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Add Raftery/Lewis (1992) convergence diagnostics

issue#70
Johannes Pfeifer 2016-11-22 10:47:09 +01:00 committed by Stéphane Adjemian (Lupi)
parent e55ab84f7f
commit 3f33ab5425
2 changed files with 7 additions and 1 deletions
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6
DynareBison.yy
View File

@ -108,7 +108,7 @@ class ParsingDriver;
%token LYAPUNOV_FIXED_POINT_TOL LYAPUNOV_DOUBLING_TOL LYAPUNOV_SQUARE_ROOT_SOLVER_TOL LOG_DEFLATOR LOG_TREND_VAR LOG_GROWTH_FACTOR MARKOWITZ MARGINAL_DENSITY MAX MAXIT
%token MFS MH_CONF_SIG MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER POSTERIOR_MAX_SUBSAMPLE_DRAWS MIN MINIMAL_SOLVING_PERIODS
%token MODE_CHECK MODE_CHECK_NEIGHBOURHOOD_SIZE MODE_CHECK_SYMMETRIC_PLOTS MODE_CHECK_NUMBER_OF_POINTS MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
%token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO CONTEMPORANEOUS_CORRELATION DIFFUSE_FILTER SUB_DRAWS TAPER_STEPS GEWEKE_INTERVAL MCMC_JUMPING_COVARIANCE MOMENT_CALIBRATION
%token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO CONTEMPORANEOUS_CORRELATION DIFFUSE_FILTER SUB_DRAWS TAPER_STEPS GEWEKE_INTERVAL RAFTERY_LEWIS_QRS RAFTERY_LEWIS_DIAGNOSTICS MCMC_JUMPING_COVARIANCE MOMENT_CALIBRATION
%token NUMBER_OF_PARTICLES RESAMPLING SYSTEMATIC GENERIC RESAMPLING_THRESHOLD RESAMPLING_METHOD KITAGAWA STRATIFIED SMOOTH
%token CPF_WEIGHTS AMISANOTRISTANI MURRAYJONESPARSLOW
%token FILTER_ALGORITHM PROPOSAL_APPROXIMATION CUBATURE UNSCENTED MONTECARLO DISTRIBUTION_APPROXIMATION
@ -1800,6 +1800,8 @@ estimation_options : o_datafile
| o_qz_zero_threshold
| o_taper_steps
| o_geweke_interval
| o_raftery_lewis_qrs
| o_raftery_lewis_diagnostics
| o_mcmc_jumping_covariance
| o_irf_plot_threshold
| o_posterior_max_subsample_draws
@ -2898,6 +2900,8 @@ o_xls_range : XLS_RANGE EQUAL range { driver.option_str("xls_range", $3); };
o_filter_step_ahead : FILTER_STEP_AHEAD EQUAL vec_int { driver.option_vec_int("filter_step_ahead", $3); };
o_taper_steps : TAPER_STEPS EQUAL vec_int { driver.option_vec_int("convergence.geweke.taper_steps", $3); };
o_geweke_interval : GEWEKE_INTERVAL EQUAL vec_value { driver.option_num("convergence.geweke.geweke_interval",$3); };
o_raftery_lewis_diagnostics : RAFTERY_LEWIS_DIAGNOSTICS { driver.option_num("convergence.rafterylewis.indicator", "1"); };
o_raftery_lewis_qrs : RAFTERY_LEWIS_QRS EQUAL vec_value { driver.option_num("convergence.rafterylewis.qrs",$3); };
o_constant : CONSTANT { driver.option_num("noconstant", "0"); };
o_noconstant : NOCONSTANT { driver.option_num("noconstant", "1"); };
o_mh_recover : MH_RECOVER { driver.option_num("mh_recover", "1"); };

2
DynareFlex.ll
View File

@ -272,6 +272,8 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>lik_init {return token::LIK_INIT;}
<DYNARE_STATEMENT>taper_steps {return token::TAPER_STEPS;}
<DYNARE_STATEMENT>geweke_interval {return token::GEWEKE_INTERVAL;}
<DYNARE_STATEMENT>raftery_lewis_qrs {return token::RAFTERY_LEWIS_QRS;}
<DYNARE_STATEMENT>raftery_lewis_diagnostics {return token::RAFTERY_LEWIS_DIAGNOSTICS;}
<DYNARE_STATEMENT>graph {return token::GRAPH;}
<DYNARE_STATEMENT>nograph {return token::NOGRAPH;}
<DYNARE_STATEMENT>nodisplay {return token::NODISPLAY;}