From edd95a94c82fa24a351024d78b4a065acefa7f34 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Wed, 14 Dec 2011 20:50:14 +0100
Subject: [PATCH] added options_.sub_draws in estimation for controlling the
number of draws used in computing the posterior distributions of various
objects. Changed options_.subdraws, used in the code, into
options_.sub_draws.
---
doc/dynare.texi | 8 ++++++++
matlab/global_initialization.m | 2 +-
matlab/prior_posterior_statistics.m | 4 ++--
preprocessor/DynareBison.yy | 5 +++--
preprocessor/DynareFlex.ll | 1 +
5 files changed, 15 insertions(+), 5 deletions(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index ea05ab2c7f..2aa309a626 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -3801,6 +3801,14 @@ For internal use and testing only.
algorithm. For the time being, @code{mh_replic} should be larger than
@code{1200}. Default: @code{20000}
+@item sub_draws = @var{INTEGER}
+@anchor{sub_draws} number of draws from the Metropolis iterations that
+are used to compute posterior distirbution of various objects (smoothed
+variable, smoothed shocks, forecast, moments, IRF). @code{sub_draws} should be smaller than
+the total number of Metropolis draws available. Default:
+@code{min(1200,0.25*Total number of draws)}
+
+
@item mh_nblocks = @var{INTEGER}
Number of parallel chains for Metropolis-Hastings algorithm. Default:
@code{2}
diff --git a/matlab/global_initialization.m b/matlab/global_initialization.m
index a9f9f97259..1df1e8c804 100644
--- a/matlab/global_initialization.m
+++ b/matlab/global_initialization.m
@@ -219,7 +219,7 @@ options_.presample = 0;
options_.prior_trunc = 1e-10;
options_.smoother = 0;
options_.student_degrees_of_freedom = 3;
-options_.subdraws = [];
+options_.sub_draws = [];
options_.use_mh_covariance_matrix = 0;
options_.gradient_method = 2;
options_.gradient_epsilon = 1e-6;
diff --git a/matlab/prior_posterior_statistics.m b/matlab/prior_posterior_statistics.m
index 87f0986617..eded9eedbf 100644
--- a/matlab/prior_posterior_statistics.m
+++ b/matlab/prior_posterior_statistics.m
@@ -77,8 +77,8 @@ if strcmpi(type,'posterior')
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
clear record;
- if ~isempty(options_.subdraws)
- B = options_.subdraws;
+ if ~isempty(options_.sub_draws)
+ B = options_.sub_draws;
if B > NumberOfDraws
B = NumberOfDraws;
end
diff --git a/preprocessor/DynareBison.yy b/preprocessor/DynareBison.yy
index 6dc6706cfe..0503ea970a 100644
--- a/preprocessor/DynareBison.yy
+++ b/preprocessor/DynareBison.yy
@@ -109,7 +109,7 @@ class ParsingDriver;
%token MARKOWITZ MARGINAL_DENSITY MAX MAXIT
%token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN MINIMAL_SOLVING_PERIODS
%token MODE_CHECK MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
-%token MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER
+%token MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER SUB_DRAWS
%token <string_val> NAME
%token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NOCORR NODIAGNOSTIC NOFUNCTIONS
%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF
@@ -1219,6 +1219,7 @@ estimation_options : o_datafile
| o_conditional_variance_decomposition
| o_cova_compute
| o_irf_shocks
+ | o_sub_draws
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@@ -1922,7 +1923,7 @@ o_diffuse_filter: DIFFUSE_FILTER {driver.option_num("diffuse_filter", "1"); };
o_plot_priors: PLOT_PRIORS EQUAL INT_NUMBER {driver.option_num("plot_priors", $3); };
o_aim_solver: AIM_SOLVER {driver.option_num("aim_solver", "1"); };
o_partial_information : PARTIAL_INFORMATION {driver.option_num("partial_information", "1"); };
-
+o_sub_draws: SUB_DRAWS EQUAL INT_NUMBER {driver.option_num("sub_draws",$3);};
o_planner_discount : PLANNER_DISCOUNT EQUAL expression { driver.declare_optimal_policy_discount_factor_parameter($3); };
o_bvar_prior_tau : BVAR_PRIOR_TAU EQUAL signed_number { driver.option_num("bvar_prior_tau", $3); };
diff --git a/preprocessor/DynareFlex.ll b/preprocessor/DynareFlex.ll
index 0ec27c8197..e9230dd4ee 100644
--- a/preprocessor/DynareFlex.ll
+++ b/preprocessor/DynareFlex.ll
@@ -230,6 +230,7 @@ string eofbuff;
<DYNARE_STATEMENT>nocorr {return token::NOCORR;}
<DYNARE_STATEMENT>optim {return token::OPTIM;}
<DYNARE_STATEMENT>periods {return token::PERIODS;}
+<DYNARE_STATEMENT>sub_draws {return token::SUB_DRAWS;}
<DYNARE_STATEMENT>minimal_solving_periods {return token::MINIMAL_SOLVING_PERIODS;}
<DYNARE_STATEMENT>markowitz {return token::MARKOWITZ;}
<DYNARE_STATEMENT>marginal_density {return token::MARGINAL_DENSITY;}
--
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