterior (dsge) IRFs...\n',dispString);
|
||||
tit = M_.exo_names;
|
||||
kdx = 0;
|
||||
|
||||
|
@ -327,7 +329,7 @@ if MAX_nirfs_dsgevar
|
|||
VarIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
|
||||
DistribIRFdsgevar = zeros(options_.irf,9,nvar,M_.exo_nbr);
|
||||
HPDIRFdsgevar = zeros(options_.irf,2,nvar,M_.exo_nbr);
|
||||
fprintf('Estimation::mcmc: Posterior (bvar-dsge) IRFs...\n');
|
||||
fprintf('%s: Posterior (bvar-dsge) IRFs...\n',dispString);
|
||||
tit = M_.exo_names;
|
||||
kdx = 0;
|
||||
for file = 1:NumberOfIRFfiles_dsgevar
|
||||
|
@ -457,4 +459,4 @@ if ~options_.nograph && ~options_.no_graph.posterior
|
|||
|
||||
end
|
||||
|
||||
fprintf('Estimation::mcmc: Posterior IRFs, done!\n');
|
||||
fprintf('%s: Posterior IRFs, done!\n',dispString);
|
||||
|
|
|
@ -1,10 +1,11 @@
|
|||
function [posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, options_, bounds, bayestopt_)
|
||||
|
||||
% function [posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, options_, bounds, bayestopt_)
|
||||
function [posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, fname, dname, options_, bounds, bayestopt_)
|
||||
% function [posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, fname, dname, options_, bounds, bayestopt_)
|
||||
% initialization of posterior samplers
|
||||
%
|
||||
% INPUTS
|
||||
% posterior_sampler_options: posterior sampler options
|
||||
% fname: name of the mod-file
|
||||
% dname: name of directory with metropolis folder
|
||||
% options_: structure storing the options
|
||||
% bounds: structure containing prior bounds
|
||||
% bayestopt_: structure storing information about priors
|
||||
|
@ -17,7 +18,7 @@ function [posterior_sampler_options, options_, bayestopt_] = check_posterior_sam
|
|||
% SPECIAL REQUIREMENTS
|
||||
% none
|
||||
|
||||
% Copyright © 2015-2022 Dynare Team
|
||||
% Copyright © 2015-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -391,7 +392,7 @@ if ~strcmp(posterior_sampler_options.posterior_sampling_method,'slice')
|
|||
end
|
||||
|
||||
if options_.load_mh_file && posterior_sampler_options.use_mh_covariance_matrix
|
||||
[~, invhess] = compute_mh_covariance_matrix;
|
||||
[~, invhess] = compute_mh_covariance_matrix(bayestopt_,fname,dname);
|
||||
posterior_sampler_options.invhess = invhess;
|
||||
end
|
||||
|
||||
|
@ -413,7 +414,7 @@ if strcmp(posterior_sampler_options.posterior_sampling_method,'slice')
|
|||
error('check_posterior_sampler_options:: This error should not occur, please contact developers.')
|
||||
end
|
||||
% % % if options_.load_mh_file && options_.use_mh_covariance_matrix,
|
||||
% % % [~, invhess] = compute_mh_covariance_matrix;
|
||||
% % % [~, invhess] = compute_mh_covariance_matrix(bayestopt_,M_.fname,M_.dname));
|
||||
% % % posterior_sampler_options.invhess = invhess;
|
||||
% % % end
|
||||
[V1, D]=eig(invhess);
|
||||
|
|
|
@ -1,10 +1,13 @@
|
|||
function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix()
|
||||
function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix(bayestopt_,fname,dname)
|
||||
% function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix(bayestopt_,fname,dname)
|
||||
% Estimation of the posterior covariance matrix, posterior mean, posterior mode and evaluation of the posterior kernel at the
|
||||
% estimated mode, using the draws from a metropolis-hastings. The estimated posterior mode and covariance matrix are saved in
|
||||
% a file <M_.fname>_mh_mode.mat.
|
||||
% a file <fname>_mh_mode.mat.
|
||||
%
|
||||
% INPUTS
|
||||
% None.
|
||||
% o bayestopt_ [struct] characterizing priors
|
||||
% o fname [string] name of model
|
||||
% o dname [string] name of directory with metropolis folder
|
||||
%
|
||||
% OUTPUTS
|
||||
% o posterior_mean [double] (n*1) vector, posterior expectation of the parameters.
|
||||
|
@ -31,14 +34,10 @@ function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at
|
|||
%
|
||||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
MetropolisFolder = CheckPath('metropolis',dname);
|
||||
BaseName = [MetropolisFolder filesep fname];
|
||||
|
||||
global M_ bayestopt_
|
||||
|
||||
MetropolisFolder = CheckPath('metropolis',M_.dname);
|
||||
ModelName = M_.fname;
|
||||
BaseName = [MetropolisFolder filesep ModelName];
|
||||
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
record=load_last_mh_history_file(MetropolisFolder, fname);
|
||||
|
||||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||
FirstLine = record.KeepedDraws.FirstLine;
|
||||
|
@ -71,4 +70,4 @@ hh = inv(posterior_covariance);
|
|||
fval = posterior_kernel_at_the_mode;
|
||||
parameter_names = bayestopt_.name;
|
||||
|
||||
save([M_.dname filesep 'Output' filesep M_.fname '_mh_mode.mat'],'xparam1','hh','fval','parameter_names');
|
||||
save([dname filesep 'Output' filesep fname '_mh_mode.mat'],'xparam1','hh','fval','parameter_names');
|
|
@ -1,5 +1,5 @@
|
|||
function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
||||
% function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
|
||||
function oo_ = mcmc_diagnostics(options_, estim_params_, M_, oo_)
|
||||
% function oo_ = mcmc_diagnostics(options_, estim_params_, M_, oo_)
|
||||
% Computes convergence tests
|
||||
%
|
||||
% INPUTS
|
||||
|
@ -51,11 +51,11 @@ for b = 1:nblck
|
|||
nfiles = length(dir([MetropolisFolder ,filesep, ModelName '_mh*_blck' num2str(b) '.mat']));
|
||||
if ~isequal(NumberOfMcFilesPerBlock,nfiles)
|
||||
issue_an_error_message = 1;
|
||||
disp(['Estimation::mcmc::diagnostics: The number of MCMC files in chain ' num2str(b) ' is ' num2str(nfiles) ' while the mh-history files indicate that we should have ' num2str(NumberOfMcFilesPerBlock) ' MCMC files per chain!'])
|
||||
fprintf('The number of MCMC files in chain %u is %u while the mh-history files indicate that we should have %u MCMC files per chain!\n',b, nfiles, NumberOfMcFilesPerBlock);
|
||||
end
|
||||
end
|
||||
if issue_an_error_message
|
||||
error('Estimation::mcmc::diagnostics: I cannot proceed because some MCMC files are missing. Check your MCMC files...')
|
||||
error('mcmc_diagnostics: I cannot proceed because some MCMC files are missing. Check your MCMC files...!');
|
||||
end
|
||||
|
||||
% compute inefficiency factor
|
||||
|
@ -111,7 +111,7 @@ PastDraws = sum(record.MhDraws,1);
|
|||
NumberOfDraws = PastDraws(1);
|
||||
|
||||
if NumberOfDraws<=2000
|
||||
warning(['estimation:: MCMC convergence diagnostics are not computed because the total number of iterations is not bigger than 2000!'])
|
||||
warning('MCMC convergence diagnostics are not computed because the total number of iterations is not bigger than 2000!');
|
||||
return
|
||||
end
|
||||
|
||||
|
@ -185,7 +185,7 @@ if nblck == 1 % Brooks and Gelman tests need more than one block
|
|||
if options_.convergence.rafterylewis.indicator
|
||||
if any(options_.convergence.rafterylewis.qrs<0) || any(options_.convergence.rafterylewis.qrs>1) || length(options_.convergence.rafterylewis.qrs)~=3 ...
|
||||
|| (options_.convergence.rafterylewis.qrs(1)-options_.convergence.rafterylewis.qrs(2)<=0)
|
||||
fprintf('\nCONVERGENCE DIAGNOSTICS: Invalid option for raftery_lewis_qrs. Using the default of [0.025 0.005 0.95].\n')
|
||||
fprintf('\nInvalid option for raftery_lewis_qrs. Using the default of [0.025 0.005 0.95].\n');
|
||||
options_.convergence.rafterylewis.qrs=[0.025 0.005 0.95];
|
||||
end
|
||||
Raftery_Lewis_q=options_.convergence.rafterylewis.qrs(1);
|
||||
|
@ -218,18 +218,18 @@ xx = Origin:StepSize:NumberOfDraws;
|
|||
NumberOfLines = length(xx);
|
||||
|
||||
if NumberOfDraws < Origin
|
||||
disp('Estimation::mcmc::diagnostics: The number of simulations is too small to compute the MCMC convergence diagnostics.')
|
||||
fprintf('The number of simulations is too small to compute the MCMC convergence diagnostics.\n');
|
||||
return
|
||||
end
|
||||
|
||||
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([OutputFolder '/' ModelName '_UnivariateDiagnostics.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by mcmc_diagnostics.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
||||
fprintf(fidTeX,' \n');
|
||||
end
|
||||
|
||||
disp('Estimation::mcmc::diagnostics: Univariate convergence diagnostic, Brooks and Gelman (1998):')
|
||||
fprintf('Univariate convergence diagnostic, Brooks and Gelman (1998):\n');
|
||||
|
||||
% The mandatory variables for local/remote parallel
|
||||
% computing are stored in localVars struct.
|
||||
|
@ -248,7 +248,7 @@ localVars.M_ = M_;
|
|||
|
||||
% Like sequential execution!
|
||||
if isnumeric(options_.parallel)
|
||||
fout = McMCDiagnostics_core(localVars,1,npar,0);
|
||||
fout = mcmc_diagnostics_core(localVars,1,npar,0);
|
||||
UDIAG = fout.UDIAG;
|
||||
clear fout
|
||||
% Parallel execution!
