48 lines
2.2 KiB
Matlab
48 lines
2.2 KiB
Matlab
function [xparams,lpd,hessian] = ...
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maximize_prior_density(iparams, prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound,DynareOptions,DynareModel,EstimatedParams,DynareResults)
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% Maximizes the logged prior density using Chris Sims' optimization routine.
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%
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% INPUTS
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% iparams [double] vector of initial parameters.
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% prior_shape [integer] vector specifying prior densities shapes.
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% prior_hyperparameter_1 [double] vector, first hyperparameter.
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% prior_hyperparameter_2 [double] vector, second hyperparameter.
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% prior_inf_bound [double] vector, prior's lower bound.
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% prior_sup_bound [double] vector, prior's upper bound.
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%
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% OUTPUTS
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% xparams [double] vector, prior mode.
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% lpd [double] scalar, value of the logged prior density at the mode.
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% hessian [double] matrix, Hessian matrix at the prior mode.
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% Copyright (C) 2009-2012 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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number_of_estimated_parameters = length(iparams);
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H0 = 1e-4*eye(number_of_estimated_parameters);
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crit = 1e-7;
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nit = 1000;
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verbose = 2;
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gradient_method = 2;
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gradient_epsilon = 1e-6;
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[lpd,xparams,grad,hessian,itct,fcount,retcodehat] = ...
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csminwel1('minus_logged_prior_density',iparams,H0,[],crit,nit,gradient_method, gradient_epsilon, ...
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prior_shape, prior_hyperparameter_1, prior_hyperparameter_2, prior_inf_bound, prior_sup_bound,DynareOptions,DynareModel,EstimatedParams,DynareResults);
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lpd = -lpd;
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