Bug correction (condition info==19 was not used in DsgeLikelihood and DsgeVarLikelihood).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2667 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
stepan
parent
74a2ffcd95
commit
ec4b45cc7c
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@ -131,8 +131,8 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
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fval = bayestopt_.penalty+1;
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cost_flag = 0;
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return
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elseif info(1) == 3 || info(1) == 4 || info(1) == 20 || info(1) == 21
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fval = bayestopt_.penalty+info(2);%^2; % penalty power raised in DR1.m and resol already. GP July'08
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elseif info(1) == 3 || info(1) == 4 || info(1) == 19 || info(1) == 20 || info(1) == 21
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fval = bayestopt_.penalty+info(2);
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cost_flag = 0;
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return
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end
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@ -1,243 +1,244 @@
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function [fval,cost_flag,info,PHI,SIGMAu,iXX,prior] = DsgeVarLikelihood(xparam1,gend)
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% function [fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(xparam1,gend)
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% Evaluates the posterior kernel of the bvar-dsge model.
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%
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% INPUTS
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% o xparam1 [double] Vector of model's parameters.
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% o gend [integer] Number of observations (without conditionning observations for the lags).
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%
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% OUTPUTS
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% o fval [double] Value of the posterior kernel at xparam1.
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% o cost_flag [integer] Zero if the function returns a penalty, one otherwise.
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% o info [integer] Vector of informations about the penalty.
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% o PHI [double] Stacked BVAR-DSGE autoregressive matrices (at the mode associated to xparam1).
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% o SIGMAu [double] Covariance matrix of the BVAR-DSGE (at the mode associated to xparam1).
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% o iXX [double] inv(X'X).
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% o prior [double] a matlab structure describing the dsge-var prior.
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright (C) 2006-2008 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 <http://www.gnu.org/licenses/>.
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global bayestopt_ estim_params_ M_ options_
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np;
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nx = nvx+nvn+ncx+ncn+np;
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ns = nvx+nvn+ncx+ncn;
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NumberOfObservedVariables = size(options_.varobs,1);
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NumberOfLags = options_.varlag;
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NumberOfParameters = NumberOfObservedVariables*NumberOfLags ;
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if ~options_.noconstant
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NumberOfParameters = NumberOfParameters + 1;
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end
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mYY = evalin('base', 'mYY');
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mYX = evalin('base', 'mYX');
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mXY = evalin('base', 'mXY');
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mXX = evalin('base', 'mXX');
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fval = [];
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cost_flag = 1;
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if options_.mode_compute ~= 1 & any(xparam1 < bayestopt_.lb)
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k = find(xparam1 < bayestopt_.lb);
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fval = bayestopt_.penalty+sum((bayestopt_.lb(k)-xparam1(k)).^2);
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cost_flag = 0;
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info = 41;
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return;
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end
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if options_.mode_compute ~= 1 & any(xparam1 > bayestopt_.ub)
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k = find(xparam1 > bayestopt_.ub);
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fval = bayestopt_.penalty+sum((xparam1(k)-bayestopt_.ub(k)).^2);
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cost_flag = 0;
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info = 42;
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return;
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end
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Q = M_.Sigma_e;
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for i=1:estim_params_.nvx
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k = estim_params_.var_exo(i,1);
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Q(k,k) = xparam1(i)*xparam1(i);
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end
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offset = estim_params_.nvx;
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if estim_params_.nvn
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disp('DsgeVarLikelihood :: Measurement errors are implemented!')
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return
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end
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if estim_params_.ncx
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disp('DsgeVarLikelihood :: Correlated structural innovations are not implemented!')
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return
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end
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M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end);
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M_.Sigma_e = Q;
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%% Weight of the dsge prior:
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dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
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% Is the DSGE prior proper?
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if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/gend;
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fval = bayestopt_.penalty+abs(gend*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
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cost_flag = 0;
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info = 51;
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return;
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end
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%------------------------------------------------------------------------------
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% 2. call model setup & reduction program
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%------------------------------------------------------------------------------
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[T,R,SteadyState,info] = dynare_resolve(bayestopt_.restrict_var_list,...