|
||||
|
@ -258,7 +258,7 @@ else
|
|||
end
|
||||
NamFileInput={[M_.dname '/metropolis/'],[ModelName '_mh*_blck*.mat']};
|
||||
|
||||
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, 1, npar,NamFileInput,'McMCDiagnostics_core', localVars, [], options_.parallel_info);
|
||||
[fout, nBlockPerCPU, totCPU] = masterParallel(options_.parallel, 1, npar,NamFileInput,'mcmc_diagnostics_core', localVars, [], options_.parallel_info);
|
||||
UDIAG = fout(1).UDIAG;
|
||||
for j=2:totCPU
|
||||
UDIAG = cat(3,UDIAG ,fout(j).UDIAG);
|
||||
|
@ -397,7 +397,7 @@ clear UDIAG;
|
|||
%
|
||||
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([OutputFolder '/' ModelName '_MultivariateDiagnostics.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by McmcDiagnostics.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by mcmc_diagnostics.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
||||
fprintf(fidTeX,' \n');
|
||||
end
|
|
@ -1,5 +1,5 @@
|
|||
function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
||||
% function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
||||
function myoutput = mcmc_diagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
||||
% function myoutput = mcmc_diagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
||||
% Computes the Brooks/Gelman (1998) convergence diagnostics, both the
|
||||
% parameteric and the non-parameteric versions
|
||||
%
|
||||
|
@ -20,11 +20,10 @@ function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
|||
% 4nd column: sum of within sequence variances; used to compute mean within sequence variances
|
||||
% 5nd column: within sequence kurtosis
|
||||
% 6nd column: sum of within sequence kurtoses; used to compute mean within sequence kurtoses
|
||||
% Averaging to compute mean moments is done in
|
||||
% McMCDiagnostics
|
||||
% Averaging to compute mean moments is done in mcmc_diagnostics
|
||||
%
|
||||
% ALGORITHM
|
||||
% Computes part of the convergence diagnostics, the rest is computed in McMCDiagnostics.m .
|
||||
% Computes part of the convergence diagnostics, the rest is computed in mcmc_diagnostics.m.
|
||||
% The methodology and terminology is based on: Brooks/Gelman (1998): General
|
||||
% Methods for Monitoring Convergence of Iterative Simulations, Journal of Computational
|
||||
% and Graphical Statistics, Volume 7, Number 4, Pages 434-455
|
||||
|
@ -33,7 +32,7 @@ function myoutput = McMCDiagnostics_core(myinputs,fpar,npar,whoiam, ThisMatlab)
|
|||
% SPECIAL REQUIREMENTS.
|
||||
% None.
|
||||
|
||||
% Copyright © 2006-2017 Dynare Team
|
||||
% Copyright © 2006-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -80,7 +79,7 @@ tmp = zeros(NumberOfDraws*nblck,3);
|
|||
UDIAG = zeros(NumberOfLines,6,npar-fpar+1);
|
||||
|
||||
if whoiam
|
||||
waitbarString = ['Please wait... McMCDiagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
|
||||
waitbarString = ['Please wait... MCMC diagnostics (' int2str(fpar) 'of' int2str(npar) ')...'];
|
||||
if Parallel(ThisMatlab).Local
|
||||
waitbarTitle=['Local '];
|
||||
else
|
|
@ -174,7 +174,7 @@ if ncn
|
|||
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.')
|
||||
warning(sprintf('Some estimated standard deviations are negative.\n Dynare internally works with variances so that the sign does not matter.\n Nevertheless, it is recommended to impose either prior restrictions (Bayesian Estimation)\n or a lower bound (ML) to assure positive values.'))
|
||||
end
|
||||
|
||||
OutputDirectoryName = CheckPath('Output',M_.dname);
|
||||
|
|
|
@ -12,7 +12,7 @@ function dynare_estimation_1(var_list_,dname)
|
|||
% SPECIAL REQUIREMENTS
|
||||
% none
|
||||
|
||||
% Copyright © 2003-2022 Dynare Team
|
||||
% Copyright © 2003-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -31,6 +31,8 @@ function dynare_estimation_1(var_list_,dname)
|
|||
|
||||
global M_ options_ oo_ estim_params_ bayestopt_ dataset_ dataset_info
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
if ~exist([M_.dname filesep 'Output'],'dir')
|
||||
if isoctave && octave_ver_less_than('7') && ~exist(M_.dname)
|
||||
% See https://savannah.gnu.org/bugs/index.php?61166
|
||||
|
@ -293,37 +295,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
|
|||
end
|
||||
|
||||
if ~options_.mh_posterior_mode_estimation && options_.cova_compute
|
||||
try
|
||||
chol(hh);
|
||||
catch
|
||||
skipline()
|
||||
disp('POSTERIOR KERNEL OPTIMIZATION PROBLEM!')
|
||||
disp(' (minus) the hessian matrix at the "mode" is not positive definite!')
|
||||
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(abs(xparam1-bounds.ub)<1.e-10 | abs(xparam1-bounds.lb)<1.e-10);
|
||||
if ~isempty(params_at_bound)
|
||||
for ii=1:length(params_at_bound)
|
||||
params_at_bound_name{ii,1}=get_the_name(params_at_bound(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(' - Change the optimization bounds.\n')
|
||||
fprintf(' - Use a different mode_compute like 6 or 9.\n')
|
||||
fprintf(' - Check whether the parameters estimated are identified.\n')
|
||||
fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
|
||||
fprintf(' - Increase the informativeness of the prior.\n')
|
||||
end
|
||||
warning('The results below are most likely wrong!');
|
||||
end
|
||||
check_hessian_at_the_mode(hh, xparam1, M_, estim_params_, options_, bounds);
|
||||
end
|
||||
|
||||
if options_.mode_check.status && ~options_.mh_posterior_mode_estimation
|
||||
|
@ -404,73 +376,19 @@ if np > 0
|
|||
save([M_.dname filesep 'Output' filesep M_.fname '_params.mat'],'pindx');
|
||||
end
|
||||
|
||||
switch options_.MCMC_jumping_covariance
|
||||
case 'hessian' %Baseline
|
||||
%do nothing and use hessian from mode_compute
|
||||
case 'prior_variance' %Use prior variance
|
||||
if any(isinf(bayestopt_.p2))
|
||||
error('Infinite prior variances detected. You cannot use the prior variances as the proposal density, if some variances are Inf.')
|
||||
else
|
||||
hh = diag(1./(bayestopt_.p2.^2));
|
||||
end
|
||||
hsd = sqrt(diag(hh));
|
||||
invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
|
||||
case 'identity_matrix' %Use identity
|
||||
invhess = eye(nx);
|
||||
otherwise %user specified matrix in file
|
||||
try
|
||||
load(options_.MCMC_jumping_covariance,'jumping_covariance')
|
||||
hh=jumping_covariance;
|
||||
catch
|
||||
error(['No matrix named ''jumping_covariance'' could be found in ',options_.MCMC_jumping_covariance,'.mat'])
|
||||
end
|
||||
[nrow, ncol]=size(hh);
|
||||
if ~isequal(nrow,ncol) && ~isequal(nrow,nx) %check if square and right size
|
||||
error(['jumping_covariance matrix must be square and have ',num2str(nx),' rows and columns'])
|
||||
end
|
||||
try %check for positive definiteness
|
||||
chol(hh);
|
||||
hsd = sqrt(diag(hh));
|
||||
invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
|
||||
catch
|
||||
error(['Specified jumping_covariance is not positive definite'])
|
||||
end
|
||||
end
|
||||
invhess = set_mcmc_jumping_covariance(invhess, nx, options_.MCMC_jumping_covariance, bayestopt_, 'dynare_estimation_1');
|
||||
|
||||
if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
||||
(any(bayestopt_.pshape >0 ) && options_.load_mh_file) %% not ML estimation
|
||||
bounds = prior_bounds(bayestopt_, options_.prior_trunc); %reset bounds as lb and ub must only be operational during mode-finding
|
||||
outside_bound_pars=find(xparam1 < bounds.lb | xparam1 > bounds.ub);
|
||||
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
|
||||
if options_.prior_trunc>0
|
||||
error(['Estimation:: Mode value(s) of ', disp_string ,' are outside parameter bounds. Potentially, you should set prior_trunc=0.'])
|
||||
else
|
||||
error(['Estimation:: Mode value(s) of ', disp_string ,' are outside parameter bounds.'])
|
||||
end
|
||||
end
|
||||
%reset bounds as lb and ub must only be operational during mode-finding
|
||||
bounds = set_mcmc_prior_bounds(xparam1, bayestopt_, options_, 'dynare_estimation_1');
|
||||
% Tunes the jumping distribution's scale parameter
|
||||
if options_.mh_tune_jscale.status
|
||||
if strcmp(options_.posterior_sampler_options.posterior_sampling_method, 'random_walk_metropolis_hastings')
|
||||
%get invhess in case of use_mh_covariance_matrix
|
||||
posterior_sampler_options_temp = options_.posterior_sampler_options.current_options;
|
||||
posterior_sampler_options_temp.invhess = invhess;
|
||||
posterior_sampler_options_temp = check_posterior_sampler_options(posterior_sampler_options_temp, options_);
|
||||
|
||||
options = options_.mh_tune_jscale;
|
||||
options.rwmh = options_.posterior_sampler_options.rwmh;
|
||||
options_.mh_jscale = calibrate_mh_scale_parameter(objective_function, ...
|
||||
posterior_sampler_options_temp.invhess, xparam1, [bounds.lb,bounds.ub], ...
|
||||
options, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_);
|
||||
clear('posterior_sampler_options_temp','options')
|
||||
options_.mh_jscale = tune_mcmc_mh_jscale_wrapper(invhess, options_, M_, objective_function, xparam1, bounds,...
|
||||
dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_);
|
||||
bayestopt_.jscale(:) = options_.mh_jscale;
|
||||
fprintf('mh_jscale has been set equal to %s\n', num2str(options_.mh_jscale))
|
||||
fprintf('mh_jscale has been set equal to %s\n', num2str(options_.mh_jscale));
|
||||
else
|
||||
warning('mh_tune_jscale is only available with Random Walk Metropolis Hastings!')
|
||||
end
|
||||
|
@ -479,7 +397,7 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|||
if options_.mh_replic || options_.load_mh_file
|
||||
posterior_sampler_options = options_.posterior_sampler_options.current_options;
|
||||
posterior_sampler_options.invhess = invhess;
|
||||
[posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, options_, bounds, bayestopt_);
|
||||
[posterior_sampler_options, options_, bayestopt_] = check_posterior_sampler_options(posterior_sampler_options, M_.fname, M_.dname, options_, bounds, bayestopt_);
|
||||
% store current options in global
|
||||
options_.posterior_sampler_options.current_options = posterior_sampler_options;
|
||||
if options_.mh_replic
|
||||
|
@ -492,7 +410,7 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|||
%% Here I discard first mh_drop percent of the draws:
|
||||
CutSample(M_, options_, estim_params_);
|
||||
if options_.mh_posterior_mode_estimation
|
||||
[~,~,posterior_mode,~] = compute_mh_covariance_matrix();
|
||||
[~,~,posterior_mode,~] = compute_mh_covariance_matrix(bayestopt_,M_.fname,M_.dname);
|
||||
oo_=fill_mh_mode(posterior_mode',NaN(length(posterior_mode),1),M_,options_,estim_params_,bayestopt_,oo_,'posterior');
|
||||
%reset qz_criterium
|
||||
options_.qz_criterium=qz_criterium_old;
|
||||
|
@ -504,7 +422,7 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|||
end
|
||||
if ~options_.nodiagnostic
|
||||
if (options_.mh_replic>0 || (options_.load_mh_file && ~options_.load_results_after_load_mh))
|
||||
oo_= McMCDiagnostics(options_, estim_params_, M_,oo_);
|
||||
oo_= mcmc_diagnostics(options_, estim_params_, M_,oo_);
|
||||
elseif options_.load_mh_file && options_.load_results_after_load_mh
|
||||
if isfield(oo_load_mh.oo_,'convergence')
|
||||
oo_.convergence=oo_load_mh.oo_.convergence;
|
||||
|
@ -547,13 +465,13 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|||
if ~(~isempty(options_.sub_draws) && options_.sub_draws==0)
|
||||
if options_.bayesian_irf
|
||||
if error_flag
|
||||
error('Estimation::mcmc: I cannot compute the posterior IRFs!')
