From f19ccf7f81df9dac6415026c19416f602a833c0b Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Mon, 3 Feb 2025 08:46:52 +0100
Subject: [PATCH] Set default prior_trunc=0
Closes #1953
---
doc/manual/source/the-model-file.rst | 2 +-
matlab/+gsa/stability_mapping.m | 4 ++++
matlab/default_option_values.m | 2 +-
matlab/estimation/dynare_estimation_init.m | 8 ++++++++
4 files changed, 14 insertions(+), 2 deletions(-)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 60edf8911a..8be7dda09c 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -7112,7 +7112,7 @@ observed variables.
Probability of extreme values of the prior density in each tail that is
ignored when computing bounds for the parameters. Default:
- ``1e-10``.
+ ``1e-10`` for ``posterior_sampling_method=slice`` and ``0`` otherwise .
.. option:: huge_number = DOUBLE
diff --git a/matlab/+gsa/stability_mapping.m b/matlab/+gsa/stability_mapping.m
index 8badb3bc7d..b7154f47df 100644
--- a/matlab/+gsa/stability_mapping.m
+++ b/matlab/+gsa/stability_mapping.m
@@ -92,6 +92,10 @@ xparam1=[];
[~,~,~,lb,ub] = set_prior(estim_params_,M_,options_); %Prepare bounds
if ~isempty(bayestopt_) && any(bayestopt_.pshape > 0)
% Set prior bounds
+ if options_.prior_trunc==0
+ fprintf('\nstability_mapping: GSA with priors requires bounded support. Setting options_.prior_trunc=1e-10.\n')
+ options_.prior_trunc=1e-10;
+ end
bounds = prior_bounds(bayestopt_, options_.prior_trunc);
bounds.lb = max(bounds.lb,lb);
bounds.ub = min(bounds.ub,ub);
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 300b4c6114..929079add1 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -452,7 +452,7 @@ options_.mh_posterior_mode_estimation = false;
options_.smc_posterior_mode_estimation = false;
options_.prefilter = 0;
options_.presample = 0;
-options_.prior_trunc = 1e-10;
+options_.prior_trunc = 0;
options_.smoother = false;
options_.smoother_redux = false;
options_.posterior_max_subsample_draws = 1200;
diff --git a/matlab/estimation/dynare_estimation_init.m b/matlab/estimation/dynare_estimation_init.m
index ffa982c0c2..60b188432f 100644
--- a/matlab/estimation/dynare_estimation_init.m
+++ b/matlab/estimation/dynare_estimation_init.m
@@ -117,6 +117,14 @@ if isequal(options_.diffuse_filter,1) || (options_.kalman_algo>2)
end
end
+if strcmp('slice',options_.posterior_sampler_options.posterior_sampling_method)
+ if options_.prior_trunc==0
+ fprintf('\ndynare_estimation_init: slice requires bounded support. Setting options_.prior_trunc=1e-10.\n')
+ options_.prior_trunc=1e-10;
+ end
+end
+
+
options_=select_qz_criterium_value(options_);
% Set options related to filtered variables.
--
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