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bayestopt_.restrict_columns,...
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bayestopt_.restrict_aux);
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if info(1) == 1 | info(1) == 2 | info(1) == 5
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fval = bayestopt_.penalty+1;
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cost_flag = 0;
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return
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elseif info(1) == 3 | info(1) == 4 | info(1) == 20
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fval = bayestopt_.penalty+info(2)^2;
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cost_flag = 0;
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return
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end
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if ~options_.noconstant
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if options_.loglinear
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constant = transpose(log(SteadyState(bayestopt_.mfys)));
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else
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constant = transpose(SteadyState(bayestopt_.mfys));
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end
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else
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constant = zeros(1,NumberOfObservedVariables);
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end
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if bayestopt_.with_trend == 1
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disp('DsgeVarLikelihood :: Linear trend is not yet implemented!')
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return
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end
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%------------------------------------------------------------------------------
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% 3. theoretical moments (second order)
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%------------------------------------------------------------------------------
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tmp0 = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);% I compute the variance-covariance matrix
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mf = bayestopt_.mf1; % of the restricted state vector.
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% Get the non centered second order moments
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TheoreticalAutoCovarianceOfTheObservedVariables = ...
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zeros(NumberOfObservedVariables,NumberOfObservedVariables,NumberOfLags+1);
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) = tmp0(mf,mf)+constant'*constant;
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for lag = 1:NumberOfLags
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tmp0 = T*tmp0;
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,lag+1) = tmp0(mf,mf) ...
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+ constant'*constant;
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end
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% Build the theoretical "covariance" between Y and X
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GYX = zeros(NumberOfObservedVariables,NumberOfParameters);
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for i=1:NumberOfLags
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GYX(:,(i-1)*NumberOfObservedVariables+1:i*NumberOfObservedVariables) = ...
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1);
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end
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if ~options_.noconstant
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GYX(:,end) = constant';
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end
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% Build the theoretical "covariance" between X and X
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GXX = kron(eye(NumberOfLags), ...
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1));
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for i = 1:NumberOfLags-1
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tmp1 = diag(ones(NumberOfLags-i,1),i);
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tmp2 = diag(ones(NumberOfLags-i,1),-i);
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GXX = GXX + kron(tmp1,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1));
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GXX = GXX + kron(tmp2,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1)');
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end
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if ~options_.noconstant
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% Add one row and one column to GXX
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GXX = [GXX , kron(ones(NumberOfLags,1),constant') ; [ kron(ones(1,NumberOfLags),constant) , 1] ];
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end
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GYY = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1);
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assignin('base','GYY',GYY);
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assignin('base','GXX',GXX);
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assignin('base','GYX',GYX);
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if ~isinf(dsge_prior_weight)
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tmp0 = dsge_prior_weight*gend*TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) + mYY ;
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tmp1 = dsge_prior_weight*gend*GYX + mYX;
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tmp2 = inv(dsge_prior_weight*gend*GXX+mXX);
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SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
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if ~ispd(SIGMAu)
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v = diag(SIGMAu);
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k = find(v<0);
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fval = bayestopt_.penalty + sum(v(k).^2);
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info = 52;
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cost_flag = 0;
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return;
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end
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SIGMAu = SIGMAu / (gend*(1+dsge_prior_weight));
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PHI = tmp2*tmp1'; clear('tmp1');
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prodlng1 = sum(gammaln(.5*((1+dsge_prior_weight)*gend- ...
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NumberOfObservedVariables*NumberOfLags ...
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+1-(1:NumberOfObservedVariables)')));
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prodlng2 = sum(gammaln(.5*(dsge_prior_weight*gend- ...
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NumberOfObservedVariables*NumberOfLags ...
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+1-(1:NumberOfObservedVariables)')));
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lik = .5*NumberOfObservedVariables*log(det(dsge_prior_weight*gend*GXX+mXX)) ...
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+ .5*((dsge_prior_weight+1)*gend-NumberOfParameters)*log(det((dsge_prior_weight+1)*gend*SIGMAu)) ...