|
||||
error('%s: I cannot compute the posterior IRFs!',dispString)
|
||||
end
|
||||
PosteriorIRF('posterior');
|
||||
end
|
||||
if options_.moments_varendo
|
||||
if error_flag
|
||||
error('Estimation::mcmc: I cannot compute the posterior moments for the endogenous variables!')
|
||||
error('%s: I cannot compute the posterior moments for the endogenous variables!',dispString)
|
||||
end
|
||||
if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
|
||||
[MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
|
||||
|
@ -578,16 +496,16 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|||
end
|
||||
if options_.smoother || ~isempty(options_.filter_step_ahead) || options_.forecast
|
||||
if error_flag
|
||||
error('Estimation::mcmc: I cannot compute the posterior statistics!')
|
||||
error('%s: I cannot compute the posterior statistics!',dispString)
|
||||
end
|
||||
if options_.order==1 && ~options_.particle.status
|
||||
prior_posterior_statistics('posterior',dataset_,dataset_info); %get smoothed and filtered objects and forecasts
|
||||
else
|
||||
error('Estimation::mcmc: Particle Smoothers are not yet implemented.')
|
||||
error('%s: Particle Smoothers are not yet implemented.',dispString)
|
||||
end
|
||||
end
|
||||
else
|
||||
fprintf('Estimation:mcmc: sub_draws was set to 0. Skipping posterior computations.')
|
||||
fprintf('%s: sub_draws was set to 0. Skipping posterior computations.',dispString);
|
||||
end
|
||||
xparam1 = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
|
||||
M_ = set_all_parameters(xparam1,estim_params_,M_);
|
||||
|
|
|
@ -80,26 +80,11 @@ if ~isfield(options_,'varobs')
|
|||
error('VAROBS statement is missing!')
|
||||
end
|
||||
|
||||
% Checks on VAROBS
|
||||
check_varobs_are_endo_and_declared_once(options_.varobs,M_.endo_names);
|
||||
% Set the number of observed variables.
|
||||
options_.number_of_observed_variables = length(options_.varobs);
|
||||
|
||||
% Check that each declared observed variable is also an endogenous variable.
|
||||
for i = 1:options_.number_of_observed_variables
|
||||
id = strmatch(options_.varobs{i}, M_.endo_names, 'exact');
|
||||
if isempty(id)
|
||||
error(['Unknown variable (' options_.varobs{i} ')!'])
|
||||
end
|
||||
end
|
||||
|
||||
% Check that a variable is not declared as observed more than once.
|
||||
if length(unique(options_.varobs))<length(options_.varobs)
|
||||
for i = 1:options_.number_of_observed_variables
|
||||
if length(strmatch(options_.varobs{i},options_.varobs,'exact'))>1
|
||||
error(['A variable cannot be declared as observed more than once (' options_.varobs{i} ')!'])
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
if options_.discretionary_policy
|
||||
if options_.order>1
|
||||
error('discretionary_policy does not support order>1');
|
||||
|
@ -173,133 +158,7 @@ end
|
|||
|
||||
% Check that the provided mode_file is compatible with the current estimation settings.
|
||||
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)
|
||||
% More estimated parameters than parameters in the mode file.
|
||||
skipline()
|
||||
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
disp(['Your mode file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate ' int2str(number_of_estimated_parameters) ' parameters:'])
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded mode file (prior mean will be used, if possible).'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
for i=1:length(mode_file.xparam1)
|
||||
id = strmatch(mode_file.parameter_names{i},bayestopt_.name,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The posterior mode is not estimated.
|
||||
error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
|
||||
else
|
||||
% The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
else
|
||||
error('Please remove the mode_file option.')
|
||||
end
|
||||
end
|
||||
elseif number_of_estimated_parameters<length(mode_file.xparam1)
|
||||
% Less estimated parameters than parameters in the mode file.
|
||||
skipline()
|
||||
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
disp(['Your mode file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate only ' int2str(number_of_estimated_parameters) ' parameters:'])
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' deblank(bayestopt_.name(i,:)) ' is not present in the loaded mode file (prior mean will be used, if possible).'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
for i=1:length(mode_file.xparam1)
|
||||
id = strmatch(mode_file.parameter_names{i},bayestopt_.name,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The posterior mode is not estimated. If possible, fix the mode_file.
|
||||
if isequal(length(xd),number_of_estimated_parameters)
|
||||
disp('==> Fix mode file (remove unused parameters).')
|
||||
xparam1 = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
|
||||
end
|
||||
else
|
||||
% The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
else
|
||||
% None of the estimated parameters are present in the mode_file.
|
||||
error('Please remove the mode_file option.')
|
||||
end
|
||||
end
|
||||
else
|
||||
% The number of declared estimated parameters match the number of parameters in the mode file.
|
||||
% Check that the parameters in the mode file and according to the current mod file are identical.
|
||||
if ~isfield(mode_file,'parameter_names')
|
||||
disp(['The posterior mode file ' options_.mode_file ' has been generated using an older version of Dynare. It cannot be verified if it matches the present model. Proceed at your own risk.'])
|
||||
mode_file.parameter_names=deblank(bayestopt_.name); %set names
|
||||
end
|
||||
if isequal(mode_file.parameter_names, bayestopt_.name)
|
||||
xparam1 = mode_file.xparam1;
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh;
|
||||
end
|
||||
else
|
||||
skipline()
|
||||
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
% Check if this only an ordering issue or if the missing parameters can be initialized with the prior mean.
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)), mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded mode file.'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The posterior mode is not estimated
|
||||
if isequal(length(xd), number_of_estimated_parameters)
|
||||
% This is an ordering issue.
|
||||
xparam1 = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
|
||||
end
|
||||
else
|
||||
% The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh(xd,xd) = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
% None of the estimated parameters are present in the mode_file.
|
||||
error('Please remove the mode_file option.')
|
||||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
skipline()
|
||||
[xparam1, hh] = check_mode_file(xparam1, hh, options_, bayestopt_);
|
||||
end
|
||||
|
||||
%check for calibrated covariances before updating parameters
|
||||
|
@ -627,7 +486,7 @@ if options_.load_results_after_load_mh
|
|||
end
|
||||
|
||||
if options_.mh_replic || options_.load_mh_file
|
||||
[current_options, options_, bayestopt_] = check_posterior_sampler_options([], options_, bounds, bayestopt_);
|
||||
[current_options, options_, bayestopt_] = check_posterior_sampler_options([], M_.fname, M_.dname, options_, bounds, bayestopt_);
|
||||
options_.posterior_sampler_options.current_options = current_options;
|
||||
end
|
||||
|
||||
|
|
|
@ -32,7 +32,7 @@ function [nam, texnam] = get_the_name(k, TeX, M_, estim_params_, options_)
|
|||
%! @sp 2
|
||||
%! @strong{This function is called by:}
|
||||
%! @sp 1
|
||||
%! @ref{get_prior_info}, @ref{McMCDiagnostics}, @ref{mode_check}, @ref{PlotPosteriorDistributions}, @ref{plot_priors}
|
||||
%! @ref{get_prior_info}, @ref{mcmc_diagnostics}, @ref{mode_check}, @ref{PlotPosteriorDistributions}, @ref{plot_priors}
|
||||
%! @sp 2
|
||||
%! @strong{This function calls:}
|
||||
%! @sp 1
|
||||
|
|
|
@ -161,49 +161,12 @@ if (any(BayesInfo.pshape >0 ) && DynareOptions.mh_replic) && DynareOptions.mh_n
|
|||
error(['initial_estimation_checks:: Bayesian estimation cannot be conducted with mh_nblocks=0.'])
|
||||
end
|
||||
|
||||
old_steady_params=Model.params; %save initial parameters for check if steady state changes param values
|
||||
% check and display warnings if steady-state solves static model (except if diffuse_filter == 1) and if steady-state changes estimated parameters
|
||||
[DynareResults.steady_state] = check_steady_state_changes_parameters(Model,EstimatedParameters,DynareResults,DynareOptions, [DynareOptions.diffuse_filter==0 DynareOptions.diffuse_filter==0] );
|
||||
|
||||
% % check if steady state solves static model (except if diffuse_filter == 1)
|
||||
[DynareResults.steady_state, new_steady_params] = evaluate_steady_state(DynareResults.steady_state,[DynareResults.exo_steady_state; DynareResults.exo_det_steady_state],Model,DynareOptions,DynareOptions.diffuse_filter==0);
|
||||
|
||||
if isfield(EstimatedParameters,'param_vals') && ~isempty(EstimatedParameters.param_vals)
|
||||
%check whether steady state file changes estimated parameters
|
||||
Model_par_varied=Model; %store Model structure
|
||||
Model_par_varied.params(EstimatedParameters.param_vals(:,1))=Model_par_varied.params(EstimatedParameters.param_vals(:,1))*1.01; %vary parameters
|
||||
[~, new_steady_params_2] = evaluate_steady_state(DynareResults.steady_state,[DynareResults.exo_steady_state; DynareResults.exo_det_steady_state],Model_par_varied,DynareOptions,DynareOptions.diffuse_filter==0);
|
||||
|
||||
changed_par_indices=find((old_steady_params(EstimatedParameters.param_vals(:,1))-new_steady_params(EstimatedParameters.param_vals(:,1))) ...
|
||||
| (Model_par_varied.params(EstimatedParameters.param_vals(:,1))-new_steady_params_2(EstimatedParameters.param_vals(:,1))));
|
||||
|
||||
if ~isempty(changed_par_indices)
|
||||
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
|
||||
disp(char(Model.param_names(EstimatedParameters.param_vals(changed_par_indices,1))))
|
||||
fprintf('This will override the parameter values drawn from the proposal density and may lead to wrong results.\n')
|
||||
fprintf('Check whether this is really intended.\n')
|
||||
warning('The steady state file internally changes the values of the estimated parameters.')
