Forecasting with Vintage data

[lelos]

I see, So I will find the mode with my first vintage dataset and then I will load it for the rest sequential estimation commands. But I have a question. How can I judge If the first mode makes sense? How do I see that ??

Many thanks

[jpfeifer]

Look at the mode_check plots and the trace_plots of the MCMC to see whether the first mode works well.

[lelos]

The problem is that my code is running right now without the mode_check included in the estimation command. Also I havent included the trace_plot in my code. Is there any way to generate those graphs after my code finishes or I should include these commands and re-run it???

Many thanks

[jpfeifer]

Both can be generated after an estimation run. The problem will be that your repeated calls to estimation will overwrite previous results. Therefore you will only have access to the last estimation command.

[lelos]

I have stopped the repeated estimations because each time i was computed the mode from the scratch (and as you suggested I will load the mode_file of the first estimation). So right now I run my code doing only the first estimation (using the first vintage data set), so I make sure that the mode is computed well. And if everything looks fine I will run the code with the repeated estimations loading the mode from the first estimation each time.

So could you please tell me how can I generate both graph after my estimation ends?

Many thanks

[jpfeifer]

Add the

Code: Select all

mode_check

option to the estimation command. If you are using the most recent unstable version, you can use the

Code: Select all

generate_trace_plots

command. See the manual.

[lelos]

by jpfeifer » Sat Aug 27, 2016 8:52 am

Both can be generated after an estimation run.

So I was just asking how can I generate these plots after finishing an estimation run (which estimation command did not include the mode_check option or the trace_plot after it).

Many thanks

[jpfeifer]

You should be able to manually execute something like

Code: Select all

global M_ options_ estim_params_
load name_results
generate_trace_plots(chain_number)

in the Matlab command window, where chain_number is the number of the MCMC you want to plot. Usually it should be 1. name_results is the results file you need to load.

[lelos]

Dr Pfeifer,

Could you please have a look at the mode_check plots ?? In most of them the vertical lies around the max of the blue Iine.I also have some red dots in 6 out of 36 plots-figuges. Do you think that this mode_compute looks ok for loading it for the next repeated estimation commands?

Much appreciated

[jpfeifer]

Most of them look fine, but for eta you have got a corner solution. That is a problem. Try to find out where this comes from.

[lelos]

Well, 'eta' is the elasticity of substitution between domestic and foreign goods. The prior I use for eta is: gamma_pdf, 1.5, 0.75.

Does this look wrong? How should I think the source of this problem??

Many thanks

[jpfeifer]

If your parameter runs to the bound, either change the bound or fix the parameter at this value. But before trying this, try to understand why the data prefer this particular low value.

[lelos]

I see...If I change the prior mean closer to this posterior mean would that help at all?

[jpfeifer]

No, because you would still be at the bound. Only moving the bound would help - or a prior mode that is a lot higher

[lelos]

Excuse me Prof. I have some basic questions in order to fully understand the problem.

1. What do you mean by saying 'a corner solution' ? Do you mean that the estimated mode can not be reached and we should wide the domain-support so we reach it?

2. So far I am using a gamma_pdf, 1.5, 0.75 with a default support (0,inf). What I see in the mode_check plot, the vertical teal line crosses the x-axis at the 0.5 point. But 0.5 is inside the support domain already, so why do we have to expand the bounds ?? Think I miss something here.

3. And how to judge-find the point at which we should set the lower bound ?

3. What is the difference between:

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eta, , , ,gamma_pdf,1.5,0.75,1

and

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eta, ,1, ,gamma_pdf,1.5,0.75

??? I am little bit confused here since It looks the same to me.

Much appreciated