Use macros and data command in tests/particle/dsge_base2.mod.
Stéphane Adjemian (Hermes)
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@ -4,6 +4,24 @@
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//
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// Juin 2015
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// DGP
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@#define RISKY_CALIBRATION = 0
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@#define EXTREME_CALIBRATION = 1
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@#define BENCHMARK_CALIBRATION = 0
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// ALGORITHM
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@#define LINEAR_KALMAN = 0
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@#define ALGO_SIR = 0
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@#define ALGO_SISmoothR = 0
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@#define ALGO_APF = 0
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@#define ALGO_GPF = 0
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@#define ALGO_GCF = 0
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@#define ALGO_GUF = 0
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@#define ALGO_GMPF = 0
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@#define ALGO_GMCF = 0
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@#define ALGO_ONLINE_1 = 1
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@#define ALGO_ONLINE_2 = 0
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var k A c l i y;
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varexo e_a;
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@ -43,131 +61,106 @@ stderr l, uniform_pdf,,, 0.00001, 0.1;
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stderr i, uniform_pdf,,, 0.00001, 0.1;
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end;
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// Risky
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estimated_params_init;
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alp, 0.4;
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bet, 0.99;
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tet, 0.357;
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tau, 50;
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delt, 0.02;
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rho, 0.95;
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stderr e_a, .035;
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stderr y, .00158;
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stderr l, .0011;
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stderr i, .000866;
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end;
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@#if RISKY_CALIBRATION
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estimated_params_init;
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alp, 0.4;
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bet, 0.99;
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tet, 0.357;
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tau, 50;
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delt, 0.02;
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rho, 0.95;
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stderr e_a, .035;
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stderr y, .00158;
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stderr l, .0011;
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stderr i, .000866;
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end;
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@#endif
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estimated_params_init;
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alp, 0.405156;
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bet, 0.9999;
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tet, 0.360716;
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tau, 30.687089;
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delt, 0.017113;
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rho, 0.968120;
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stderr e_a, .043001;
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stderr y, .006791;
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stderr l, .001065;
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stderr i, .004716;
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end;
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estimated_params_init;
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stderr e_a, 0.043021303067030 ;
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stderr y, 0.006670476313281;
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stderr l, 0.001074088088005;
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stderr i, 0.004799910878108;
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alp, 0.405140190096526;
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bet, 0.9953935267771;
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tet, 0.360731313440020;
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tau, 30.687088931783695 ;
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delt, 0.017070312172381 ;
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rho, 0.968261076182835 ;
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end;
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// Extreme
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estimated_params_init;
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alp, 0.4;
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bet, 0.99;
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tet, 0.357;
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tau, 50;
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delt, 0.02;
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rho, 0.95;
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stderr e_a, .035;
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stderr y, .0175;
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stderr l, .00312;
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stderr i, .00465;
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end;
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// Extreme: intermediate solution for SIR
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//estimated_params_init;
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//stderr e_a, 0.025533519509666;
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//stderr y, 0.018507739054788;
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//stderr l, 0.003197047316401;
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//stderr i, 0.003802850762698;
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//alp, 0.363888235523713;
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//bet, 0.994999761247253;
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//tet, 0.342346704799396;
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//tau, 53.199696552640710;
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//delt, 0.012206251968057;
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//rho, 0.976115559512299 ;
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//end ;
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@#if EXTREME_CALIBRATION
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estimated_params_init;
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alp, 0.4;
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bet, 0.99;
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tet, 0.357;
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tau, 50;
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delt, 0.02;
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rho, 0.95;
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stderr e_a, .035;
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stderr y, .0175;
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stderr l, .00312;
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stderr i, .00465;
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end;
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@#endif
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varobs y l i ;
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options_.mode_check.neighbourhood_size = .01 ;
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options_.mode_check.number_of_points = 250;
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//KALMAN
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//estimation(datafile=extreme,nograph,order=1,nobs=150,mode_compute=8,mh_replic=0,mode_check);
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@#if EXTREME_CALIBRATION
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data(file='./extreme.m');
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@#else
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@#if RISKY_CALIBRATION
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data(file='./risky.m');
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@#else
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@#if BECHMARK_CALIBRATION
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data(file='./benchmark.m');
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@#endif
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@#endif
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@#endif
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//SIR
