From a9292c5086d04ec0b681f88e665421ad09f266b5 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx,de>
Date: Wed, 6 Nov 2013 08:26:22 +0100
Subject: [PATCH] Add warning if prior allows for negative variances and if
negative estimated variances are encountered. Closes #522
Due to the use of variances for Sigma_e and subsequently backing out the standard deviation from these variances, the sign of the standard deviation does not matter and no bound needs to be imposed.
---
matlab/display_estimation_results_table.m | 7 +++--
matlab/initial_estimation_checks.m | 36 ++++++++++++++++++++---
2 files changed, 37 insertions(+), 6 deletions(-)
diff --git a/matlab/display_estimation_results_table.m b/matlab/display_estimation_results_table.m
index 7943faf5c3..0fecc8f38c 100644
--- a/matlab/display_estimation_results_table.m
+++ b/matlab/display_estimation_results_table.m
@@ -20,7 +20,7 @@ function oo_=display_estimation_results_table(xparam1,stdh,M_,options_,estim_par
% SPECIAL REQUIREMENTS
% None.
-% Copyright (C) 2013 Dynare Team
+% Copyright (C) 2014 Dynare Team
%
% This file is part of Dynare.
%
@@ -169,6 +169,9 @@ if ncn
end
skipline()
end
+if any(xparam1(1:nvx+nvn)<0)
+ warning('Some estimated standard deviations are negative. Dynare internally works with variances so that the sign does not matter. Nevertheless, it is recommended to impose either prior restrictions (Bayesian Estimation) or a lower bound (ML) to assure positive values.')
+end
OutputDirectoryName = CheckPath('Output',M_.dname);
@@ -556,4 +559,4 @@ elseif all(bayestopt_.pshape == 0) && options_.TeX %% MLE and GMM Latex output
fclose(fidTeX);
end
-end
\ No newline at end of file
+end
diff --git a/matlab/initial_estimation_checks.m b/matlab/initial_estimation_checks.m
index 80c499789f..9dee5461e9 100644
--- a/matlab/initial_estimation_checks.m
+++ b/matlab/initial_estimation_checks.m
@@ -3,9 +3,14 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
% Checks data (complex values, ML evaluation, initial values, BK conditions,..)
%
% INPUTS
-% xparam1: vector of parameters to be estimated
-% gend: scalar specifying the number of observations
-% data: matrix of data
+% objective_function [function handle] of the objective function
+% xparam1: [vector] of parameters to be estimated
+% DynareDataset: [structure] storing the dataset information
+% Model: [structure] decribing the model
+% EstimatedParameters [structure] characterizing parameters to be estimated
+% DynareOptions [structure] describing the options
+% BayesInfo [structure] describing the priors
+% DynareResults [structure] storing the results
%
% OUTPUTS
% DynareResults structure of temporary results
@@ -13,7 +18,7 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
% SPECIAL REQUIREMENTS
% none
-% Copyright (C) 2003-2012 Dynare Team
+% Copyright (C) 2003-2014 Dynare Team
%
% This file is part of Dynare.
%
@@ -41,6 +46,29 @@ end
% check if steady state solves static model (except if diffuse_filter == 1)
[DynareResults.steady_state] = evaluate_steady_state(DynareResults.steady_state,Model,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
+if any(BayesInfo.pshape) % if Bayesian estimation
+ nvx=EstimatedParameters.nvx;
+ if nvx && any(BayesInfo.p3(1:nvx)<0)
+ warning('Your prior allows for negative standard deviations for structural shocks. Due to working with variances, Dynare will be able to continue, but it is recommended to change your prior.')
+ end
+ offset=nvx;
+ nvn=EstimatedParameters.nvn;
+ if nvn && any(BayesInfo.p3(1+offset:offset+nvn)<0)
+ warning('Your prior allows for negative standard deviations for measurement error. Due to working with variances, Dynare will be able to continue, but it is recommended to change your prior.')
+ end
+ offset = nvx+nvn;
+ ncx=EstimatedParameters.ncx;
+ if ncx && (any(BayesInfo.p3(1+offset:offset+ncx)<-1) || any(BayesInfo.p4(1+offset:offset+ncx)>1))
+ warning('Your prior allows for correlations between measurement errors larger than +-1 and will not integrate to 1 due to truncation. Please change your prior')
+ end
+ offset = nvx+nvn+ncx;
+ ncn=EstimatedParameters.ncn;
+ if ncn && (any(BayesInfo.p3(1+offset:offset+ncn)<-1) || any(BayesInfo.p4(1+offset:offset+ncn)>1))
+ warning('Your prior allows for correlations between structural shocks larger than +-1 and will not integrate to 1 due to truncation. Please change your prior')
+ end
+end
+
+
% Evaluate the likelihood.
ana_deriv = DynareOptions.analytic_derivation;
DynareOptions.analytic_derivation=0;
--
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