|
||||
end
|
||||
end
|
||||
|
||||
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 structural shocks 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 measurement errors larger than +-1 and will not integrate to 1 due to truncation. Please change your prior')
|
||||
end
|
||||
% check and display warning if negative values of stderr or corr params are outside unit circle for Bayesian estimation
|
||||
if any(BayesInfo.pshape)
|
||||
check_prior_stderr_corr(EstimatedParameters,BayesInfo);
|
||||
end
|
||||
|
||||
% display warning if some parameters are still NaN
|
||||
|
|
|
@ -48,7 +48,7 @@ TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
|||
TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||
|
||||
fprintf('Estimation::marginal density: I''m computing the posterior mean and covariance... ');
|
||||
[posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix();
|
||||
[posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix(bayestopt_,M_.fname,M_.dname);
|
||||
|
||||
MU = transpose(posterior_mean);
|
||||
SIGMA = posterior_covariance;
|
||||
|
|
|
@ -72,8 +72,8 @@ if init
|
|||
else
|
||||
if options_.sub_draws>NumberOfDraws*mh_nblck
|
||||
skipline()
|
||||
disp(['Estimation::mcmc: The value of option sub_draws (' num2str(options_.sub_draws) ') is greater than the number of available draws in the MCMC (' num2str(NumberOfDraws*mh_nblck) ')!'])
|
||||
disp('Estimation::mcmc: You can either change the value of sub_draws, reduce the value of mh_drop, or run another mcmc (with the load_mh_file option).')
|
||||
disp(['The value of option sub_draws (' num2str(options_.sub_draws) ') is greater than the number of available draws in the MCMC (' num2str(NumberOfDraws*mh_nblck) ')!'])
|
||||
disp('You can either change the value of sub_draws, reduce the value of mh_drop, or run another mcmc (with the load_mh_file option).')
|
||||
skipline()
|
||||
xparams = 1; % xparams is interpreted as an error flag
|
||||
end
|
||||
|
|
14
matlab/pm3.m
14
matlab/pm3.m
|
@ -24,7 +24,7 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
|
|||
% See also the comment in posterior_sampler.m funtion.
|
||||
|
||||
|
||||
% Copyright © 2007-2018 Dynare Team
|
||||
% Copyright © 2007-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
@ -43,6 +43,8 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
|
|||
|
||||
global options_ M_ oo_
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
nn = 3;
|
||||
MaxNumberOfPlotsPerFigure = nn^2; % must be square
|
||||
varlist = names2;
|
||||
|
@ -76,7 +78,7 @@ HPD = zeros(2,n2,nvar);
|
|||
if options_.estimation.moments_posterior_density.indicator
|
||||
Density = zeros(options_.estimation.moments_posterior_density.gridpoints,2,n2,nvar);
|
||||
end
|
||||
fprintf(['Estimation::mcmc: ' tit1 '\n']);
|
||||
fprintf(['%s: ' tit1 '\n'],dispString);
|
||||
k = 0;
|
||||
filter_step_ahead_indicator=0;
|
||||
filter_covar_indicator=0;
|
||||
|
@ -161,7 +163,7 @@ elseif filter_covar_indicator
|
|||
oo_.FilterCovariance.post_deciles=post_deciles;
|
||||
oo_.FilterCovariance.HPDinf=squeeze(hpd_interval(:,:,:,1));
|
||||
oo_.FilterCovariance.HPDsup=squeeze(hpd_interval(:,:,:,2));
|
||||
fprintf(['Estimation::mcmc: ' tit1 ', done!\n']);
|
||||
fprintf(['%s: ' tit1 ', done!\n'],dispString);
|
||||
return
|
||||
elseif state_uncert_indicator
|
||||
draw_dimension=4;
|
||||
|
@ -183,7 +185,7 @@ elseif state_uncert_indicator
|
|||
oo_.Smoother.State_uncertainty.post_deciles=post_deciles;
|
||||
oo_.Smoother.State_uncertainty.HPDinf=squeeze(hpd_interval(:,:,:,1));
|
||||
oo_.Smoother.State_uncertainty.HPDsup=squeeze(hpd_interval(:,:,:,2));
|
||||
fprintf(['Estimation::mcmc: ' tit1 ', done!\n']);
|
||||
fprintf(['%s: ' tit1 ', done!\n'],dispString);
|
||||
return
|
||||
end
|
||||
|
||||
|
@ -280,7 +282,7 @@ else
|
|||
end
|
||||
|
||||
if strcmp(var_type,'_trend_coeff') || max(max(abs(Mean(:,:))))<=10^(-6) || all(all(isnan(Mean)))
|
||||
fprintf(['Estimation::mcmc: ' tit1 ', done!\n']);
|
||||
fprintf(['%s: ' tit1 ', done!\n'],dispString);
|
||||
return %not do plots
|
||||
end
|
||||
%%
|
||||
|
@ -378,4 +380,4 @@ if ~options_.nograph && ~options_.no_graph.posterior
|
|||
end
|
||||
end
|
||||
|
||||
fprintf(['Estimation::mcmc: ' tit1 ', done!\n']);
|
||||
fprintf(['%s: ' tit1 ', done!\n'],dispString);
|
||||
|
|
|
@ -53,6 +53,8 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
|
|||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
vv = sampler_options.invhess;
|
||||
% Initialization of the sampler
|
||||
[ ix2, ilogpo2, ModelName, MetropolisFolder, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d, bayestopt_] = ...
|
||||
|
@ -173,10 +175,10 @@ update_last_mh_history_file(MetropolisFolder, ModelName, record);
|
|||
|
||||
% Provide diagnostic output
|
||||
skipline()
|
||||
disp(['Estimation::mcmc: Number of mh files: ' int2str(NewFile(1)) ' per block.'])
|
||||
disp(['Estimation::mcmc: Total number of generated files: ' int2str(NewFile(1)*nblck) '.'])
|
||||
disp(['Estimation::mcmc: Total number of iterations: ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])
|
||||
disp(['Estimation::mcmc: Current acceptance ratio per chain: '])
|
||||
fprintf('%s: Number of mh files: %u per block.\n', dispString, NewFile(1));
|
||||
fprintf('%s: Total number of generated files: %u.\n', dispString, NewFile(1)*nblck);
|
||||
fprintf('%s: Total number of iterations: %u.\n', dispString, (NewFile(1)-1)*MAX_nruns+irun-1);
|
||||
fprintf('%s: Current acceptance ratio per chain:\n', dispString);
|
||||
for i=1:nblck
|
||||
if i<10
|
||||
disp([' Chain ' num2str(i) ': ' num2str(100*record.AcceptanceRatio(i)) '%'])
|
||||
|
@ -185,7 +187,7 @@ for i=1:nblck
|
|||
end
|
||||
end
|
||||
if max(record.FunctionEvalPerIteration)>1
|
||||
disp(['Estimation::mcmc: Current function evaluations per iteration: '])
|
||||
fprintf('%s: Current function evaluations per iteration:\n', dispString);
|
||||
for i=1:nblck
|
||||
if i<10
|
||||
disp([' Chain ' num2str(i) ': ' num2str(record.FunctionEvalPerIteration(i))])
|
||||
|
|
|
@ -55,6 +55,8 @@ function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npa
|
|||
% You should have received a copy of the GNU General Public License
|
||||
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
dispString = 'Estimation::mcmc';
|
||||
|
||||
%Initialize outputs
|
||||
ix2 = [];
|
||||
ilogpo2 = [];
|
||||
|
@ -79,22 +81,22 @@ d = chol(vv);
|
|||
if ~options_.load_mh_file && ~options_.mh_recover
|
||||
% Here we start a new Metropolis-Hastings, previous draws are discarded.
|
||||
if NumberOfBlocks > 1
|
||||
disp('Estimation::mcmc: Multiple chains mode.')
|
||||
fprintf('%s: Multiple chains mode.\n',dispString);
|
||||
else
|
||||
disp('Estimation::mcmc: One Chain mode.')
|
||||
fprintf('%s: One Chain mode.\n',dispString);
|
||||
end
|
||||
% Delete old mh files if any...
|
||||
files = dir([BaseName '_mh*_blck*.mat']);
|
||||
if length(files)
|
||||
delete([BaseName '_mh*_blck*.mat']);
|
||||
disp('Estimation::mcmc: Old mh-files successfully erased!')
|
||||
fprintf('%s: Old mh-files successfully erased!\n',dispString);
|
||||
end
|
||||
% Delete old Metropolis log file.
|
||||
file = dir([ MetropolisFolder '/metropolis.log']);
|
||||
if length(file)
|
||||
delete([ MetropolisFolder '/metropolis.log']);
|
||||
disp('Estimation::mcmc: Old metropolis.log file successfully erased!')
|
||||
disp('Estimation::mcmc: Creation of a new metropolis.log file.')
|
||||
fprintf('%s: Old metropolis.log file successfully erased!\n',dispString)
|
||||
fprintf('%s: Creation of a new metropolis.log file.\n',dispString)
|
||||
end
|
||||
fidlog = fopen([MetropolisFolder '/metropolis.log'],'w');
|
||||
fprintf(fidlog,'%% MH log file (Dynare).\n');
|
||||
|
@ -116,8 +118,8 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
%% check for proper filesep char in user defined paths
|
||||
RecordFile0=strrep(RecordFile0,'\',filesep);
|
||||
if isempty(dir(RecordFile0))
|
||||
disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_record option')
|
||||
error('Estimation::mcmc: path to record file is not found')
|
||||
fprintf('%s: Wrong value for mh_initialize_from_previous_mcmc_record option.\n',dispString);
|
||||
error('%s: Path to record file is not found!',dispString)
|
||||
else
|
||||
record0=load(RecordFile0);
|
||||
end
|
||||
|
@ -133,31 +135,31 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
record0=load_last_mh_history_file(MetropolisFolder0, ModelName0);
|
||||
end
|
||||
if ~isnan(record0.MCMCConcludedSuccessfully) && ~record0.MCMCConcludedSuccessfully
|
||||
error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
|
||||
error('%s: You are trying to load an MCMC that did not finish successfully. Please use ''mh_recover''!',dispString);
|
||||
end
|
||||
% mh_files = dir([ MetropolisFolder0 filesep ModelName0 '_mh*.mat']);
|
||||
% if ~length(mh_files)
|
||||
% error('Estimation::mcmc: I cannot find any MH file to load here!')
|
||||
% error('%s: I cannot find any MH file to load here!',dispString)
|
||||
% end
|
||||
disp('Estimation::mcmc: Initializing from past Metropolis-Hastings simulations...')
|
||||
disp(['Estimation::mcmc: Past MH path ' MetropolisFolder0 ])
|
||||
disp(['Estimation::mcmc: Past model name ' ModelName0 ])
|
||||
fprintf('%s: Initializing from past Metropolis-Hastings simulations...\n',dispString);
|
||||
fprintf('%s: Past MH path %s\n',dispString,MetropolisFolder0);
|
||||
fprintf('%s: Past model name %s\n', dispString, ModelName0);
|
||||
fprintf(fidlog,' Loading initial values from previous MH\n');
|
||||
fprintf(fidlog,' Past MH path: %s\n', MetropolisFolder0 );
|
||||
fprintf(fidlog,' Past model name: %s\n', ModelName0);
|
||||
fprintf(fidlog,' \n');
|
||||
past_number_of_blocks = record0.Nblck;
|
||||
if past_number_of_blocks ~= NumberOfBlocks
|
||||
disp('Estimation::mcmc: The specified number of blocks doesn''t match with the previous number of blocks!')
