• NewEstimation

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

* Example

• Declaration of a prior for estimated parameter alpha, specified using mean and variance:

alpha.prior(mean=0.3,variance=0.1^2);