From cfa7a923fa149fe4186a1f5e3c3e78c9e8112efc Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Sedna=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Fri, 13 May 2011 14:55:10 +0200
Subject: [PATCH] Do not compute marginal density (Laplace approximation) if
options_.cova_compute==1. (cherry picked from commit
ea103ecb846be993fc543fae9b793f586521a370)
---
matlab/dynare_estimation_1.m | 40 +++++++++++++++++++++---------------
1 file changed, 23 insertions(+), 17 deletions(-)
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 9f0e890bf7..cafff9ef3d 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -563,20 +563,22 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
end
end
%% Laplace approximation to the marginal log density:
- estim_params_nbr = size(xparam1,1);
- scale_factor = -sum(log10(diag(invhess)));
- log_det_invhess = -estim_params_nbr*log(scale_factor)+log(det(scale_factor*invhess));
- if ~options_.dsge_var
- md_Laplace = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess ...
- - DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);
- else
- md_Laplace = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess ...
- - DsgeVarLikelihood(xparam1,gend);
+ if options_.cova_compute
+ estim_params_nbr = size(xparam1,1);
+ scale_factor = -sum(log10(diag(invhess)));
+ log_det_invhess = -estim_params_nbr*log(scale_factor)+log(det(scale_factor*invhess));
+ if ~options_.dsge_var
+ md_Laplace = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess ...
+ - DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);
+ else
+ md_Laplace = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess ...
+ - DsgeVarLikelihood(xparam1,gend);
+ end
+ oo_.MarginalDensity.LaplaceApproximation = md_Laplace;
+ disp(' ')
+ disp(sprintf('Log data density [Laplace approximation] is %f.',md_Laplace))
+ disp(' ')
end
- oo_.MarginalDensity.LaplaceApproximation = md_Laplace;
- disp(' ')
- disp(sprintf('Log data density [Laplace approximation] is %f.',md_Laplace))
- disp(' ')
elseif ~any(bayestopt_.pshape > 0) && options_.mh_posterior_mode_estimation
disp(' ')
disp('RESULTS FROM MAXIMUM LIKELIHOOD')
@@ -862,11 +864,15 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
if options_.load_mh_file && options_.use_mh_covariance_matrix
invhess = compute_mh_covariance_matrix;
end
- if options_.dsge_var
- feval(options_.posterior_sampling_method,'DsgeVarLikelihood',options_.proposal_distribution,xparam1,invhess,bounds,gend);
+ if options_.cova_compute
+ if options_.dsge_var
+ feval(options_.posterior_sampling_method,'DsgeVarLikelihood',options_.proposal_distribution,xparam1,invhess,bounds,gend);
+ else
+ feval(options_.posterior_sampling_method,'DsgeLikelihood',options_.proposal_distribution,xparam1,invhess,bounds,gend,data,...
+ data_index,number_of_observations,no_more_missing_observations);
+ end
else
- feval(options_.posterior_sampling_method,'DsgeLikelihood',options_.proposal_distribution,xparam1,invhess,bounds,gend,data,...
- data_index,number_of_observations,no_more_missing_observations);
+ error('I Cannot start the MCMC because the hessian of the posterior kernel at the mode was not computed.')
end
end
if options_.mh_posterior_mode_estimation
--
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