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- .5*NumberOfObservedVariables*log(det(dsge_prior_weight*gend*GXX)) ...
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- .5*(dsge_prior_weight*gend-NumberOfParameters)*log(det(dsge_prior_weight*gend*(GYY-GYX*inv(GXX)*GYX'))) ...
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+ .5*NumberOfObservedVariables*gend*log(2*pi) ...
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- .5*log(2)*NumberOfObservedVariables*((dsge_prior_weight+1)*gend-NumberOfParameters) ...
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+ .5*log(2)*NumberOfObservedVariables*(dsge_prior_weight*gend-NumberOfParameters) ...
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- prodlng1 + prodlng2;
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else
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iGXX = inv(GXX);
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SIGMAu = GYY - GYX*iGXX*transpose(GYX);
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PHI = iGXX*transpose(GYX);
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lik = gend * ( log(det(SIGMAu)) + NumberOfObservedVariables*log(2*pi) + ...
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trace(inv(SIGMAu)*(mYY - transpose(mYX*PHI) - mYX*PHI + transpose(PHI)*mXX*PHI)/gend));
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lik = .5*lik;% Minus likelihood
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end
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lnprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
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fval = (lik-lnprior);
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if (nargout == 6)
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if isinf(dsge_prior_weight)
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iXX = iGXX;
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else
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iXX = tmp2;
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end
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end
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if (nargout==7)
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if isinf(dsge_prior_weight)
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iXX = iGXX;
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else
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iXX = tmp2;
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end
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iGXX = inv(GXX);
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prior.SIGMAstar = GYY - GYX*iGXX*GYX';
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prior.PHIstar = iGXX*transpose(GYX);
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prior.ArtificialSampleSize = fix(dsge_prior_weight*gend);
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prior.DF = prior.ArtificialSampleSize - NumberOfParameters - NumberOfObservedVariables;
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prior.iGXX = iGXX;
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function [fval,cost_flag,info,PHI,SIGMAu,iXX,prior] = DsgeVarLikelihood(xparam1,gend)
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% function [fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(xparam1,gend)
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% Evaluates the posterior kernel of the bvar-dsge model.
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%
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% INPUTS
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% o xparam1 [double] Vector of model's parameters.
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% o gend [integer] Number of observations (without conditionning observations for the lags).
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%
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% OUTPUTS
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% o fval [double] Value of the posterior kernel at xparam1.
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% o cost_flag [integer] Zero if the function returns a penalty, one otherwise.
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% o info [integer] Vector of informations about the penalty.
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% o PHI [double] Stacked BVAR-DSGE autoregressive matrices (at the mode associated to xparam1).
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% o SIGMAu [double] Covariance matrix of the BVAR-DSGE (at the mode associated to xparam1).
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% o iXX [double] inv(X'X).
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% o prior [double] a matlab structure describing the dsge-var prior.
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright (C) 2006-2008 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 <http://www.gnu.org/licenses/>.
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global bayestopt_ estim_params_ M_ options_
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np;
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nx = nvx+nvn+ncx+ncn+np;
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ns = nvx+nvn+ncx+ncn;
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NumberOfObservedVariables = size(options_.varobs,1);
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NumberOfLags = options_.varlag;
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NumberOfParameters = NumberOfObservedVariables*NumberOfLags ;
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if ~options_.noconstant
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NumberOfParameters = NumberOfParameters + 1;
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end
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mYY = evalin('base', 'mYY');
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mYX = evalin('base', 'mYX');
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mXY = evalin('base', 'mXY');
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mXX = evalin('base', 'mXX');
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fval = [];
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cost_flag = 1;
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if options_.mode_compute ~= 1 & any(xparam1 < bayestopt_.lb)
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k = find(xparam1 < bayestopt_.lb);
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fval = bayestopt_.penalty+sum((bayestopt_.lb(k)-xparam1(k)).^2);
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cost_flag = 0;
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info = 41;
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return;
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end
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if options_.mode_compute ~= 1 & any(xparam1 > bayestopt_.ub)
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k = find(xparam1 > bayestopt_.ub);
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fval = bayestopt_.penalty+sum((xparam1(k)-bayestopt_.ub(k)).^2);
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cost_flag = 0;
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info = 42;
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return;
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end
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Q = M_.Sigma_e;
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for i=1:estim_params_.nvx
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k = estim_params_.var_exo(i,1);
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Q(k,k) = xparam1(i)*xparam1(i);
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end
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offset = estim_params_.nvx;
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if estim_params_.nvn
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disp('DsgeVarLikelihood :: Measurement errors are implemented!')
