Merge remote-tracking branch 'fred@github/master'

Conflicts:
	matlab/initial_estimation_checks.m
	matlab/utilities/tests

matlab/initial_estimation_checks.m

@@ -75,7 +75,12 @@ test_for_deep_parameters_calibration(Model);
 % Evaluate the likelihood.
 ana_deriv = DynareOptions.analytic_derivation;
 DynareOptions.analytic_derivation=0;
+if ~isequal(DynareOptions.mode_compute,11)
   [fval,junk1,junk2,a,b,c,d] = feval(objective_function,xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
+else 
+    b=0;
+    fval = 0;
+end
 DynareOptions.analytic_derivation=ana_deriv;
 
 if DynareOptions.dsge_var || strcmp(func2str(objective_function),'non_linear_dsge_likelihood')
@@ -106,4 +111,6 @@ if any(abs(DynareResults.steady_state(BayesInfo.mfys))>1e-9) && (DynareOptions.p
     error('You should change something in your mod file...')
 end
 
+if ~isequal(DynareOptions.mode_compute,11)
     disp(['Initial value of the log posterior (or likelihood): ' num2str(-fval)]);
+end

matlab/particle/online_auxiliary_filter.m

@@ -85,8 +85,8 @@ small_a = sqrt(1-h_square) ;
 
 % Initialization of parameter particles 
 xparam = zeros(number_of_parameters,number_of_particles) ;
-stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/100 ;
-stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/50 ;
+%stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/100 ;
+stderr = sqrt(bsxfun(@power,bounds(:,2)+bounds(:,1),2)/12)/10 ;
 i = 1 ;
 while i<=number_of_particles
     %candidate = start_param + .001*liu_west_chol_sigma_bar*randn(number_of_parameters,1) ;
@@ -110,6 +110,9 @@ std_xparam = zeros(number_of_parameters,sample_size) ;
 lb95_xparam = zeros(number_of_parameters,sample_size) ;
 ub95_xparam = zeros(number_of_parameters,sample_size) ;
 
+disp(0) 
+disp(start_param)
+    
     %% The Online filter 
 for t=1:sample_size
     disp(t)

matlab/particle/solve_model_for_online_filter.m

@@ -307,11 +307,18 @@ end
 
 ReducedForm.ghx  = dr.ghx(restrict_variables_idx,:);
 ReducedForm.ghu  = dr.ghu(restrict_variables_idx,:);
+ReducedForm.steadystate = dr.ys(dr.order_var(restrict_variables_idx));
+if DynareOptions.order>1
     ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);
     ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
     ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
-ReducedForm.steadystate = dr.ys(dr.order_var(restrict_variables_idx));
     ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
+else 
+    ReducedForm.ghxx = zeros(size(restrict_variables_idx,1),size(dr.kstate,2));
+    ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),size(dr.ghu,2));
+    ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),size(dr.ghx,2));
+    ReducedForm.constant = ReducedForm.steadystate ;
+end
 ReducedForm.state_variables_steady_state = dr.ys(dr.order_var(state_variables_idx));
 ReducedForm.Q = Q;
 ReducedForm.H = H;

tests/particle/dsge_base2.mod

@@ -35,26 +35,39 @@ steady;
 //disp(oo_.mean) ;
 
 estimated_params;
-alp, uniform_pdf,,, 0.0001, 0.5;
+alp, uniform_pdf,,, 0.0001, 0.99;
 bet, uniform_pdf,,, 0.0001, 0.99;
 tet, uniform_pdf,,, 0.0001, 1;
 tau, uniform_pdf,,, 0.0001, 100;
 delt, uniform_pdf,,, 0.0001, 0.05;
-rho, uniform_pdf,,, 0.8, 0.99;
+rho, uniform_pdf,,, 0.0001, 0.99;
 stderr e_a, uniform_pdf,,, 0.00001, 0.1;
 stderr y, uniform_pdf,,, 0.00001, 0.1;
 stderr l, uniform_pdf,,, 0.00001, 0.1;
 stderr i, uniform_pdf,,, 0.00001, 0.1;
 end;
 
+//estimated_params_init;
+//alp, 0.4;
+//bet, 0.99;
+//tet, 0.357 ;
+//tau, 50;
+//delt, 0.02;
+//rho, 0.95 ;
+//stderr e_a, .035;
+//stderr y, .0175;//.00158;
+//stderr l, .00312;//.0011;
+//stderr i, .00465;//.000866;
+//end;
+
 estimated_params_init;
 alp, 0.4;
-bet, 0.97;
-tet, 0.357 ;
-tau, 50;
-delt, 0.02;
-rho, 0.9 ;
-stderr e_a, .035;
+bet, 0.98;
+tet, 0.3;
+tau, 30;
+delt, 0.01;
+rho, 0.85;
+stderr e_a, .03;
 stderr y, .0175;//.00158;
 stderr l, .00312;//.0011;
 stderr i, .00465;//.000866;
@@ -68,20 +81,20 @@ varobs y l i ;
 options_.particle.status = 1;
 options_.particle.initialization = 1;
 options_.particle.pruning = 0;
-options_.particle.number_of_particles = 1000 ;
+options_.particle.number_of_particles = 5000 ;
 options_.particle.resampling.status = 'systematic';
 
-//options_.particle.resampling.method1 = 'traditional' ;
+options_.particle.resampling.method1 = 'traditional' ;
 //options_.particle.resampling.method1 = 'residual' ;
-options_.particle.resampling.method1 = 'smooth' ;
+//options_.particle.resampling.method1 = 'smooth' ;
 
-options_.particle.reampling.method2 = 'kitagawa' ;
-//options_.particle.resampling.method2 = 'stratified' ;
+options_.particle.reampling.method2 = 'kitagawa' ;//'stratified' ;
 
-options_.particle.resampling.number_of_partitions = 1;
 options_.particle.resampling.neff_threshold = .5;
+options_.mode_check.neighbourhood_size = .2 ;
+options_.mode_check.number_of_points = 250;
 
-set_dynare_threads('local_state_space_iteration_2',3);
+//set_dynare_threads('local_state_space_iteration_2',3);
 
 options_.particle.algorithm = 'sequential_importance_particle_filter';
 //options_.particle.algorithm = 'auxiliary_particle_filter';
@@ -94,14 +107,14 @@ options_.particle.IS_approximation_method = 'cubature' ;
 //options_.particle.IS_approximation_method = 'unscented' ;
 
 //options_.particle.approximation_method = 'quadrature' ;
-options_.particle.approximation_method = 'cubature' ;
+//options_.particle.approximation_method = 'cubature' ;
 //options_.particle.approximation_method = 'unscented' ;
 //options_.particle.approximation_method = 'MonteCarlo' ;
 
-//options_.mh_posterior_mode_estimation=1 ;
+options_.mh_posterior_mode_estimation=0 ;
 
 // online
-options_.particle.liu_west_delta = 0.9 ;
+options_.particle.liu_west_delta = 0.99 ;
 options_.mode_check_node_number = 250 ;
 
-estimation(datafile=data_risky_perturb2,nograph,order=2,nobs=100,mh_replic=0,mode_compute=7,mode_check);
+estimation(datafile=data_risky_perturb3,order=1,nograph,nobs=100,mh_replic=0,mode_compute=11);