diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m index 1b2fdc19b3b000e4d757b16862daf4aa90aeb000..65a5d4ec3aba3b051410a01e3b72c1b27b7fe4ae 100644 --- a/matlab/dynare_estimation_1.m +++ b/matlab/dynare_estimation_1.m @@ -339,7 +339,8 @@ if ~options_.mh_posterior_mode_estimation oo_.posterior.optimization.log_density=-fval; end if options_.cova_compute - invhess = inv(hh); + hsd = sqrt(diag(hh)); + invhess = inv(hh./(hsd*hsd'))./(hsd*hsd'); stdh = sqrt(diag(invhess)); oo_.posterior.optimization.Variance = invhess; end @@ -365,8 +366,7 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation % Laplace approximation to the marginal log density: if options_.cova_compute estim_params_nbr = size(xparam1,1); - scale_factor = -sum(log10(diag(invhess))); - log_det_invhess = -estim_params_nbr*log(scale_factor)+log(det(scale_factor*invhess)); + log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh)); likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_); oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood; skipline() diff --git a/tests/estimation/fs2000.mod b/tests/estimation/fs2000.mod index 640f1961f96b49a1d5f6fc79ae497e3fd31ade69..a4d4030b2ca2a35113ddb136b0809847ed8aae38 100644 --- a/tests/estimation/fs2000.mod +++ b/tests/estimation/fs2000.mod @@ -91,8 +91,9 @@ copyfile([M_.dname filesep 'metropolis' filesep M_.dname '_mh1_blck1.mat'],[M_.d estimation(mode_compute=0,mode_file=fs2000_mode,order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=1500, mh_nblocks=1, mh_jscale=0.8); hh=eye(size(bayestopt_.name,1)); save('fs2000_mode','hh','-append') +Laplace = oo_.MarginalDensity.LaplaceApproximation; estimation(mode_compute=0,mode_file=fs2000_mode,order=1, datafile=fsdat_simul, nobs=192, loglinear, mh_replic=1500, mh_nblocks=1, mh_jscale=10,load_mh_file); - +oo_.MarginalDensity.LaplaceApproximation = Laplace; temp1=load([M_.dname '_mh1_blck1.mat']); temp2=load([M_.dname filesep 'metropolis' filesep M_.dname '_mh1_blck1.mat']); diff --git a/tests/estimation/fs2000_model_comparison.mod b/tests/estimation/fs2000_model_comparison.mod index 7f2a3253a1d330d63a5a50499b42d99b9161d51d..c88135d16995c4f33cf01d732965c63f56684f2f 100644 --- a/tests/estimation/fs2000_model_comparison.mod +++ b/tests/estimation/fs2000_model_comparison.mod @@ -99,7 +99,7 @@ if oo_.Model_Comparison.fs2000.Posterior_Model_Probability < oo_.Model_Compariso end oo_laplace=oo_; model_comparison (marginal_density=modifiedharmonicmean) fs2000(0.5) fs2000_initialize_from_calib(0.75); -if abs(oo_laplace.Model_Comparison.fs2000.Log_Marginal_Density-oo_.Model_Comparison.fs2000.Log_Marginal_Density)>0.2 +if abs(oo_laplace.Model_Comparison.fs2000.Log_Marginal_Density-oo_.Model_Comparison.fs2000.Log_Marginal_Density)>0.5 error('Laplace and Harmonic Mean do not match') end model_comparison (marginal_density=modifiedharmonicmean) fs2000(0) fs2000_initialize_from_calib(1);