|
||||
disp(['Estimation::mcmc: You declared ' int2str(NumberOfBlocks) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.'])
|
||||
disp(['Estimation::mcmc: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ])
|
||||
fprintf('%s: The specified number of blocks doesn''t match with the previous number of blocks!\n', dispString);
|
||||
fprintf('%s: You declared %u blocks, but the previous number of blocks was %u.\n', dispString, NumberOfBlocks, past_number_of_blocks);
|
||||
fprintf('%s: I will run the Metropolis-Hastings with %u block.\n', dispString, past_number_of_blocks);
|
||||
NumberOfBlocks = past_number_of_blocks;
|
||||
options_.mh_nblck = NumberOfBlocks;
|
||||
end
|
||||
if ~isempty(PriorFile0)
|
||||
if isempty(dir(PriorFile0))
|
||||
disp('Estimation::mcmc: wrong value for mh_initialize_from_previous_mcmc_prior option')
|
||||
error('Estimation::mcmc: path to prior file is not found')
|
||||
fprintf('%s: Wrong value for mh_initialize_from_previous_mcmc_prior option.', dispString);
|
||||
error('%s: Path to prior file is not found!',dispString);
|
||||
else
|
||||
bayestopt0 = load(PriorFile0);
|
||||
end
|
||||
|
@ -177,7 +179,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
if NumberOfBlocks > 1 || options_.mh_initialize_from_previous_mcmc.status% Case 1: multiple chains
|
||||
set_dynare_seed('default');
|
||||
fprintf(fidlog,[' Initial values of the parameters:\n']);
|
||||
disp('Estimation::mcmc: Searching for initial values...')
|
||||
fprintf('%s: Searching for initial values...\n', dispString);
|
||||
if ~options_.mh_initialize_from_previous_mcmc.status
|
||||
ix2 = zeros(NumberOfBlocks,npar);
|
||||
ilogpo2 = zeros(NumberOfBlocks,1);
|
||||
|
@ -217,56 +219,54 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
end
|
||||
init_iter = init_iter + 1;
|
||||
if init_iter > 100 && validate == 0
|
||||
disp(['Estimation::mcmc: I couldn''t get a valid initial value in 100 trials.'])
|
||||
fprintf('%s: I couldn''t get a valid initial value in 100 trials.\n', dispString);
|
||||
if options_.nointeractive
|
||||
disp(['Estimation::mcmc: I reduce mh_init_scale_factor by 10 percent:'])
|
||||
fprintf('%s: I reduce ''mh_init_scale_factor'' by 10 percent:\n', dispString);
|
||||
if isfield(options_,'mh_init_scale')
|
||||
options_.mh_init_scale = .9*options_.mh_init_scale;
|
||||
fprintf('Estimation::mcmc: Parameter mh_init_scale is now equal to %f.\n',options_.mh_init_scale)
|
||||
fprintf('%s: Parameter ''mh_init_scale'' is now equal to %f.\n',dispString,options_.mh_init_scale);
|
||||
else
|
||||
options_.mh_init_scale_factor = .9*options_.mh_init_scale_factor;
|
||||
fprintf('Estimation::mcmc: Parameter mh_init_scale_factor is now equal to %f.\n',options_.mh_init_scale_factor)
|
||||
fprintf('%s: Parameter ''mh_init_scale_factor'' is now equal to %f.\n', dispString,options_.mh_init_scale_factor);
|
||||
end
|
||||
fprintf('Estimation::mcmc: Parameter mh_init_scale_factor is now equal to %f.\n',options_.mh_init_scale_factor)
|
||||
fprintf('%s: Parameter ''mh_init_scale_factor'' is now equal to %f.\n', dispString,options_.mh_init_scale_factor);
|
||||
else
|
||||
if isfield(options_,'mh_init_scale')
|
||||
disp(['Estimation::mcmc: You should reduce mh_init_scale...'])
|
||||
fprintf('Estimation::mcmc: Parameter mh_init_scale is equal to %f.\n',options_.mh_init_scale)
|
||||
options_.mh_init_scale_factor = input('Estimation::mcmc: Enter a new value... ');
|
||||
fprintf('%s: You should reduce mh_init_scale...\n',dispString);
|
||||
fprintf('%s: Parameter ''mh_init_scale'' is equal to %f.\n',dispString,options_.mh_init_scale);
|
||||
options_.mh_init_scale_factor = input(sprintf('%s: Enter a new value... ',dispString));
|
||||
else
|
||||
disp(['Estimation::mcmc: You should reduce mh_init_scale_factor...'])
|
||||
fprintf('Estimation::mcmc: Parameter mh_init_scale_factor is equal to %f.\n',options_.mh_init_scale_factor)
|
||||
options_.mh_init_scale_factor = input('Estimation::mcmc: Enter a new value... ');
|
||||
fprintf('%s: You should reduce ''mh_init_scale_factor''...\n',dispString);
|
||||
fprintf('%s: Parameter ''mh_init_scale_factor'' is equal to %f.\n',dispString,options_.mh_init_scale_factor);
|
||||
options_.mh_init_scale_factor = input(sprintf('%s: Enter a new value... ',dispString));
|
||||
end
|
||||
end
|
||||
trial = trial+1;
|
||||
end
|
||||
end
|
||||
if trial > 10 && ~validate
|
||||
disp(['Estimation::mcmc: I''m unable to find a starting value for block ' int2str(j)])
|
||||
fprintf('%s: I''m unable to find a starting value for block %u.', dispString,j);
|
||||
fclose(fidlog);
|
||||
return
|
||||
end
|
||||
end
|
||||
fprintf(fidlog,' \n');
|
||||
disp('Estimation::mcmc: Initial values found!')
|
||||
skipline()
|
||||
fprintf('%s: Initial values found!\n\n',dispString);
|
||||
else% Case 2: one chain (we start from the posterior mode)
|
||||
fprintf(fidlog,[' Initial values of the parameters:\n']);
|
||||
candidate = transpose(xparam1(:));%
|
||||
if all(candidate(:) >= mh_bounds.lb) && all(candidate(:) <= mh_bounds.ub)
|
||||
ix2 = candidate;
|
||||
ilogpo2 = - feval(TargetFun,ix2',dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,mh_bounds,oo_);
|
||||
disp('Estimation::mcmc: Initialization at the posterior mode.')
|
||||
skipline()
|
||||
fprintf('%s: Initialization at the posterior mode.\n\n',dispString);
|
||||
fprintf(fidlog,[' Blck ' int2str(1) 'params:\n']);
|
||||
for i=1:length(ix2(1,:))
|
||||
fprintf(fidlog,[' ' int2str(i) ':' num2str(ix2(1,i)) '\n']);
|
||||
end
|
||||
fprintf(fidlog,[' Blck ' int2str(1) 'logpo2:' num2str(ilogpo2) '\n']);
|
||||
else
|
||||
disp('Estimation::mcmc: Initialization failed...')
|
||||
disp('Estimation::mcmc: The posterior mode lies outside the prior bounds.')
|
||||
fprintf('%s: Initialization failed...\n',dispString);
|
||||
fprintf('%s: The posterior mode lies outside the prior bounds.\n',dispString);
|
||||
fclose(fidlog);
|
||||
return
|
||||
end
|
||||
|
@ -279,7 +279,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
% Delete the mh-history files
|
||||
delete_mh_history_files(MetropolisFolder, ModelName);
|
||||
% Create a new record structure
|
||||
fprintf(['Estimation::mcmc: Write details about the MCMC... ']);
|
||||
fprintf('%s: Write details about the MCMC... ', dispString);
|
||||
AnticipatedNumberOfFiles = ceil(nruns(1)/MAX_nruns);
|
||||
AnticipatedNumberOfLinesInTheLastFile = nruns(1) - (AnticipatedNumberOfFiles-1)*MAX_nruns;
|
||||
record.Sampler = options_.posterior_sampler_options.posterior_sampling_method;
|
||||
|
@ -312,8 +312,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
record.ProposalCovariance=d;
|
||||
fprintf('Ok!\n');
|
||||
id = write_mh_history_file(MetropolisFolder, ModelName, record);
|
||||
disp(['Estimation::mcmc: Details about the MCMC are available in ' BaseName '_mh_history_' num2str(id) '.mat'])
|
||||
skipline()
|
||||
fprintf('%s: Details about the MCMC are available in %s_mh_history_%u.mat\n\n', dispString,BaseName,id);
|
||||
fprintf(fidlog,[' CREATION OF THE MH HISTORY FILE!\n\n']);
|
||||
fprintf(fidlog,[' Expected number of files per block.......: ' int2str(AnticipatedNumberOfFiles) '.\n']);
|
||||
fprintf(fidlog,[' Expected number of lines in the last file: ' int2str(AnticipatedNumberOfLinesInTheLastFile) '.\n']);
|
||||
|
@ -332,15 +331,15 @@ if ~options_.load_mh_file && ~options_.mh_recover
|
|||
fclose(fidlog);
|
||||
elseif options_.load_mh_file && ~options_.mh_recover
|
||||
% Here we consider previous mh files (previous mh did not crash).
|
||||
disp('Estimation::mcmc: I am loading past Metropolis-Hastings simulations...')
|
||||
fprintf('%s: I am loading past Metropolis-Hastings simulations...\n',dispString);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
if ~isnan(record.MCMCConcludedSuccessfully) && ~record.MCMCConcludedSuccessfully
|
||||
error('Estimation::mcmc: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.')
|
||||
error('%s: You are trying to load an MCMC that did not finish successfully. Please use mh_recover.',dispString);
|
||||
end
|
||||
record.MCMCConcludedSuccessfully=0; %reset indicator for this run
|
||||
mh_files = dir([ MetropolisFolder filesep ModelName '_mh*.mat']);
|
||||
if ~length(mh_files)
|
||||
error('Estimation::mcmc: I cannot find any MH file to load here!')
|
||||
error('%s: I cannot find any MH file to load here!',dispString);
|
||||
end
|
||||
fidlog = fopen([MetropolisFolder '/metropolis.log'],'a');
|
||||
fprintf(fidlog,'\n');
|
||||
|
@ -351,9 +350,9 @@ elseif options_.load_mh_file && ~options_.mh_recover
|
|||
fprintf(fidlog,' \n');
|
||||
past_number_of_blocks = record.Nblck;
|
||||
if past_number_of_blocks ~= NumberOfBlocks
|
||||
disp('Estimation::mcmc: The specified number of blocks doesn''t match with the previous number of blocks!')
|
||||
disp(['Estimation::mcmc: You declared ' int2str(NumberOfBlocks) ' blocks, but the previous number of blocks was ' int2str(past_number_of_blocks) '.'])
