Skip to content

Fixed issues related to newratflag.

Marco Ratto requested to merge rattoma:optimizer_number_5 into master

This option relates to alternative numerical hessian computations:

optim=('Hessian',1) is the default dynare numeric Hessian optim=('Hessian',0) is the outer product gradient optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements are obtained using second order derivation formula and outer product is used for correlation structure.

Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities. Both 0 and 2 are quicker than default dynare numeric Hessian, but provide decent starting values for Metropolis for large models (option 2 being the best out of the two options)

Merge request reports

Loading