From 0efcef8f20c549c1484ce56c8986bc4c24d5292a Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Scylla=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Mon, 21 Jul 2014 12:45:49 +0200
Subject: [PATCH] Added the possibility to declare non linear prior
restrictions over estimated parameters.
If a file <MOD_FILE_NAME>_prior_restrictions.m exists in current folder, the value returned by this routine is
substracted to fval (likelihood-lnprior) at the end of dsge_likelihood. The arguments of this routine are: M_,
oo_, options_, dataset_ and dataset_info. Routines for writing <MOD_FILE_NAME>_prior_restrictions.m will be
provided later.
---
matlab/dsge_likelihood.m | 6 ++++++
matlab/dynare_estimation_init.m | 6 ++++++
matlab/global_initialization.m | 4 ++++
3 files changed, 16 insertions(+)
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 58272ae05..7f32d6a71 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -809,6 +809,7 @@ if analytic_derivation
else
lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
end
+
if DynareOptions.endogenous_prior==1
if DynareOptions.lik_init==2 || DynareOptions.lik_init==3
error('Endogenous prior not supported with non-stationary models')
@@ -820,6 +821,11 @@ else
fval = (likelihood-lnprior);
end
+if DynareOptions.prior_restrictions.status
+ tmp = feval(DynareOptions.prior_restrictions.routine, Model, DynareResults, DynareOptions, DynareDataset, DatasetInfo);
+ fval = fval - tmp;
+end
+
if isnan(fval)
info = 47;
fval = objective_function_penalty_base + 100;
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 1bdbf0f59..f0a4636c6 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -130,6 +130,12 @@ if ~isempty(estim_params_)
[xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_);
end
+% Check if a _prior_restrictions.m file exists
+if exist([M_.fname '_prior_restrictions.m'])
+ options_.prior_restrictions.status = 1;
+ options_.prior_restrictions.routine = str2func([M_.fname '_prior_restrictions.m']);
+end
+
% Check that the provided mode_file is compatible with the current estimation settings.
if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_posterior_mode_estimation
number_of_estimated_parameters = length(xparam1);
diff --git a/matlab/global_initialization.m b/matlab/global_initialization.m
index 53a2d5362..39f9659d1 100644
--- a/matlab/global_initialization.m
+++ b/matlab/global_initialization.m
@@ -394,6 +394,10 @@ options_.MCMC_jumping_covariance='hessian';
options_.use_calibration_initialization = 0;
options_.endo_vars_for_moment_computations_in_estimation=[];
+% Prior restrictions
+options_.prior_restrictions.status = 0;
+options_.prior_restrictions.routine = [];
+
options_.mode_compute = 4;
options_.mode_file = '';
options_.moments_varendo = 0;
--
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