124 lines
4.5 KiB
Modula-2
124 lines
4.5 KiB
Modula-2
% Test whether gradient-based optimizers are able to use analytical
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% Jacobian of moments in GMM estimation
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%
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% Copyright © 2021 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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% =========================================================================
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@#include "RBC_MoM_common.inc"
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shocks;
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var u_a; stderr 0.0072;
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end;
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varobs c iv n;
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%--------------------------------------------------------------------------
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% Method of Moments Estimation
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%--------------------------------------------------------------------------
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matched_moments;
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c;
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n;
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iv;
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c*c;
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c*iv;
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iv*n;
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iv*iv;
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n*c;
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n*n;
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c*c(-1);
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n*n(-1);
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iv*iv(-1);
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end;
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@#for estimParams in [0, 1, 2]
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@#if estimParams == 0
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estimated_params(overwrite);
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%DELTA, 0.025;
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%BETTA, 0.984;
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%B, 0.5;
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%ETAc, 2;
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ALFA, 0.667;
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RHOA, 0.979;
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stderr u_a, 0.0072;
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end;
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@#endif
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@#if estimParams == 1
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estimated_params(overwrite);
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%DELTA, , 0, 1;
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%BETTA, , 0, 1;
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%B, , 0, 1;
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%ETAc, , 0, 10;
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ALFA, , 0, 1;
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RHOA, , 0, 1;
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stderr u_a, , 0, 1;
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end;
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@#endif
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@#if estimParams == 2
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estimated_params(overwrite);
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%DELTA, 0.025, 0, 1, normal_pdf, 0.02, 0.5;
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%BETTA, 0.98, 0, 1, beta_pdf, 0.90, 0.25;
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%B, 0.45, 0, 1, normal_pdf, 0.40, 0.5;
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%ETAl, 1, 0, 10, normal_pdf, 0.25, 0.0.1;
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%ETAc, 1.8, 0, 10, normal_pdf, 1.80, 0.5;
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ALFA, 0.65, 0, 1, normal_pdf, 0.60, 0.5;
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RHOA, 0.95, 0, 1, normal_pdf, 0.90, 0.5;
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stderr u_a, 0.01, 0, 1, normal_pdf, 0.01, 0.5;
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%THETA, 3.48, 0, 10, normal_pdf, 0.25, 0.0.1;
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end;
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@#endif
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estimated_params_init(use_calibration);
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end;
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@#for optimizer in [1, 3, 4, 101, 13]
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@#if estimParams == 2 && optimizer == 13
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%skip due to buggy behavior in Octave
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if ~isoctave
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@#endif
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method_of_moments(
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mom_method = GMM % method of moments method; possible values: GMM|SMM
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, datafile = 'RBC_Andreasen_Data_2.mat' % name of filename with data
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, order = 2 % order of Taylor approximation in perturbation
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, weighting_matrix = ['OPTIMAL'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename. Size of cell determines stages in iterated estimation, e.g. two state with ['DIAGONAL','OPTIMAL']
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, nodisplay
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, nograph
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, mode_compute = @{optimizer} % specifies the optimizer for minimization of moments distance
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%, additional_optimizer_steps = [1 3 13]
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% , optim = ('DerivativeCheck', 'on','FiniteDifferenceType','central'
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% ,'TolX', 1e-6
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% ,'MaxIter', 3000
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% ,'MaxFunEvals', 1D6
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% ,'UseParallel' , 1
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% ,'Jacobian' , 'on'
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% ,'GradObj','on'
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% ) % a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute
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, silent_optimizer % run minimization of moments distance silently without displaying results or saving files in between
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, analytic_jacobian
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);
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@#if estimParams == 2 && optimizer == 13
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%skip due to buggy behavior in Octave
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end
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@#endif
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@#endfor
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@#endfor
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