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== set_time ==

== dataset ==
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 * Declaration of the subsamples or regimes (must preceed the declaration of the priors):  * Declaration of the subsamples (must preceed the declaration of the priors):
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     alpha.subsamples(name1=1950Q3:1957:4, name2=1958Q1:1999Q2, name3=,
}}}
     alpha.subsamples(name1=1950Q3:1957Q4, name2=1958Q1:1983Q2, name3=1983Q3:2011Q2)
}}}
 * Declaration of alpha's prior over different subsamples (must follow the declaration of the subsamples):
{{{
     alpha.name1.prior(shape=normal,mode=0.30,stdv=.01);
     alpha.name2.prior(shape=normal,mode=0.33,stdv=.01);
     alpha.name2.prior(shape=normal,mode=0.40,stdv=.01);
}}}

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.

set_time

dataset

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 (must preceed the declaration of the priors):

     alpha.subsamples(name1=1950Q3:1957Q4, name2=1958Q1:1983Q2, name3=1983Q3:2011Q2) 
  • Declaration of alpha's prior over different subsamples (must follow the declaration of the subsamples):

     alpha.name1.prior(shape=normal,mode=0.30,stdv=.01);
     alpha.name2.prior(shape=normal,mode=0.33,stdv=.01);
     alpha.name2.prior(shape=normal,mode=0.40,stdv=.01);

DynareWiki: NewEstimation (last edited 2012-03-26 15:15:22 by HoutanBastani)