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* | * Declaration of the subsamples or regimes (must preceed the declaration of the priors): {{{ alpha.subsamples(name1=1950Q3:1957:4, name2=1958Q1:1999Q2, name3=, }}} |
New Estimation Interface
Suggestions for a simplification of the estimation interface in Dynare and breaking very general commands with lots of options in several commands with more targeted scope.
estimated_params
Rely on options names rather than argument position in the command line. This new interface would replace estimated_params_bounds and estimated_params_init. The following option names would be necessary:
- prior_shape
- Specification of the prior distribution. Name of the prior distribution.
- prior_mean
- Specification of the prior distribution. Mean of the prior distribution.
- prior_stdev
- Specification of the prior distribution. Standard deviation of the prior distribution.
- prior_variance
- Specification of the prior distribution. Variance of the prior distribution.
- prior_mode
- Specification of the prior distribution. Mode of the prior distribution.
- prior_interval(lower_bound,higher_bound,percentage)
- Specification of prior distribution from the cumulative distribution function.
- lower_location
- upper_location
- jscale (Metropolis proposal scaling for a single parameter, little used)
- init_val (for the optimization routine)
- boundaries=(lb,ub)
- this would replace estimated_params_bounds and estimated_params_init
Syntax examples
The following instructions given as examples are to be used within the estimated_params block.
- Declaration of a prior for estimated parameter alpha, specified using mean and variance:
alpha.prior(shape=beta,mean=0.3,variance=0.1^2);
- Declaration of a prior for estimated parameter alpha, specified using the cumulative distribution function:
alpha.prior(shape=beta,interval=(0.2,0.4,.9);
- with this syntax the prior is such that 90% of the prior mass lies between 0.2 and 0.4.
- Declaration of the subsamples or regimes (must preceed the declaration of the priors):
alpha.subsamples(name1=1950Q3:1957:4, name2=1958Q1:1999Q2, name3=,