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Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode.

time-shift
Stéphane Adjemian (Charybdis) 2012-03-05 15:03:55 +01:00
parent cf9e8a6714
commit cf19df92ef
2 changed files with 56 additions and 4 deletions
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2
matlab/global_initialization.m
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@ -57,6 +57,8 @@ options_.solve_tolf = eps^(1/3);
options_.solve_tolx = eps^(2/3);
options_.solve_maxit = 500;
options_.mode_check_neighbourhood_size = 0.5;
% Default number of threads for parallelized mex files.
options_.threads.kronecker.A_times_B_kronecker_C = 1;
options_.threads.kronecker.sparse_hessian_times_B_kronecker_C = 1;

58
matlab/mode_check.m
View File

@ -1,4 +1,43 @@
function mode_check(fun,x,hessian,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% Checks the estimated ML mode or Posterior mode.
%@info:
%! @deftypefn {Function File} {@var{y}, @var{y_} =} sequential_importance_particle_filter (@var{ReducedForm},@var{Y}, @var{start}, @var{DynareOptions})
%! @anchor{particle/sequential_importance_particle_filter}
%! @sp 1
%! Checks the estimated ML mode or Posterior mode by plotting sections of the likelihood/posterior kernel.
%! Each plot shows the variation of the likelihood implied by the variations of a single parameter, ceteris paribus)
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item ReducedForm
%! Structure describing the state space model (built in @ref{non_linear_dsge_likelihood}).
%! @item Y
%! p*smpl matrix of doubles (p is the number of observed variables), the (detrended) data.
%! @item start
%! Integer scalar, likelihood evaluation starts at observation 'start'.
%! @item DynareOptions
%! Structure specifying Dynare's options.
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item LIK
%! double scalar, value of (minus) the logged likelihood.
%! @item lik
%! smpl*1 vector of doubles, density of the observations at each period.
%! @end table
%! @sp 2
%! @strong{This function is called by:}
%! @ref{non_linear_dsge_likelihood}
%! @sp 2
%! @strong{This function calls:}
%!
%! @end deftypefn
%@eod:
% function mode_check(x,fval,hessian,gend,data,lb,ub)
% Checks the maximum likelihood mode
@ -18,7 +57,7 @@ function mode_check(fun,x,hessian,DynareDataset,DynareOptions,Model,EstimatedPar
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2003-2010 Dynare Team
% Copyright (C) 2003-2010, 2012 Dynare Team
%
% This file is part of Dynare.
%
@ -62,6 +101,8 @@ if TeX
fprintf(fidTeX,' \n');
end
ll = DynareOptions.mode_check_neighbourhood_size;
for plt = 1:nbplt,
if TeX
NAMES = [];
@ -82,9 +123,18 @@ for plt = 1:nbplt,
end
end
xx = x;
l1 = max(BayesInfo.lb(kk),0.5*x(kk));
l2 = min(BayesInfo.ub(kk),1.5*x(kk));
z = [l1:(l2-l1)/20:l2];
l1 = max(BayesInfo.lb(kk),(1-ll)*x(kk)); m1 = 0;
l2 = min(BayesInfo.ub(kk),(1+ll)*x(kk));
if l2<(1+ll)*x(kk)
l1 = x(kk) - (l2-x(kk));
m1 = 1;
end
if ~m1 && (l1>(1-ll)*x(kk)) && (x(kk)+(x(kk)-l1)<ub(kk))
l2 = x(kk) + (x(kk)-l1);
end
z1 = l1:((x(kk)-l1)/10):x(kk);
z2 = x(kk):((l2-x(kk))/10):l2;
z = union(z1,z2);
if DynareOptions.mode_check_nolik==0,
y = zeros(length(z),2);
dy = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);