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//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8,mode_check);
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@#if LINEAR_KALMAN
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estimation(nograph,order=1,mode_compute=8,mh_replic=0,mode_check);
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@#endif
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// SISmoothR
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//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=4,mh_replic=0);
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//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=8,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
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//estimation(datafile=extreme,order=2,nograph,number_of_particles=1000,nobs=150,resampling_method=smooth,mode_compute=4,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
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@#if ALGO_SIR
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estimation(order=2,nograph,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
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@#endif
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// APF
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//estimation(datafile=extreme,order=2,nograph,filter_algorithm=apf,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8,mode_check);
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@#if ALGO_SISmoothR
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estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=4,mh_replic=0);
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estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=8,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
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estimation(order=2,nograph,number_of_particles=1000,resampling_method=smooth,mode_compute=4,mode_file=dsge_base2_mode,mh_replic=0,mode_check);
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@#endif
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// GPF
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//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
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//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mode_file=dsge_base2_mode,mh_replic=0,mode_compute=4,mode_check);
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//estimation(datafile=risky,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
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//estimation(datafile=risky,order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=4,mode_check);
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@#if ALGO_APF
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estimation(order=2,nograph,filter_algorithm=apf,number_of_particles=1000,mh_replic=0,mode_compute=8,mode_check);
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@#endif
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// GCF
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estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,nobs=150,mh_replic=0,mode_compute=8);
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estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,nobs=150,mh_replic=0,mode_compute=4,mode_file=dsge_base2_mode,mode_check);
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@#if ALGO_GPF
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estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=8);
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estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mode_file=dsge_base2_mode,mh_replic=0,mode_compute=4,mode_check);
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estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=8);
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estimation(order=2,nograph,filter_algorithm=gf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=4,mode_check);
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@#endif
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// GUF
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//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,nobs=150,mh_replic=0,mode_compute=4);
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//estimation(datafile=extreme,order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,nobs=150,mh_replic=0,mode_compute=8,mode_check);
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@#if ALGO_GCF
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estimation(order=2,nograph,filter_algorithm=gf,mh_replic=0,mode_compute=8);
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estimation(order=2,nograph,filter_algorithm=gf,mh_replic=0,mode_compute=4,mode_file=dsge_base2_mode,mode_check);
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@#endif
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// GMPF
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_compute=8);
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=4,mode_check);
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@#if ALGO_GUF
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estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=4);
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estimation(order=2,nograph,filter_algorithm=gf,proposal_approximation=unscented,distribution_approximation=unscented,mh_replic=0,mode_compute=8,mode_check);
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@#endif
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// GMCF
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=4,mode_file=dsge_base2_mode,mode_check);
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//estimation(datafile=extreme,nograph,order=2,filter_algorithm=gmf,nobs=150,mh_replic=0,mode_compute=0,mode_file=dsge_base2_mode,mode_check);
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@#if ALGO_GMPF
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estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_compute=8);
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estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
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estimation(nograph,order=2,filter_algorithm=gmf,distribution_approximation=montecarlo,number_of_particles=1000,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=4,mode_check);
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@#endif
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// P-MH with SIR
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//options_.mh_posterior_mode_estimation = 1 ;
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//options_.mh_jscale = 1.2e-3 ;
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//options_.mh_nblck = 10 ;
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//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=50000,mh_replic=0,mode_compute=7);
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//options_.posterior_sampling_method = 'RWGMH';
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//options_.rwgmh_scale_shock = (1e-5)*[10 10 1 1 10 10 10 1000 10 10] ;
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//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=1000,mh_replic=10000,mode_compute=8);
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//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=1000,mh_replic=10000,mode_file=dsge_base2_mode,mode_compute=0);
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//estimation(datafile=extreme,order=1,mh_replic=5000,mode_compute=0,mode_file=dsge_base2_mode);
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@#if ALGO_GMCF
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estimation(nograph,order=2,filter_algorithm=gmf,mh_replic=0,mode_file=dsge_base2_mode,mode_compute=8);
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estimation(nograph,order=2,filter_algorithm=gmf,mh_replic=0,mode_compute=4,mode_file=dsge_base2_mode,mode_check);
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estimation(nograph,order=2,filter_algorithm=gmf,mh_replic=0,mode_compute=0,mode_file=dsge_base2_mode,mode_check);
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@#endif
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//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=50000,mode_file=dsge_base2_mode,mh_replic=60000,mode_compute=7);
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//estimation(datafile=extreme,order=2,nobs=150,number_of_particles=10000,load_mh_file,mh_replic=1,mode_compute=0);
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@#if ALGO_ONLINE_2
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options_.particle.liu_west_delta = 0.9 ;
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estimation(order=2,number_of_particles=10000,mode_compute=11);
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@#endif
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// Online
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//options_.particle.liu_west_delta = 0.9 ;
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//estimation(datafile=extreme,order=2,number_of_particles=10000,nobs=150,mode_compute=11);
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@#if ALGO_ONLINE_1
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options_.particle.liu_west_delta = 0.9 ;
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estimation(order=1,number_of_particles=10000,mode_compute=11);
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@#endif
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