|
||||
disp(['Estimation::mcmc: I will run the Metropolis-Hastings with ' int2str(past_number_of_blocks) ' blocks.' ])
|
||||
fprintf('%s: The specified number of blocks doesn''t match with the previous number of blocks!\n',dispString);
|
||||
fprintf('%s: You declared %u blocks, but the previous number of blocks was %u.\n', dispString,NumberOfBlocks,past_number_of_blocks);
|
||||
fprintf('%s: I will run the Metropolis-Hastings with %u blocks.\n', dispString,past_number_of_blocks);
|
||||
NumberOfBlocks = past_number_of_blocks;
|
||||
options_.mh_nblck = NumberOfBlocks;
|
||||
end
|
||||
|
@ -369,10 +368,10 @@ elseif options_.load_mh_file && ~options_.mh_recover
|
|||
end
|
||||
ilogpo2 = record.LastLogPost;
|
||||
ix2 = record.LastParameters;
|
||||
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
|
||||
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d,dispString);
|
||||
FirstBlock = 1;
|
||||
NumberOfPreviousSimulations = sum(record.MhDraws(:,1),1);
|
||||
fprintf('Estimation::mcmc: I am writing a new mh-history file... ');
|
||||
fprintf('%s: I am writing a new mh-history file... ',dispString);
|
||||
record.MhDraws = [record.MhDraws;zeros(1,3)];
|
||||
NumberOfDrawsWrittenInThePastLastFile = MAX_nruns - LastLineNumber;
|
||||
NumberOfDrawsToBeSaved = nruns(1) - NumberOfDrawsWrittenInThePastLastFile;
|
||||
|
@ -387,28 +386,27 @@ elseif options_.load_mh_file && ~options_.mh_recover
|
|||
record.InitialSeeds = record.LastSeeds;
|
||||
write_mh_history_file(MetropolisFolder, ModelName, record);
|
||||
fprintf('Done.\n')
|
||||
disp(['Estimation::mcmc: Ok. I have loaded ' int2str(NumberOfPreviousSimulations) ' simulations.'])
|
||||
skipline()
|
||||
fprintf('%s: Ok. I have loaded %u simulations.\n\n', dispString,NumberOfPreviousSimulations);
|
||||
fclose(fidlog);
|
||||
elseif options_.mh_recover
|
||||
% The previous metropolis-hastings crashed before the end! I try to recover the saved draws...
|
||||
disp('Estimation::mcmc: Recover mode!')
|
||||
fprintf('%s: Recover mode!\n',dispString);
|
||||
record=load_last_mh_history_file(MetropolisFolder, ModelName);
|
||||
NumberOfBlocks = record.Nblck;% Number of "parallel" mcmc chains.
|
||||
options_.mh_nblck = NumberOfBlocks;
|
||||
|
||||
%% check consistency of options
|
||||
if record.MhDraws(end,1)~=options_.mh_replic
|
||||
fprintf('\nEstimation::mcmc: You cannot specify a different mh_replic than in the chain you are trying to recover\n')
|
||||
fprintf('Estimation::mcmc: I am resetting mh_replic to %u\n',record.MhDraws(end,1))
|
||||
options_.mh_replic=record.MhDraws(end,1);
|
||||
fprintf('\n%s: You cannot specify a different mh_replic than in the chain you are trying to recover\n',dispString);
|
||||
fprintf('%s: I am resetting mh_replic to %u\n',dispString,record.MhDraws(end,1));
|
||||
options_.mh_replic = record.MhDraws(end,1);
|
||||
nruns = ones(NumberOfBlocks,1)*options_.mh_replic;
|
||||
end
|
||||
|
||||
if ~isnan(record.MAX_nruns(end,1)) %field exists
|
||||
if record.MAX_nruns(end,1)~=MAX_nruns
|
||||
fprintf('\nEstimation::mcmc: You cannot specify a different MaxNumberOfBytes than in the chain you are trying to recover\n')
|
||||
fprintf('Estimation::mcmc: I am resetting MAX_nruns to %u\n',record.MAX_nruns(end,1))
|
||||
fprintf('\n%s: You cannot specify a different MaxNumberOfBytes than in the chain you are trying to recover\n',dispString);
|
||||
fprintf('%s: I am resetting MAX_nruns to %u\n',dispString,record.MAX_nruns(end,1));
|
||||
MAX_nruns=record.MAX_nruns(end,1);
|
||||
end
|
||||
end
|
||||
|
@ -451,7 +449,7 @@ elseif options_.mh_recover
|
|||
LastFileFullIndicator=1;
|
||||
end
|
||||
if ~isequal(options_.posterior_sampler_options.posterior_sampling_method,'slice')
|
||||
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d);
|
||||
[d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d,dispString);
|
||||
end
|
||||
%% Now find out what exactly needs to be redone
|
||||
% 1. Check if really something needs to be done
|
||||
|
@ -464,10 +462,10 @@ elseif options_.mh_recover
|
|||
% Quit if no crashed mcmc chain can be found as there are as many files as expected
|
||||
if (TotalNumberOfMhFiles==ExpectedNumberOfMhFiles)
|
||||
if isnumeric(options_.parallel)
|
||||
disp('Estimation::mcmc: It appears that you don''t need to use the mh_recover option!')
|
||||
disp(' You have to edit the mod file and remove the mh_recover option')
|
||||
disp(' in the estimation command')
|
||||
error('Estimation::mcmc: mh_recover option not required!')
|
||||
fprintf('%s: It appears that you don''t need to use the mh_recover option!\n',dispString);
|
||||
fprintf(' You have to edit the mod file and remove the mh_recover option\n');
|
||||
fprintf(' in the estimation command.\n');
|
||||
error('%s: mh_recover option not required!',dispString)
|
||||
end
|
||||
end
|
||||
% 2. Something needs to be done; find out what
|
||||
|
@ -482,10 +480,10 @@ elseif options_.mh_recover
|
|||
FBlock = zeros(NumberOfBlocks,1);
|
||||
while FirstBlock <= NumberOfBlocks
|
||||
if NumberOfMhFilesPerBlock(FirstBlock) < ExpectedNumberOfMhFilesPerBlock
|
||||
disp(['Estimation::mcmc: Chain ' int2str(FirstBlock) ' is not complete!'])
|
||||
fprintf('%s: Chain %u is not complete!\n', dispString,FirstBlock);
|
||||
FBlock(FirstBlock)=1;
|
||||
else
|
||||
disp(['Estimation::mcmc: Chain ' int2str(FirstBlock) ' is complete!'])
|
||||
fprintf('%s: Chain %u is complete!\n', dispString,FirstBlock);
|
||||
end
|
||||
FirstBlock = FirstBlock+1;
|
||||
end
|
||||
|
@ -537,8 +535,8 @@ elseif options_.mh_recover
|
|||
record.InitialSeeds(FirstBlock).Unifor=loaded_results.LastSeeds.(['file' int2str(NumberOfSavedMhFilesInTheCrashedBlck)]).Unifor;
|
||||
record.InitialSeeds(FirstBlock).Normal=loaded_results.LastSeeds.(['file' int2str(NumberOfSavedMhFilesInTheCrashedBlck)]).Normal;
|
||||
else
|
||||
fprintf('Estimation::mcmc: You are trying to recover a chain generated with an older Dynare version.\n')
|
||||
fprintf('Estimation::mcmc: I am using the default seeds to continue the chain.\n')
|
||||
fprintf('%s: You are trying to recover a chain generated with an older Dynare version.\n',dispString);
|
||||
fprintf('%s: I am using the default seeds to continue the chain.\n',dispString);
|
||||
end
|
||||
if update_record
|
||||
update_last_mh_history_file(MetropolisFolder, ModelName, record);
|
||||
|
@ -557,8 +555,8 @@ elseif options_.mh_recover
|
|||
record.LastSeeds(FirstBlock).Unifor=loaded_results.LastSeeds.(['file' int2str(ExpectedNumberOfMhFilesPerBlock)]).Unifor;
|
||||
record.LastSeeds(FirstBlock).Normal=loaded_results.LastSeeds.(['file' int2str(ExpectedNumberOfMhFilesPerBlock)]).Normal;
|
||||
else
|
||||
fprintf('Estimation::mcmc: You are trying to recover a chain generated with an older Dynare version.\n')
|
||||
fprintf('Estimation::mcmc: I am using the default seeds to continue the chain.\n')
|
||||
fprintf('%s: You are trying to recover a chain generated with an older Dynare version.\n',dispString);
|
||||
fprintf('%s: I am using the default seeds to continue the chain.\n',dispString);
|
||||
end
|
||||
if isfield(loaded_results,'accepted_draws_this_chain')
|
||||
record.AcceptanceRatio(FirstBlock)=loaded_results.accepted_draws_this_chain/record.MhDraws(end,1);
|
||||
|
@ -572,32 +570,32 @@ elseif options_.mh_recover
|
|||
FirstBlock = find(FBlock==1,1);
|
||||
end
|
||||
|
||||
function [d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d)
|
||||
function [d,bayestopt_,record]=set_proposal_density_to_previous_value(record,options_,bayestopt_,d,dispString)
|
||||
if ~options_.use_mh_covariance_matrix
|
||||
if isfield(record,'ProposalCovariance') && isfield(record,'ProposalScaleVec')
|
||||
fprintf('Estimation::mcmc: Recovering the previous proposal density.\n')
|
||||
fprintf('%s: Recovering the previous proposal density.\n',dispString);
|
||||
d=record.ProposalCovariance;
|
||||
bayestopt_.jscale=record.ProposalScaleVec;
|
||||
else
|
||||
if ~isequal(options_.posterior_sampler_options.posterior_sampling_method,'slice')
|
||||
% pass through input d unaltered
|
||||
if options_.mode_compute~=0
|
||||
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by mode_compute\n.');
|
||||
fprintf('%s: No stored previous proposal density found, continuing with the one implied by mode_compute.\n',dispString);
|
||||
elseif ~isempty(options_.mode_file)
|
||||
fprintf('Estimation::mcmc: No stored previous proposal density found, continuing with the one implied by the mode_file\n.');
|
||||
fprintf('%s: No stored previous proposal density found, continuing with the one implied by the mode_file.\n',dispString);
|
||||
else
|
||||
error('Estimation::mcmc: No stored previous proposal density found, no mode-finding conducted, and no mode-file provided. I don''t know how to continue')
|
||||
error('%s: No stored previous proposal density found, no mode-finding conducted, and no mode-file provided. I don''t know how to continue!',dispString);
|
||||
end
|
||||
end
|
||||
end
|
||||
else
|
||||
% pass through input d unaltered
|
||||
fprintf('Estimation::mcmc: use_mh_covariance_matrix specified, continuing with proposal density implied by the previous MCMC run.\n.');
|
||||
fprintf('%s: ''use_mh_covariance_matrix'' specified, continuing with proposal density implied by the previous MCMC run.\n',dispString);
|
||||
end
|
||||
|
||||
if isfield(record,'Sampler')
|
||||
if ~strcmp(record.Sampler,options_.posterior_sampler_options.posterior_sampling_method)
|
||||
warning('Estimation::mcmc: The posterior_sampling_method %s selected differs from the %s of the original chain. This may create problems with the convergence diagnostics.',options_.posterior_sampler_options.posterior_sampling_method,record.Sampler)
|
||||
warning('%s: The posterior_sampling_method %s selected differs from the %s of the original chain. This may create problems with the convergence diagnostics.',dispString,options_.posterior_sampler_options.posterior_sampling_method,record.Sampler)
|
||||
record.Sampler=options_.posterior_sampler_options.posterior_sampling_method; %update sampler used
|
||||
end
|
||||
end
|
||||
|
|
|
@ -5,7 +5,7 @@ function [xparam1, estim_params_, bayestopt_, lb, ub, M_]=set_prior(estim_params
|
|||
% INPUTS
|
||||
% o estim_params_ [structure] characterizing parameters to be estimated.
