204 lines
6.7 KiB
Modula-2
204 lines
6.7 KiB
Modula-2
% -------------------------------------------------------------------------
|
|
% Functionality testing of Bayesian IRF matching with
|
|
% - slice
|
|
% - rotated slice with use_mh_covariance_matrix
|
|
% - rotated slice with slice_initialize_with_mode
|
|
% - reuse previous MCMC
|
|
% -------------------------------------------------------------------------
|
|
|
|
% Copyright © 2023 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
@#define LESSPARAMS=1
|
|
@#include "cet_model.inc"
|
|
|
|
options_.prior_interval= 0.95;
|
|
|
|
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
%% RUN 1: DEFAULT SLICE %%
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
method_of_moments(mom_method = irf_matching
|
|
%, add_tiny_number_to_cholesky = 1e-14
|
|
%, additional_optimizer_steps = [4]
|
|
%, aim_solver
|
|
%, analytic_jacobian
|
|
%, analytic_standard_errors
|
|
%, bartlett_kernel_lag
|
|
%, bounded_shock_support
|
|
%, brooks_gelman_plotrows
|
|
%, cova_compute=0
|
|
%, datafile
|
|
%, dirname=cet_slice_default
|
|
%, dr
|
|
%, dr_cycle_reduction_tol
|
|
%, dr_logarithmic_reduction_maxiter
|
|
%, dr_logarithmic_reduction_tol
|
|
%, drop
|
|
%, first_obs
|
|
%, geweke_interval
|
|
%, graph_format
|
|
%, huge_number
|
|
, irf_matching_file = cet_irf_matching_file
|
|
%, k_order_solver
|
|
%, load_mh_file
|
|
%, load_results_after_load_mh
|
|
%, logdata
|
|
%, lyapunov
|
|
%, lyapunov_complex_threshold
|
|
%, lyapunov_doubling_tol
|
|
%, lyapunov_fixed_point_tol
|
|
%, mcmc_jumping_covariance
|
|
, mh_conf_sig = 0.90
|
|
%, mh_drop = 0.5
|
|
%, mh_init_scale_factor
|
|
%, mh_initialize_from_previous_mcmc
|
|
%, mh_initialize_from_previous_mcmc_directory
|
|
%, mh_initialize_from_previous_mcmc_prior
|
|
%, mh_initialize_from_previous_mcmc_record
|
|
%, mh_jscale = 0.5
|
|
, mh_nblocks = 1
|
|
%, mh_posterior_mode_estimation
|
|
%, mh_recover
|
|
, mh_replic=40 % too few draws yield error due to non positive definite covariance in the following estimations
|
|
%, mh_tune_guess = 0.5
|
|
%, mh_tune_jscale = 0.33
|
|
%, mom_burnin
|
|
%, mom_seed
|
|
%, mom_se_tolx
|
|
%, mode_check
|
|
%, mode_check_neighbourhood_size
|
|
%, mode_check_number_of_points
|
|
%, mode_check_symmetric_plots = 0
|
|
%, mode_compute = 1
|
|
%, mode_file = cet_original_mode
|
|
%, nobs
|
|
%, no_posterior_kernel_density
|
|
%, nodiagnostic
|
|
%, nodisplay
|
|
, nograph
|
|
%, noprint
|
|
%, optim
|
|
%, order
|
|
%, penalized_estimator
|
|
, plot_priors = 0
|
|
%, posterior_max_subsample_draws
|
|
%, posterior_sampling_method = 'random_walk_metropolis_hastings'
|
|
%, posterior_sampler_options = ('proposal_distribution'
|
|
% ,'rand_multivariate_normal'
|
|
% ,'rand_multivariate_student'
|
|
% ,'student_degrees_of_freedom',4
|
|
% ,'use_mh_covariance_matrix',1
|
|
% ,'save_tmp_file',1
|
|
% , scale_file
|
|
% )
|
|
%, posterior_sampling_method = 'tailored_random_block_metropolis_hastings'
|
|
%, posterior_sampler_options = ('proposal_distribution'
|
|
% ,'rand_multivariate_normal'
|
|
% ,'rand_multivariate_student'
|
|
% ,'student_degrees_of_freedom',4
|
|
% ,'new_block_probability',0.3
|
|
% ,'mode_compute',1
|
|
% ,optim
|
|
% ,'save_tmp_file',1
|
|
% ,scale_file
|
|
% )
|
|
%, posterior_sampling_method = 'independent_metropolis_hastings'
|
|
%, posterior_sampler_options = ('proposal_distribution'
|
|
% ,'rand_multivariate_normal'
|
|
% ,'rand_multivariate_student'
|
|
% ,'student_degrees_of_freedom',4
|
|
% ,'use_mh_covariance_matrix',1
|
|
% ,'save_tmp_file',1
|
|
% ,scale_file
|
|
% )
|
|
, posterior_sampling_method = 'slice'
|
|
%, posterior_sampler_options = ('rotated',1
|
|
% ,'mode_files'
|
|
% ,'slice_initialize_with_mode',1
|
|
% ,'initial_step_size',0.8
|
|
% ,'use_mh_covariance_matrix',1
|
|
% ,'save_tmp_file',0
|
|
% )
|
|
%, prefilter
|
|
%, prior_trunc
|
|
%, pruning
|
|
%, qz_criterium
|
|
%, qz_zero_threshold
|
|
%, raftery_lewis_diagnostics
|
|
%, raftery_lewis_qrs
|
|
%, relative_irf
|
|
%, replic
|
|
%, schur_vec_tol
|
|
%, silent_optimizer
|
|
, simulation_method = stoch_simul
|
|
%, simulation_multiple
|
|
%, sub_draws
|
|
%, sylvester
|
|
%, sylvester_fixed_point_tol
|
|
%, taper_steps
|
|
%, tex
|
|
%, use_penalized_objective_for_hessian
|
|
%, verbose
|
|
%, weighting_matrix
|
|
%, weighting_matrix_scaling_factor
|
|
%, xls_range
|
|
%, xls_sheet
|
|
);
|
|
close all;
|
|
|
|
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
%% RUN 2: ROTATED SLICE WITH USE_MH_COVARIANCE_MATRIX %%
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
method_of_moments(mom_method = irf_matching
|
|
, irf_matching_file = cet_irf_matching_file
|
|
, mh_nblocks = 1
|
|
, mh_replic=10
|
|
, plot_priors = 0
|
|
, nograph
|
|
, load_mh_file
|
|
, posterior_sampling_method = 'slice'
|
|
, posterior_sampler_options = ('rotated',1
|
|
% ,'mode_files'
|
|
% ,'slice_initialize_with_mode',1
|
|
% ,'initial_step_size',0.8
|
|
,'use_mh_covariance_matrix',1
|
|
,'save_tmp_file',0
|
|
)
|
|
);
|
|
close all;
|
|
|
|
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
%% RUN 3: ROTATED SLICE WITH SLICE_INITIALIZE_WITH_MODE %%
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
method_of_moments(mom_method = irf_matching
|
|
, irf_matching_file = cet_irf_matching_file
|
|
, mh_nblocks = 1
|
|
, mh_replic=10
|
|
, plot_priors = 0
|
|
, nograph
|
|
, mode_compute = 5
|
|
, posterior_sampling_method = 'slice'
|
|
, posterior_sampler_options = ('rotated',1
|
|
% ,'mode_files'
|
|
,'slice_initialize_with_mode',1
|
|
% ,'initial_step_size',0.8
|
|
% ,'use_mh_covariance_matrix',1
|
|
,'save_tmp_file',0
|
|
)
|
|
); |