226 lines
7.4 KiB
Modula-2
226 lines
7.4 KiB
Modula-2
% -------------------------------------------------------------------------
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% Functionality testing of Bayesian IRF matching with
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% - Random-Walk Metropolis-Hastings
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% - loading mode files
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% - whether results are stored and can be accessed in different directories
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% - reuse previous MCMC to define covariance of proposal
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% -------------------------------------------------------------------------
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% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
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@#define LESSPARAMS=1
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@#include "cet_model.inc"
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options_.prior_interval= 0.95;
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%% RUN 1: FIND POSTERIOR MODE USING MODEFILE %%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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method_of_moments(mom_method = irf_matching
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%, add_tiny_number_to_cholesky = 1e-14
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, additional_optimizer_steps = [4]
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%, aim_solver
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%, analytic_jacobian
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%, analytic_standard_errors
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%, bartlett_kernel_lag
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%, bounded_shock_support
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%, brooks_gelman_plotrows
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, cova_compute=0
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%, datafile
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, dirname=cet_rwmh_results_1
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%, dr
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%, dr_cycle_reduction_tol
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%, dr_logarithmic_reduction_maxiter
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%, dr_logarithmic_reduction_tol
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%, drop
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%, first_obs
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%, geweke_interval
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%, graph_format
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%, huge_number
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, irf_matching_file = cet_irf_matching_file
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%, k_order_solver
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%, load_mh_file
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%, load_results_after_load_mh
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%, logdata
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%, lyapunov
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%, lyapunov_complex_threshold
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%, lyapunov_doubling_tol
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%, lyapunov_fixed_point_tol
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%, mcmc_jumping_covariance
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, mh_conf_sig = 0.90
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%, mh_drop = 0.5
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%, mh_init_scale_factor
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%, mh_initialize_from_previous_mcmc
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%, mh_initialize_from_previous_mcmc_directory
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%, mh_initialize_from_previous_mcmc_prior
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%, mh_initialize_from_previous_mcmc_record
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%, mh_jscale = 0.5
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%, mh_nblocks = 1
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%, mh_posterior_mode_estimation
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%, mh_recover
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, mh_replic=0
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%, mh_tune_guess = 0.5
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%, mh_tune_jscale = 0.33
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%, mom_burnin
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%, mom_seed
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%, mom_se_tolx
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, mode_check
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%, mode_check_neighbourhood_size
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%, mode_check_number_of_points
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, mode_check_symmetric_plots = 0
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, mode_compute = 4
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, mode_file = cet_original_mode
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%, nobs
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%, no_posterior_kernel_density
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, nodiagnostic
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, nodisplay
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, nograph
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, noprint
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%, optim
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%, order
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%, penalized_estimator
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, plot_priors = 1
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%, posterior_max_subsample_draws
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%, posterior_sampling_method = 'random_walk_metropolis_hastings'
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%, posterior_sampler_options = ('proposal_distribution'
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% ,'rand_multivariate_normal'
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% ,'rand_multivariate_student'
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% ,'student_degrees_of_freedom',4
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% ,'use_mh_covariance_matrix',1
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% ,'save_tmp_file',1
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% , scale_file
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% )
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%, posterior_sampling_method = 'tailored_random_block_metropolis_hastings'
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%, posterior_sampler_options = ('proposal_distribution'
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% ,'rand_multivariate_normal'
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% ,'rand_multivariate_student'
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% ,'student_degrees_of_freedom',4
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% ,'new_block_probability',0.3
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% ,'mode_compute',1
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% ,optim
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% ,'save_tmp_file',1
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% ,scale_file
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% )
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%, posterior_sampling_method = 'independent_metropolis_hastings'
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%, posterior_sampler_options = ('proposal_distribution'
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% ,'rand_multivariate_normal'
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% ,'rand_multivariate_student'
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% ,'student_degrees_of_freedom',4
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% ,'use_mh_covariance_matrix',1
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% ,'save_tmp_file',1
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% ,scale_file
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% )
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%, posterior_sampling_method = 'slice'
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%, posterior_sampler_options = ('rotated',1
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% ,'mode_files'
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% ,'slice_initialize_with_mode',1
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% ,'initial_step_size',0.8
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% ,'use_mh_covariance_matrix',1
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% ,'save_tmp_file',1
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% )
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%, prefilter
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%, prior_trunc
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%, pruning
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%, qz_criterium
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%, qz_zero_threshold
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%, raftery_lewis_diagnostics
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%, raftery_lewis_qrs
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%, relative_irf
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%, replic
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%, schur_vec_tol
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%, silent_optimizer
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%, simulation_method = stoch_simul
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%, simulation_multiple
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%, sub_draws
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%, sylvester
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%, sylvester_fixed_point_tol
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%, taper_steps
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, tex
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%, use_penalized_objective_for_hessian
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, verbose
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%, weighting_matrix
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%, weighting_matrix_scaling_factor
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%, xls_range
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%, xls_sheet
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);
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close all;
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%% RUN 2: LOAD POSTERIOR MODE, COMPUTE HESSIAN AND RUN 1 MCMC CHAIN %%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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method_of_moments(mom_method = irf_matching
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, cova_compute=1
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, dirname=cet_rwmh_results_2
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, irf_matching_file = cet_irf_matching_file
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, mh_conf_sig = 0.95
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, mh_drop = 0.5
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, mh_jscale = 0.5
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, mh_nblocks = 1
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, mh_replic=200
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, mode_compute = 0
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, mode_file = 'cet_rwmh_results_1/method_of_moments/cet_rwmh_mode'
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, plot_priors = 0
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, posterior_sampling_method = 'random_walk_metropolis_hastings'
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, posterior_sampler_options = ('proposal_distribution'
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,'rand_multivariate_normal'
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% ,'rand_multivariate_student'
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% ,'student_degrees_of_freedom',4
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% ,'use_mh_covariance_matrix',1
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% ,'save_tmp_file',1
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% , scale_file
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)
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, tex
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);
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close all;
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%% RUN 3: DEFINE COVARIANCE OF PROPOSAL FROM PREVIOUS MCMC %
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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method_of_moments(mom_method = irf_matching
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, dirname=cet_rwmh_results_2
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, irf_matching_file = cet_irf_matching_file
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, load_mh_file
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, mh_conf_sig = 0.95
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, mh_drop = 0.5
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, mh_jscale = 0.5
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, mh_nblocks = 1
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, mh_replic=60
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, mode_compute = 0
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, plot_priors = 0
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, posterior_sampling_method = 'random_walk_metropolis_hastings'
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, posterior_sampler_options = ('proposal_distribution'
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% ,'rand_multivariate_normal'
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,'rand_multivariate_student'
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,'student_degrees_of_freedom',4
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,'use_mh_covariance_matrix',1
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% ,'save_tmp_file',1
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% , scale_file
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)
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, tex
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);
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%%%%%%%%%%%
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%% LATEX %%
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%%%%%%%%%%%
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collect_latex_files;
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if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex'])
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error('TeX-File did not compile.')
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end |