|
||||
% o M_ [structure] characterizing the model.
|
||||
% o options_ [structure]
|
||||
% o options_ [structure] characterizing the options.
|
||||
%
|
||||
% OUTPUTS
|
||||
% o xparam1 [double] vector of parameters to be estimated (initial values)
|
||||
|
@ -18,7 +18,7 @@ function [xparam1, estim_params_, bayestopt_, lb, ub, M_]=set_prior(estim_params
|
|||
% SPECIAL REQUIREMENTS
|
||||
% None
|
||||
|
||||
% Copyright © 2003-2018 Dynare Team
|
||||
% Copyright © 2003-2023 Dynare Team
|
||||
%
|
||||
% This file is part of Dynare.
|
||||
%
|
||||
|
|
|
@ -0,0 +1,69 @@
|
|||
function check_hessian_at_the_mode(hessian_xparam1, xparam1, M_, estim_params_, options_, bounds)
|
||||
% check_hessian_at_the_mode(hessian_xparam1, xparam1, M_, estim_params_, options_, bounds)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function checks whether the hessian matrix at the mode is positive definite.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o hessian_xparam1: [matrix] hessian matrix at the mode
|
||||
% o xparam1: [vector] vector of parameter values at the mode
|
||||
% o M_: [structure] information about model
|
||||
% o estim_params_: [structure] information about estimated parameters
|
||||
% o options_: [structure] information about options
|
||||
% o bounds: [structure] information about bounds
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% none, displays a warning message if the hessian matrix is not positive definite
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_1.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
try
|
||||
chol(hessian_xparam1);
|
||||
catch
|
||||
tol_bounds = 1.e-10;
|
||||
skipline()
|
||||
disp('OPTIMIZATION PROBLEM!')
|
||||
disp(' (minus) the hessian matrix at the "mode" is not positive definite!')
|
||||
disp('=> 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(abs(xparam1-bounds.ub)<tol_bounds | abs(xparam1-bounds.lb)<tol_bounds);
|
||||
if ~isempty(params_at_bound)
|
||||
for ii=1:length(params_at_bound)
|
||||
params_at_bound_name{ii,1}=get_the_name(params_at_bound(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 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(' - Change the optimization bounds.\n')
|
||||
fprintf(' - Use a different mode_compute like 6 or 9.\n')
|
||||
fprintf(' - Check whether the parameters estimated are identified.\n')
|
||||
fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
|
||||
fprintf(' - Increase the informativeness of the prior.\n')
|
||||
end
|
||||
warning('The results below are most likely wrong!');
|
||||
end
|
|
@ -0,0 +1,163 @@
|
|||
function [xparam1, hh] = check_mode_file(xparam1, hh, options_, bayestopt_)
|
||||
% function [xparam1, hh] = check_mode_file(xparam1, hh, options_, bayestopt_)
|
||||
% -------------------------------------------------------------------------
|
||||
% Check that the provided mode_file is compatible with the current estimation settings.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o xparam1: [vector] current vector of parameter values at the mode
|
||||
% o hh: [matrix] current hessian matrix at the mode
|
||||
% o options_: [structure] information about options
|
||||
% o bayestopt_: [structure] information about priors
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o xparam1: [vector] updated vector of parameter values at the mode
|
||||
% o hh: [matrix] updated hessian matrix at the mode
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_init.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
number_of_estimated_parameters = length(xparam1);
|
||||
mode_file = load(options_.mode_file);
|
||||
if number_of_estimated_parameters>length(mode_file.xparam1)
|
||||
% More estimated parameters than parameters in the mode_file.
|
||||
skipline()
|
||||
disp(['The ''mode_file'' ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
disp(['Your file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate ' int2str(number_of_estimated_parameters) ' parameters:'])
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded ''mode_file'' (prior mean or initialized values will be used, if possible).'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
for i=1:length(mode_file.xparam1)
|
||||
id = strmatch(mode_file.parameter_names{i},bayestopt_.name,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The mode is not estimated.
|
||||
error('Please change the ''mode_file'' option, the list of estimated parameters or set ''mode_compute''>0.')
|
||||
else
|
||||
% The mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean or initialized values.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
else
|
||||
error('Please remove the ''mode_file'' option.')
|
||||
end
|
||||
end
|
||||
elseif number_of_estimated_parameters<length(mode_file.xparam1)
|
||||
% Less estimated parameters than parameters in the mode_file.
|
||||
skipline()
|
||||
disp(['The ''mode_file'' ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
disp(['Your file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate only ' int2str(number_of_estimated_parameters) ' parameters:'])
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' deblank(bayestopt_.name(i,:)) ' is not present in the loaded ''mode_file'' (prior mean or initialized values will be used, if possible).'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
for i=1:length(mode_file.xparam1)
|
||||
id = strmatch(mode_file.parameter_names{i},bayestopt_.name,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The posterior mode is not estimated. If possible, fix the mode_file.
|
||||
if isequal(length(xd),number_of_estimated_parameters)
|
||||
disp('==> Fix mode_file (remove unused parameters).')
|
||||
xparam1 = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
error('Please change the ''mode_file'' option, the list of estimated parameters or set ''mode_compute''>0.')
|
||||
end
|
||||
else
|
||||
% The mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode_file using the prior mean or initialized values.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
else
|
||||
% None of the estimated parameters are present in the mode_file.
|
||||
error('Please remove the ''mode_file'' option.')
|
||||
end
|
||||
end
|
||||
else
|
||||
% The number of declared estimated parameters match the number of parameters in the mode file.
|
||||
% Check that the parameters in the mode file and according to the current mod file are identical.
|
||||
if ~isfield(mode_file,'parameter_names')
|
||||
disp(['The ''mode_file'' ' options_.mode_file ' has been generated using an older version of Dynare. It cannot be verified if it matches the present model. Proceed at your own risk.'])
|
||||
mode_file.parameter_names=deblank(bayestopt_.name); %set names
|
||||
end
|
||||
if isequal(mode_file.parameter_names, bayestopt_.name)
|
||||
xparam1 = mode_file.xparam1;
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh;
|
||||
end
|
||||
else
|
||||
skipline()
|
||||
disp(['The ''mode_file'' ' options_.mode_file ' has been generated using another specification of the model or another model!'])
|
||||
% Check if this is only an ordering issue or if the missing parameters can be initialized with the prior mean.
|
||||
md = []; xd = [];
|
||||
for i=1:number_of_estimated_parameters
|
||||
id = strmatch(deblank(bayestopt_.name(i,:)), mode_file.parameter_names,'exact');
|
||||
if isempty(id)
|
||||
disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded ''mode_file''.'])
|
||||
else
|
||||
xd = [xd; i];
|
||||
md = [md; id];
|
||||
end
|
||||
end
|
||||
if ~options_.mode_compute
|
||||
% The mode is not estimated
|
||||
if isequal(length(xd), number_of_estimated_parameters)
|
||||
% This is an ordering issue.
|
||||
xparam1 = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
error('Please change the ''mode_file'' option, the list of estimated parameters or set ''mode_compute''>0.')
|
||||
end
|
||||
else
|
||||
% The mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode_file using the prior mean or initialized values.
|
||||
if ~isempty(xd)
|
||||
xparam1(xd) = mode_file.xparam1(md);
|
||||
if isfield(mode_file,'hh')
|
||||
hh(xd,xd) = mode_file.hh(md,md);
|
||||
end
|
||||
else
|
||||
% None of the estimated parameters are present in the mode_file.
|
||||
error('Please remove the ''mode_file'' option.')
|
||||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
skipline()
|
|
@ -0,0 +1,53 @@
|
|||
function check_prior_stderr_corr(estim_params_,bayestopt_)
|
||||
% function check_prior_stderr_corr(estim_params_,bayestopt_)
|
||||
% -------------------------------------------------------------------------
|
||||
% Check if the prior allows for negative standard deviations and
|
||||
% correlations larger than +-1. If so, issue a warning.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o estim_params_: [struct] information on estimated parameters
|
||||
% o bayestopt_: [struct] information on priors
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% none, but issues a warning if the prior allows for negative standard
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o initial_estimation_checks.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
nvx = estim_params_.nvx; % number of stderr parameters for structural shocks
|
||||
if nvx && any(bayestopt_.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 = estim_params_.nvn; % number of stderr parameters for measurement errors
|
||||
if nvn && any(bayestopt_.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 = estim_params_.ncx; % number of corr parameters for structural shocks
|
||||
if ncx && (any(bayestopt_.p3(1+offset:offset+ncx)<-1) || any(bayestopt_.p4(1+offset:offset+ncx)>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
|
||||
offset = nvx+nvn+ncx;
|
||||
ncn = estim_params_.ncn; % number of corr parameters for measurement errors
|
||||
if ncn && (any(bayestopt_.p3(1+offset:offset+ncn)<-1) || any(bayestopt_.p4(1+offset:offset+ncn)>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
|
|
@ -0,0 +1,61 @@
|
|||
function [steady_state, info, steady_state_changes_parameters] = check_steady_state_changes_parameters(M_,estim_params_,oo_,options_,steadystate_check_flag_vec)
|
||||
% function [steady_state, info, steady_state_changes_parameters] = check_steady_state_changes_parameters(M_,estim_params_,oo_,options_,steadystate_check_flag_vec)
|
||||
% -------------------------------------------------------------------------
|
||||
% Check if steady-state solves static model and if it changes estimated parameters
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o M_: [struct] information on the model
|
||||
% o estim_params_: [struct] information on estimated parameters
|
||||
% o oo_: [struct] results
|
||||
% o options_: [struct] information on options
|
||||
% o steadystate_check_flag_vec: [vector] steadystate_check_flag for both checks (might be different in case of diffuse_filter)
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o steady_state: [vector] steady state
|
||||
% o info: [scalar] 0 if steady state solves static model
|
||||
% o steady_state_changes_parameters: [logical] true if steady state file changes estimated parameters
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o initial_estimation_checks.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
value_parameter_change = 1.01; % value with which parameters are slightly changed.
