From dabe0ada331ad8ffd28fc556dfd5c36a58bfa878 Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Thu, 7 Jan 2021 14:14:13 +0100
Subject: [PATCH] MoM: Add test for optimizers
Note that mode_compute=11 and 12 need some fixing
---
tests/Makefile.am | 1 +
.../RBC/RBC_MoM_optimizer.mod | 146 ++++++++++++++++++
2 files changed, 147 insertions(+)
create mode 100644 tests/estimation/method_of_moments/RBC/RBC_MoM_optimizer.mod
diff --git a/tests/Makefile.am b/tests/Makefile.am
index 1b7929a582..cd60e04735 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -54,6 +54,7 @@ MODFILES = \
estimation/method_of_moments/RBC/RBC_MoM_Andreasen.mod \
estimation/method_of_moments/RBC/RBC_MoM_SMM_ME.mod \
estimation/method_of_moments/RBC/RBC_MoM_prefilter.mod \
+ estimation/method_of_moments/RBC/RBC_MoM_optimizer.mod \
estimation/method_of_moments/AFVRR/AFVRR_M0.mod \
estimation/method_of_moments/AFVRR/AFVRR_MFB.mod \
estimation/method_of_moments/AFVRR/AFVRR_MFB_RRA.mod \
diff --git a/tests/estimation/method_of_moments/RBC/RBC_MoM_optimizer.mod b/tests/estimation/method_of_moments/RBC/RBC_MoM_optimizer.mod
new file mode 100644
index 0000000000..08b1ed882f
--- /dev/null
+++ b/tests/estimation/method_of_moments/RBC/RBC_MoM_optimizer.mod
@@ -0,0 +1,146 @@
+% Test optimizers
+%
+% Copyright (C) 2020-2021 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
+% =========================================================================
+% TO DO
+% [ ] fix optimizers 11 and 12;
+% note that 12 and 102 require GADS_Toolbox which is not available on servers, but need to be tested locally
+
+% Define testscenario
+@#define orderApp = 2
+
+% Note that we will set the numerical optimization tolerance levels very large to speed up the testsuite
+
+@#include "RBC_MoM_common.inc"
+
+shocks;
+var u_a; stderr 0.0072;
+end;
+
+varobs c iv n;
+
+%--------------------------------------------------------------------------
+% Method of Moments Estimation
+%--------------------------------------------------------------------------
+matched_moments;
+c;
+n;
+iv;
+c*c;
+c*iv;
+iv*n;
+iv*iv;
+n*c;
+n*n;
+c*c(-1);
+n*n(-1);
+iv*iv(-1);
+end;
+
+% reduce options to speed up testsuite
+options_.newrat.maxiter = 10;
+options_.newrat.tolerance.f = 1e-2;
+options_.newrat.tolerance.f_analytic = 1e-2;
+
+options_.mh_jscale = 0.6;
+options_.gmhmaxlik.iterations=1;
+options_.gmhmaxlik.number=2000;
+options_.gmhmaxlik.nclimb=2000;
+options_.gmhmaxlik.nscale=2000;
+options_.gmhmaxlik.target=0.5;
+
+options_.solveopt.MaxIter=300;
+options_.solveopt.LBGradientStep=1e-3;
+options_.solveopt.TolFun = 1e-3;
+options_.solveopt.TolX = 1e-3;
+options_.solveopt.TolXConstraint=1e-3;
+
+
+@#for estimParams in [0, 1, 2]
+ clear estim_params_;
+ @#if estimParams == 0
+ estimated_params;
+ %DELTA, 0.025;
+ %BETTA, 0.984;
+ %B, 0.5;
+ %ETAc, 2;
+ ALFA, 0.667;
+ RHOA, 0.979;
+ stderr u_a, 0.0072;
+ end;
+ @#define OPTIMIZERS = [1, 2, 3, 4, 5, 7, 8, 9, 10, 13, 101]
+ @#endif
+
+ @#if estimParams == 1
+ estimated_params;
+ %DELTA, , 0, 1;
+ %BETTA, , 0, 1;
+ %B, , 0, 1;
+ %ETAc, , 0, 10;
+ ALFA, , 0, 1;
+ RHOA, , 0, 1;
+ stderr u_a, , 0, 1;
+ end;
+ @#define OPTIMIZERS = [1, 2, 3, 4, 7, 8, 9, 10, 13, 101]
+ @#endif
+
+ @#if estimParams == 2
+ estimated_params;
+ %DELTA, 0.025, 0, 1, normal_pdf, 0.02, 0.5;
+ %BETTA, 0.98, 0, 1, beta_pdf, 0.90, 0.25;
+ %B, 0.45, 0, 1, normal_pdf, 0.40, 0.5;
+ %ETAl, 1, 0, 10, normal_pdf, 0.25, 0.0.1;
+ %ETAc, 1.8, 0, 10, normal_pdf, 1.80, 0.5;
+ ALFA, 0.65, 0, 1, normal_pdf, 0.60, 0.5;
+ RHOA, 0.95, 0, 1, normal_pdf, 0.90, 0.5;
+ stderr u_a, 0.01, 0, 1, normal_pdf, 0.01, 0.5;
+ %THETA, 3.48, 0, 10, normal_pdf, 0.25, 0.0.1;
+ end;
+ @#define OPTIMIZERS = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 13, 101]
+ @#endif
+
+ estimated_params_init(use_calibration);
+ end;
+
+ @#for optimizer in OPTIMIZERS
+ method_of_moments(
+ mom_method = GMM % method of moments method; possible values: GMM|SMM
+ , datafile = 'RBC_Andreasen_Data_2.mat' % name of filename with data
+ , order = @{orderApp} % order of Taylor approximation in perturbation
+ , 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']
+ , nograph % do not create graphs (which implies that they are not saved to the disk nor displayed)
+ , mode_compute = @{optimizer} % specifies the optimizer for minimization of moments distance
+ @#if optimizer == 102
+ , optim = ('TolFun' , 1D-3 % termination tolerance on the function value, a positive scalar
+ ,'MaxIter' , 300 % maximum number of iterations allowed, a positive integer
+ ,'MaxFunEvals' , 1D3 % maximum number of function evaluations allowed, a positive integer
+ )
+ @#else
+ , optim = ('TolFun' , 1D-3 % termination tolerance on the function value, a positive scalar
+ ,'TolX' , 1e-3 % termination tolerance on x, a positive scalar
+ ,'MaxIter' , 300 % maximum number of iterations allowed, a positive integer
+ ,'MaxFunEvals' , 1D3 % maximum number of function evaluations allowed, a positive integer
+ )
+ @#endif
+ %, silent_optimizer % run minimization of moments distance silently without displaying results or saving files in between
+ );
+ @#endfor
+@#endfor
+
+
+
--
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