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return
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end
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if estim_params_.ncx
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disp('DsgeVarLikelihood :: Correlated structural innovations are not implemented!')
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return
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end
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M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end);
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M_.Sigma_e = Q;
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%% Weight of the dsge prior:
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dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
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% Is the DSGE prior proper?
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if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/gend;
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fval = bayestopt_.penalty+abs(gend*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
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cost_flag = 0;
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info = 51;
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return;
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end
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%------------------------------------------------------------------------------
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% 2. call model setup & reduction program
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%------------------------------------------------------------------------------
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[T,R,SteadyState,info] = dynare_resolve(bayestopt_.restrict_var_list,...
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bayestopt_.restrict_columns,...
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bayestopt_.restrict_aux);
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if info(1) == 1 || info(1) == 2 || info(1) == 5
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fval = bayestopt_.penalty+1;
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cost_flag = 0;
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return
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elseif info(1) == 3 || info(1) == 4 || info(1) == 19 || info(1) == 20 || info(1) == 21
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fval = bayestopt_.penalty+info(2);
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cost_flag = 0;
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return
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end
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if ~options_.noconstant
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if options_.loglinear
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constant = transpose(log(SteadyState(bayestopt_.mfys)));
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else
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constant = transpose(SteadyState(bayestopt_.mfys));
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end
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else
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constant = zeros(1,NumberOfObservedVariables);
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end
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if bayestopt_.with_trend == 1
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disp('DsgeVarLikelihood :: Linear trend is not yet implemented!')
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return
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end
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%------------------------------------------------------------------------------
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% 3. theoretical moments (second order)
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%------------------------------------------------------------------------------
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tmp0 = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);% I compute the variance-covariance matrix
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mf = bayestopt_.mf1; % of the restricted state vector.
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% Get the non centered second order moments
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TheoreticalAutoCovarianceOfTheObservedVariables = ...
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zeros(NumberOfObservedVariables,NumberOfObservedVariables,NumberOfLags+1);
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) = tmp0(mf,mf)+constant'*constant;
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for lag = 1:NumberOfLags
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tmp0 = T*tmp0;
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TheoreticalAutoCovarianceOfTheObservedVariables(:,:,lag+1) = tmp0(mf,mf) ...
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+ constant'*constant;
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end
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% Build the theoretical "covariance" between Y and X
|
||||
GYX = zeros(NumberOfObservedVariables,NumberOfParameters);
|
||||
for i=1:NumberOfLags
|
||||
GYX(:,(i-1)*NumberOfObservedVariables+1:i*NumberOfObservedVariables) = ...
|
||||
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1);
|
||||
end
|
||||
if ~options_.noconstant
|
||||
GYX(:,end) = constant';
|
||||
end
|
||||
% Build the theoretical "covariance" between X and X
|
||||
GXX = kron(eye(NumberOfLags), ...
