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Make prior.m function account for endogenous prior restrictions

time-shift
Johannes Pfeifer 2018-11-16 15:21:26 +01:00 committed by Stéphane Adjemia (Scylla)
parent d5bdc19e19
commit fec7455555
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
3 changed files with 25 additions and 4 deletions
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16
matlab/cli/prior.m
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@ -62,6 +62,12 @@ end
% Fill or update bayestopt_ structure
[xparam1, EstimatedParams, BayesOptions, lb, ub, Model] = set_prior(estim_params_, M_, options_);
% Set restricted state space
options_plot_priors_old=options_.plot_priors;
options_.plot_priors=0;
[~,~,~,~, M_, options_, oo_, EstimatedParams, BayesOptions] = ...
dynare_estimation_init(M_.endo_names, M_.fname, 1, M_, options_, oo_, estim_params_, bayestopt_);
options_.plot_priors=options_plot_priors_old;
% Temporarly change qz_criterium option value
@ -102,7 +108,8 @@ if ismember('simulate', varargin) % Prior simulations (BK).
disp(['Complex jacobian share = ' num2str(results.jacobian.problem_share)])
disp(['mjdgges crash share = ' num2str(results.dll.problem_share)])
disp(['Steady state problem share = ' num2str(results.ss.problem_share)])
disp(['Complex steady state share = ' num2str(results.ss.complex_share)])
disp(['Complex steady state share = ' num2str(results.ss.complex_share)])
disp(['Endogenous prior violation share = ' num2str(results.endogenous_prior_violation_share)])
if options_.loglinear
disp(['Nonpositive steady state share = ' num2str(results.ss.nonpositive_share)])
end
@ -130,10 +137,13 @@ if ismember('moments', varargin) % Prior simulations (2nd order moments).
oo__ = oo_;
oo__.dr = set_state_space(oo__.dr, Model, options_);
% Solve model
[dr, info, Model , options__ , oo__] = resol(0, Model , options_ ,oo__);
[T,R,~,info,Model , options__ , oo__] = dynare_resolve(Model , options_ ,oo__,'restrict');
if ~info(1)
info=endogenous_prior_restrictions(T,R,Model , options__ , oo__);
end
if info
skipline()
disp(sprintf('Cannot solve the model on the prior mode (info = %s, %s)', num2str(info(1)), interpret_resol_info(info)));
fprintf('Cannot solve the model on the prior mode (info = %s, %s)\n', num2str(info(1)), interpret_resol_info(info));
skipline()
return
end

11
matlab/prior_sampler.m
View File

@ -50,6 +50,7 @@ count_nan_steadystate = 0;
count_nan_params = 0;
count_complex_params = 0;
count_nonpositive_steadystate = 0;
count_endogenous_prior_violation = 0;
count_unknown_problem = 0;
NumberOfSimulations = options_.prior_mc;
NumberOfParameters = length(bayestopt_.p1);
@ -95,7 +96,11 @@ while iteration < NumberOfSimulations
loop_indx = loop_indx+1;
params = prior_draw();
M_ = set_all_parameters(params,estim_params_,M_);
[dr,INFO,M_,options_,oo_] = resol(work,M_,options_,oo_);
[T,R,~,INFO,M_,options_,oo_] = dynare_resolve(M_,options_,oo_,'restrict');
dr=oo_.dr;
if ~INFO(1)
INFO=endogenous_prior_restrictions(T,R,M_,options_,oo_);
end
file_line_number = file_line_number + 1;
iteration = iteration + 1;
if drsave
@ -138,6 +143,8 @@ while iteration < NumberOfSimulations
count_nan_params = count_nan_params + 1 ;
case 26
count_nonpositive_steadystate = count_nonpositive_steadystate + 1;
case 49
count_endogenous_prior_violation = count_endogenous_prior_violation + 1;
otherwise
count_unknown_problem = count_unknown_problem + 1 ;
end
@ -167,6 +174,7 @@ results.ss.complex_share = count_complex_steadystate/loop_indx;
results.ass.problem_share = count_steadystate_file_exit/loop_indx;
results.ss.nonpositive_share = count_nonpositive_steadystate/loop_indx;
results.jacobian.problem_share = count_complex_jacobian/loop_indx;
results.endogenous_prior_violation_share = count_endogenous_prior_violation/loop_indx;
results.garbage_share = ...
results.bk.indeterminacy_share + ...
results.bk.unstability_share + ...
@ -177,6 +185,7 @@ results.garbage_share = ...
results.ss.complex_share + ...
results.ss.nonpositive_share + ...
results.jacobian.problem_share + ...
results.endogenous_prior_violation_share + ...
count_unknown_problem/loop_indx ;
results.prior.mean = sampled_prior_expectation;
results.prior.variance = sampled_prior_covariance;

2
tests/gsa/ls2003a.mod
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@ -97,6 +97,8 @@ y_obs,R_obs(@{ilag}), -; //[ccf]
y_obs,pie_obs(@{ilag}), -; //[ccf]
@#endfor
end;
prior simulate;
prior moments(distribution);
if isoctave()
dynare_sensitivity(prior_range=0, nodisplay, graph_format=(eps));