From 214dc747237b8a3ddce4267039ada25d0ab2f0e6 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Wed, 1 Apr 2015 09:00:51 +0200
Subject: [PATCH] - Fixed bugs around analytic derivation. - Fixed test
routine, eliminating diffuse filter. - Trapped incompatibility of diffuse
filter with analytic derivation.
---
matlab/dsge_likelihood.m | 2 +-
matlab/dynare_estimation_init.m | 3 +++
matlab/optimization/dynare_minimize_objective.m | 3 ---
tests/analytic_derivatives/fs2000_analytic_derivation.mod | 8 +++++---
4 files changed, 9 insertions(+), 7 deletions(-)
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 7ac8114169..aae1224e4e 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -631,7 +631,7 @@ if analytic_derivation,
analytic_deriv_info={analytic_derivation,DT,DYss,DOm,DH,DP,asy_Hess};
else
analytic_deriv_info={analytic_derivation,DT,DYss,DOm,DH,DP,D2T,D2Yss,D2Om,D2H,D2P};
- clear DT DYss DOm DH DP D2T D2Yss D2Om D2H D2P,
+ clear DT DYss DOm DP D2T D2Yss D2Om D2H D2P,
end
else
analytic_deriv_info={0};
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index e54618a7ba..eab7b8b7e1 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -442,6 +442,9 @@ else
end;
if options_.analytic_derivation,
+ if options_.lik_init == 3,
+ error('analytic derivation is incompatible with diffuse filter')
+ end
options_.analytic_derivation = 1;
if ~(exist('sylvester3','file')==2),
dynareroot = strrep(which('dynare'),'dynare.m','');
diff --git a/matlab/optimization/dynare_minimize_objective.m b/matlab/optimization/dynare_minimize_objective.m
index b345b8d552..4113bf1199 100644
--- a/matlab/optimization/dynare_minimize_objective.m
+++ b/matlab/optimization/dynare_minimize_objective.m
@@ -178,9 +178,6 @@ switch minimizer_algorithm
end
[opt_par_values,hessian_mat,gg,fval,invhess] = newrat(objective_function,start_par_value,analytic_grad,crit,nit,0,varargin{:});
%hessian_mat is the plain outer product gradient Hessian
- if options_.analytic_derivation %Hessian is already analytic one, reset option
- options_.analytic_derivation = ana_deriv;
- end
case 6
[opt_par_values, hessian_mat, Scale, fval] = gmhmaxlik(objective_function, start_par_value, ...
Initial_Hessian, options_.mh_jscale, bounds, prior_information.p2, options_.gmhmaxlik, options_.optim_opt, varargin{:});
diff --git a/tests/analytic_derivatives/fs2000_analytic_derivation.mod b/tests/analytic_derivatives/fs2000_analytic_derivation.mod
index c4f2a74799..3dc8b7ad04 100644
--- a/tests/analytic_derivatives/fs2000_analytic_derivation.mod
+++ b/tests/analytic_derivatives/fs2000_analytic_derivation.mod
@@ -61,7 +61,7 @@ alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
-rho, beta_pdf, 0.129, 0.223;
+rho, beta_pdf, 0.129, 0.1;
psi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
@@ -74,5 +74,7 @@ options_.solve_tolf = 1e-12;
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=2,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
-estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=3,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
-estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=4,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
\ No newline at end of file
+estimation(order=1,mode_compute=4,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
+estimation(order=1,mode_compute=4,analytic_derivation,kalman_algo=2,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
+//estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=3,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
+//estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=4,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
\ No newline at end of file
--
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