|
||||
TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1));
|
||||
for i = 1:NumberOfLags-1
|
||||
tmp1 = diag(ones(NumberOfLags-i,1),i);
|
||||
tmp2 = diag(ones(NumberOfLags-i,1),-i);
|
||||
GXX = GXX + kron(tmp1,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1));
|
||||
GXX = GXX + kron(tmp2,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1)');
|
||||
end
|
||||
|
||||
if ~options_.noconstant
|
||||
% Add one row and one column to GXX
|
||||
GXX = [GXX , kron(ones(NumberOfLags,1),constant') ; [ kron(ones(1,NumberOfLags),constant) , 1] ];
|
||||
end
|
||||
|
||||
GYY = TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1);
|
||||
|
||||
assignin('base','GYY',GYY);
|
||||
assignin('base','GXX',GXX);
|
||||
assignin('base','GYX',GYX);
|
||||
|
||||
if ~isinf(dsge_prior_weight)
|
||||
tmp0 = dsge_prior_weight*gend*TheoreticalAutoCovarianceOfTheObservedVariables(:,:,1) + mYY ;
|
||||
tmp1 = dsge_prior_weight*gend*GYX + mYX;
|
||||
tmp2 = inv(dsge_prior_weight*gend*GXX+mXX);
|
||||
SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
|
||||
if ~ispd(SIGMAu)
|
||||
v = diag(SIGMAu);
|
||||
k = find(v<0);
|
||||
fval = bayestopt_.penalty + sum(v(k).^2);
|
||||
info = 52;
|
||||
cost_flag = 0;
|
||||
return;
|
||||
end
|
||||
SIGMAu = SIGMAu / (gend*(1+dsge_prior_weight));
|
||||
PHI = tmp2*tmp1'; clear('tmp1');
|
||||
prodlng1 = sum(gammaln(.5*((1+dsge_prior_weight)*gend- ...
|
||||
NumberOfObservedVariables*NumberOfLags ...
|
||||
+1-(1:NumberOfObservedVariables)')));
|
||||
prodlng2 = sum(gammaln(.5*(dsge_prior_weight*gend- ...
|
||||
NumberOfObservedVariables*NumberOfLags ...
|
||||
+1-(1:NumberOfObservedVariables)')));
|
||||
lik = .5*NumberOfObservedVariables*log(det(dsge_prior_weight*gend*GXX+mXX)) ...
|
||||
+ .5*((dsge_prior_weight+1)*gend-NumberOfParameters)*log(det((dsge_prior_weight+1)*gend*SIGMAu)) ...
|
||||
- .5*NumberOfObservedVariables*log(det(dsge_prior_weight*gend*GXX)) ...
|
||||
- .5*(dsge_prior_weight*gend-NumberOfParameters)*log(det(dsge_prior_weight*gend*(GYY-GYX*inv(GXX)*GYX'))) ...
|
||||
+ .5*NumberOfObservedVariables*gend*log(2*pi) ...
|
||||
- .5*log(2)*NumberOfObservedVariables*((dsge_prior_weight+1)*gend-NumberOfParameters) ...
|
||||
+ .5*log(2)*NumberOfObservedVariables*(dsge_prior_weight*gend-NumberOfParameters) ...
|
||||
- prodlng1 + prodlng2;
|
||||
else
|
||||
iGXX = inv(GXX);
|
||||
SIGMAu = GYY - GYX*iGXX*transpose(GYX);
|
||||
PHI = iGXX*transpose(GYX);
|
||||
lik = gend * ( log(det(SIGMAu)) + NumberOfObservedVariables*log(2*pi) + ...
|
||||
trace(inv(SIGMAu)*(mYY - transpose(mYX*PHI) - mYX*PHI + transpose(PHI)*mXX*PHI)/gend));
|
||||
lik = .5*lik;% Minus likelihood
|
||||
end
|
||||
|
||||
lnprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4);
|
||||
fval = (lik-lnprior);
|
||||
|
||||
if (nargout == 6)
|
||||
if isinf(dsge_prior_weight)
|
||||
iXX = iGXX;
|
||||
else
|
||||
iXX = tmp2;
|
||||
end
|
||||
end
|
||||
|
||||
if (nargout==7)
|
||||
if isinf(dsge_prior_weight)
|
||||
iXX = iGXX;
|
||||
else
|
||||
iXX = tmp2;
|
||||
end
|
||||
iGXX = inv(GXX);
|
||||
prior.SIGMAstar = GYY - GYX*iGXX*GYX';
|
||||
prior.PHIstar = iGXX*transpose(GYX);
|
||||
prior.ArtificialSampleSize = fix(dsge_prior_weight*gend);
|
||||
prior.DF = prior.ArtificialSampleSize - NumberOfParameters - NumberOfObservedVariables;
|
||||
prior.iGXX = iGXX;
|
||||
end
|
||||
Loading…
Reference in New Issue