From f16689e76fd7a8bb719c7bf9e24878459ca2443c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Scylla=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Wed, 11 Dec 2013 10:00:33 +0100
Subject: [PATCH] Do not systematically throw an errror message if the
parameters in the provided mode_file does not exactly match the set of
estimated parameters.
If some parameters are missing in the provided mode_file and if mode_compute>0, use the prior mean as an initial condition.
---
matlab/dynare_estimation_init.m | 98 +++++++++++++++++++++------------
1 file changed, 62 insertions(+), 36 deletions(-)
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 07188a23a..bddfbaa0c 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -134,10 +134,14 @@ if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_poste
skipline()
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
disp(['Your mode file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate ' int2str(number_of_estimated_parameters) ' parameters:'])
+ md = []; xd = [];
for i=1:number_of_estimated_parameters
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
if isempty(id)
- disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded mode file.'])
+ disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded mode file (prior mean will be used, if possible).'])
+ else
+ xd = [xd; i];
+ md = [md; id];
end
end
for i=1:length(mode_file.xparam1)
@@ -146,21 +150,30 @@ if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_poste
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
end
end
- error('Please change the mode_file option or the list of estimated parameters.')
+ if ~options_.mode_compute
+ % The posterior mode is not estimated.
+ error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
+ else
+ % The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
+ if ~isempty(xd)
+ xparam1(xd) = mode_file.xparam1(md);
+ else
+ error('Please remove the mode_file option.')
+ end
+ end
elseif number_of_estimated_parameters<length(mode_file.xparam1)
% Less estimated parameters than parameters in the mode file.
skipline()
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
disp(['Your mode file contains estimates for ' int2str(length(mode_file.xparam1)) ' parameters, while you are attempting to estimate only ' int2str(number_of_estimated_parameters) ' parameters:'])
- Id = [];
+ md = []; xd = [];
for i=1:number_of_estimated_parameters
id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
if isempty(id)
- disp(['--> Estimated parameter ' deblank(bayestopt_.name(i,:)) ' is not present in the loaded mode file.'])
- Id = [];
- break
+ disp(['--> Estimated parameter ' deblank(bayestopt_.name(i,:)) ' is not present in the loaded mode file (prior mean will be used, if possible).'])
else
- Id = [Id; id];
+ xd = [xd; i];
+ md = [md; id];
end
end
for i=1:length(mode_file.xparam1)
@@ -169,60 +182,73 @@ if ~isempty(estim_params_) && ~isempty(options_.mode_file) && ~options_.mh_poste
disp(['--> Parameter ' mode_file.parameter_names{i} ' is not estimated according to the current mod file.'])
end
end
- if isempty(Id)
- % None of the estimated parameters are present in the mode_file.
- error('Please change the mode_file option or the list of estimated parameters.')
- else
- % If possible, fix the mode_file.
- if isequal(length(Id),number_of_estimated_parameters)
+ if ~options_.mode_compute
+ % The posterior mode is not estimated. If possible, fix the mode_file.
+ if isequal(length(xd),number_of_estimated_parameters)
disp('==> Fix mode file (remove unused parameters).')
- mode_file.parameter_names = mode_file.parameter_names(Id,:);
- mode_file.xparam1 = mode_file.xparam1(Id);
+ xparam1 = mode_file.xparam1(md);
if isfield(mode_file,'hh')
- mode_file.hh = mode_file.hh(Id,Id);
+ hh = mode_file.hh(md,md);
end
+ else
+ error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
+ end
+ else
+ % The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
+ if ~isempty(xd)
+ xparam1(xd) = mode_file.xparam1(md);
+ else
+ % None of the estimated parameters are present in the mode_file.
+ error('Please remove the mode_file option.')
end
end
else
% The number of declared estimated parameters match the number of parameters in the mode file.
% Check that the parameters in the mode file and according to the current mod file are identical.
if isequal(mode_file.parameter_names, bayestopt_.name)
- % Ok! Nothing to do here.
+ xparam1 = mode_file.xparam1;
+ if isfield(mode_file,'hh')
+ hh = mode_file.hh;
+ end
else
skipline()
disp(['The posterior mode file ' options_.mode_file ' has been generated using another specification of the model or another model!'])
- % Check if this only an ordering issue.
- Id = [];
+ % Check if this only an ordering issue or if the missing parameters can be initialized with the prior mean.
+ md = []; xd = [];
for i=1:number_of_estimated_parameters
- id = strmatch(deblank(bayestopt_.name(i,:)),mode_file.parameter_names,'exact');
+ id = strmatch(deblank(bayestopt_.name(i,:)), mode_file.parameter_names,'exact');
if isempty(id)
disp(['--> Estimated parameter ' bayestopt_.name{i} ' is not present in the loaded mode file.'])
- Id = [];
- break
else
- Id = [Id; id];
+ xd = [xd; i];
+ md = [md; id];
end
end
- if isempty(Id)
- % None of the estimated parameters are present in the mode_file.
- error('Please change the mode_file option or the list of estimated parameters.')
+ if ~options_.mode_compute
+ % The posterior mode is not estimated
+ if isequal(length(xd), number_of_estimated_parameters)
+ % This is an ordering issue.
+ xparam1 = mode_file.xparam1(md);
+ if isfield(mode_file,'hh')
+ hh = mode_file.hh(md,md);
+ end
+ else
+ error('Please change the mode_file option, the list of estimated parameters or set mode_compute>0.')
+ end
else
- % If possible, fix the mode_file.
- if isequal(length(Id),number_of_estimated_parameters)
- disp('==> Fix mode file (reorder the parameters).')
- mode_file.parameter_names = mode_file.parameter_names(Id,:);
- mode_file.xparam1 = mode_file.xparam1(Id);
+ % The posterior mode is estimated, the Hessian evaluated at the mode is not needed so we set values for the parameters missing in the mode file using the prior mean.
+ if ~isempty(xd)
+ xparam1(xd) = mode_file.xparam1(md);
if isfield(mode_file,'hh')
- mode_file.hh = mode_file.hh(Id,Id);
+ hh(xd,xd) = mode_file.hh(md,md);
end
+ else
+ % None of the estimated parameters are present in the mode_file.
+ error('Please remove the mode_file option.')
end
end
end
end
- xparam1 = mode_file.xparam1;
- if isfield(mode_file,'hh')
- hh = mode_file.hh;
- end
skipline()
end
--
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