|
||||
steady_state_changes_parameters = false; % initialize
|
||||
|
||||
% check if steady state solves static model
|
||||
[steady_state, new_steady_params, info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,steadystate_check_flag_vec(1));
|
||||
|
||||
% check whether steady state file changes estimated parameters
|
||||
if isfield(estim_params_,'param_vals') && ~isempty(estim_params_.param_vals)
|
||||
old_steady_params = M_.params; % save initial parameters
|
||||
M_par_varied = M_; % store Model structure
|
||||
M_par_varied.params(estim_params_.param_vals(:,1)) = M_par_varied.params(estim_params_.param_vals(:,1))*value_parameter_change; % vary parameters
|
||||
[~, new_steady_params_2] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_par_varied,options_,steadystate_check_flag_vec(2));
|
||||
changed_par_indices = find((old_steady_params(estim_params_.param_vals(:,1))-new_steady_params(estim_params_.param_vals(:,1))) ...
|
||||
| (M_par_varied.params(estim_params_.param_vals(:,1))-new_steady_params_2(estim_params_.param_vals(:,1))));
|
||||
if ~isempty(changed_par_indices)
|
||||
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
|
||||
disp(char(M_.param_names(estim_params_.param_vals(changed_par_indices,1))))
|
||||
fprintf('This will override the parameter values and may lead to wrong results.\n')
|
||||
fprintf('Check whether this is really intended.\n')
|
||||
warning('The steady state file internally changes the values of the estimated parameters.')
|
||||
steady_state_changes_parameters = true;
|
||||
end
|
||||
end
|
|
@ -0,0 +1,50 @@
|
|||
function check_varobs_are_endo_and_declared_once(varobs,endo_names)
|
||||
% function check_varobs_are_endo_and_declared_once(varobs,endo_names)
|
||||
% -------------------------------------------------------------------------
|
||||
% Check that each declared observed variable:
|
||||
% - is also an endogenous variable
|
||||
% - is declared only once
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o varobs: [cell] list of observed variables
|
||||
% o endo_names: [cell] list of endogenous variables
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% none, display an error message something is wrong with VAROBS
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_init.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
number_of_observed_variables = length(varobs);
|
||||
for i = 1:number_of_observed_variables
|
||||
if ~any(strcmp(varobs{i},endo_names))
|
||||
error(['VAROBS: unknown variable (' varobs{i} ')!'])
|
||||
end
|
||||
end
|
||||
|
||||
% Check that a variable is not declared as observed more than once.
|
||||
if length(unique(varobs))<length(varobs)
|
||||
for i = 1:number_of_observed_variables
|
||||
if sum(strcmp(varobs{i},varobs)) > 1
|
||||
error(['VAROBS: a variable cannot be declared as observed more than once (' varobs{i} ')!'])
|
||||
end
|
||||
end
|
||||
end
|
|
@ -0,0 +1,67 @@
|
|||
function invhess = set_mcmc_jumping_covariance(invhess, xparam_nbr, MCMC_jumping_covariance, bayestopt_, stringForErrors)
|
||||
% function invhess = set_mcmc_jumping_covariance(invhess, xparam_nbr, MCMC_jumping_covariance, bayestopt_, stringForErrors)
|
||||
% -------------------------------------------------------------------------
|
||||
% sets the jumping covariance matrix for the MCMC algorithm
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o invhess: [matrix] already computed inverse of the hessian matrix
|
||||
% o xparam_nbr: [integer] number of estimated parameters
|
||||
% o MCMC_jumping_covariance: [string] name of option or file setting the jumping covariance matrix
|
||||
% o bayestopt_: [struct] information on priors
|
||||
% o stringForErrors: [string] string to be used in error messages
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o invhess: [matrix] jumping covariance matrix
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_1.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
switch MCMC_jumping_covariance
|
||||
case 'hessian' % do nothing and use hessian from previous mode optimization
|
||||
case 'prior_variance' % use prior variance
|
||||
if any(isinf(bayestopt_.p2))
|
||||
error('%s: Infinite prior variances detected. You cannot use the prior variances as the proposal density, if some variances are Inf.',stringForErrors);
|
||||
else
|
||||
hess = diag(1./(bayestopt_.p2.^2));
|
||||
end
|
||||
hsd = sqrt(diag(hess));
|
||||
invhess = inv(hess./(hsd*hsd'))./(hsd*hsd');
|
||||
case 'identity_matrix' % use identity
|
||||
invhess = eye(xparam_nbr);
|
||||
otherwise % user specified matrix in file
|
||||
try
|
||||
load(MCMC_jumping_covariance,'jumping_covariance')
|
||||
hess = jumping_covariance;
|
||||
catch
|
||||
error(['%s: No matrix named ''jumping_covariance'' could be found in ',options_.MCMC_jumping_covariance,'.mat!'],stringForErrors);
|
||||
end
|
||||
[nrow, ncol] = size(hess);
|
||||
if ~isequal(nrow,ncol) && ~isequal(nrow,xparam_nbr) % check if square and right size
|
||||
error(['%s: ''jumping_covariance'' matrix (loaded from ',options_.MCMC_jumping_covariance,'.mat) must be square and have ',num2str(xparam_nbr),' rows and columns!'],stringForErrors);
|
||||
end
|
||||
try % check for positive definiteness
|
||||
chol(hess);
|
||||
hsd = sqrt(diag(hess));
|
||||
invhess = inv(hess./(hsd*hsd'))./(hsd*hsd');
|
||||
catch
|
||||
error('%s: Specified ''MCMC_jumping_covariance'' is not positive definite!',stringForErrors);
|
||||
end
|
||||
end
|
|
@ -0,0 +1,51 @@
|
|||
function bounds = set_mcmc_prior_bounds(xparam, bayestopt_, options_, stringForErrors)
|
||||
% function bounds = set_mcmc_prior_bounds(xparam, bayestopt_, options_, stringForErrors)
|
||||
% -------------------------------------------------------------------------
|
||||
% Reset bounds as lower and upper bounds must only be operational during mode-finding
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o xparam: [vector] vector of parameters
|
||||
% o bayestopt_: [struct] information on priors
|
||||
% o options_: [struct] Dynare options
|
||||
% o stringForErrors: [string] string to be used in error messages
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o bounds: [struct] structure with fields lb and ub
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_1.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
bounds = prior_bounds(bayestopt_, options_.prior_trunc);
|
||||
outside_bound_pars = find(xparam < bounds.lb | xparam > bounds.ub);
|
||||
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
|
||||
if options_.prior_trunc > 0
|
||||
error(['%s: Mode value(s) of ', disp_string ,' are outside parameter bounds. Potentially, you should set prior_trunc=0!'],stringForErrors);
|
||||
else
|
||||
error(['%s: Mode value(s) of ', disp_string ,' are outside parameter bounds!'],stringForErrors);
|
||||
end
|
||||
end
|
|
@ -0,0 +1,48 @@
|
|||
function mh_jscale = tune_mcmc_mh_jscale_wrapper(invhess, options_, M_, objective_function, xparam1, bounds, varargin)
|
||||
% function mh_jscale = tune_mcmc_mh_jscale_wrapper(invhess, options_, M_, objective_function, xparam1, bounds, varargin)
|
||||
% -------------------------------------------------------------------------
|
||||
% Wrapper to call the algorithm to tune the jumping scale parameter for the
|
||||
% Metropolis-Hastings algorithm; currently only supports RW-MH algorithm.
|
||||
% =========================================================================
|
||||
% INPUTS
|
||||
% o invhess: [matrix] jumping covariance matrix
|
||||
% o options_: [struct] Dynare options
|
||||
% o M_: [struct] Dynare model structure
|
||||
% o objective_function: [function handle] objective function
|
||||
% o xparam1: [vector] vector of estimated parameters at the mode
|
||||
% o bounds: [struct] structure containing information on bounds
|
||||
% o varargin: [cell] additional arguments to be passed to the objective function
|
||||
% -------------------------------------------------------------------------
|
||||
% OUTPUTS
|
||||
% o mh_jscale: [double] tuned jumping scale parameter
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% o dynare_estimation_1.m
|
||||
% -------------------------------------------------------------------------
|
||||
% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
|
||||
% =========================================================================
|
||||
|
||||
% get invhess in case of use_mh_covariance_matrix
|
||||
posterior_sampler_options_temp = options_.posterior_sampler_options.current_options;
|
||||
posterior_sampler_options_temp.invhess = invhess;
|
||||
posterior_sampler_options_temp = check_posterior_sampler_options(posterior_sampler_options_temp, M_.fname, M_.dname, options_);
|
||||
opt = options_.mh_tune_jscale;
|
||||
opt.rwmh = options_.posterior_sampler_options.rwmh;
|
||||
mh_jscale = calibrate_mh_scale_parameter(objective_function, ...
|
||||
posterior_sampler_options_temp.invhess, xparam1, [bounds.lb,bounds.ub], ...
|
||||
opt, varargin{:});
|
|
@ -193,9 +193,10 @@ INT(0)^2*INFL(1)^4; %redundant
|
|||
@#endif
|
||||
end;
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||||
|
||||
M_.matched_moments_orig = M_.matched_moments;
|
||||
|
||||
method_of_moments(
|
||||
% Necessery options
|
||||
% Necessary options
|
||||
mom_method = @{MoM_Method} % method of moments method; possible values: GMM|SMM
|
||||
, datafile = 'AnScho_MoM_data_2.mat' % name of filename with data
|
||||
|
||||
|
|
|
@ -152,7 +152,7 @@ end
|
|||
|
||||
|
||||
method_of_moments(
|
||||
% Necessery options
|
||||
% Necessary options
|
||||
mom_method = GMM % method of moments method; possible values: GMM|SMM
|
||||
, datafile = 'RBC_Andreasen_Data_2.mat' % name of filename with data
|
||||
|
||||
|
|
|
@ -139,7 +139,7 @@ end
|
|||
|
||||
@#for mommethod in ["SMM"]
|
||||
method_of_moments(
|
||||
% Necessery options
|
||||
% Necessary options
|
||||
mom_method = @{mommethod} % method of moments method; possible values: GMM|SMM
|
||||
, datafile = 'RBC_MoM_data_@{orderApp}.mat' % name of filename with data
|
||||
|
||||
|
|
|
@ -110,7 +110,7 @@ save('test_matrix.mat','weighting_matrix')
|
|||
|
||||
@#for mommethod in ["GMM", "SMM"]
|
||||
method_of_moments(
|
||||
% Necessery options
|
||||
% Necessary options
|
||||
mom_method = @{mommethod} % method of moments method; possible values: GMM|SMM
|
||||
, datafile = 'RBC_MoM_data_@{orderApp}.mat' % name of filename with data
|
||||
|
||||
|
|
Loading…
Reference in New Issue