Commit 9bea42f4 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

order=2 in estimation command now triggers particle filter

parent 40fc16e6
......@@ -40,9 +40,7 @@ if options_.order > 1
elseif options_.particle.status && options_.order>2
error(['Non linear filter are not implemented with order ' int2str(options_.order) ' approximation of the model!'])
elseif ~options_.particle.status && options_.order==2
disp('If you want to estimate the model with a second order approximation using a non linear filter, set options_.particle.status=1;')
disp('I set order=1!')
options_.order=1;
error('For estimating the model with a second order approximation using a non linear filter, one should have options_.particle.status=1;')
else
error(['Cannot estimate a model with an order ' int2str(options_.order) ' approximation!'])
end
......
......@@ -276,8 +276,18 @@ EstimationStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsoli
// Fill in option_order of mod_file_struct
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = max(mod_file_struct.order_option, atoi(it->second.c_str()));
{
int order = atoi(it->second.c_str());
if (order > 2)
{
cerr << "ERROR: order > 2 is not supported in estimation" << endl;
exit(EXIT_FAILURE);
}
mod_file_struct.order_option = max(mod_file_struct.order_option, order);
}
// Fill in mod_file_struct.partial_information
it = options_list.num_options.find("partial_information");
if (it != options_list.num_options.end() && it->second == "1")
......@@ -334,6 +344,14 @@ void
EstimationStatement::writeOutput(ostream &output, const string &basename) const
{
options_list.writeOutput(output);
// Special treatment for order option and particle filter
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("order");
if (it == options_list.num_options.end())
output << "options_.order = 1;" << endl;
else if (atoi(it->second.c_str()) == 2)
output << "options_.particle.status = 1;" << endl;
symbol_list.writeOutput("var_list_", output);
output << "dynare_estimation(var_list_);\n";
}
......
......@@ -65,6 +65,7 @@ MODFILES = \
fs2000/fs2000_cmaes.mod \
fs2000/fs2000_calib.mod \
fs2000/fs2000_analytic_derivation.mod \
fs2000/fs2000_particle.mod \
homotopy/homotopy1_test.mod \
homotopy/homotopy2_test.mod \
homotopy/homotopy3_test.mod \
......
// See fs2000.mod in the examples/ directory for details on the model
var m P c e W R k d n l gy_obs gp_obs y dA;
varexo e_a e_m;
parameters alp bet gam mst rho psi del;
alp = 0.33;
bet = 0.99;
gam = 0.003;
mst = 1.011;
rho = 0.7;
psi = 0.787;
del = 0.02;
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
W = l/n;
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
gy_obs = dA*y/y(-1);
gp_obs = (P/P(-1))*m(-1)/dA;
end;
initval;
k = 6;
m = mst;
P = 2.25;
c = 0.45;
e = 1;
W = 4;
R = 1.02;
d = 0.85;
n = 0.19;
l = 0.86;
y = 0.6;
gy_obs = exp(gam);
gp_obs = exp(-gam);
dA = exp(gam);
end;
shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
steady;
check;
estimated_params;
alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
rho, beta_pdf, 0.129, 0.223;
psi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
end;
varobs gp_obs gy_obs;
options_.solve_tolf = 1e-12;
/* Not computing the mode because it is very expensive, just running a small MH */
estimation(order=2,mode_compute=0,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=50);
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