Forecasting with Vintage data

[jpfeifer]

Sorry, my mistake. For lower values of eta, the model cannot be solved anymore. You need to find out why this is the case. Is it the steady state? The BK-conditions?

[lelos]

The thing is that model assumes zero steady states. Think I have to look at the BK conditions.

By the way could you please tell me the difference between

Code: Select all

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

and

Code: Select all

eta, ,1, ,gamma_pdf,1.5,0.75

??

Thank you

[jpfeifer]

The first one uses a generalized distribution, i.e. moves the original support from [0,Inf) to [1, Inf). Therefore, the mode will also be shifted to the right.
The second one uses the standard distribution, but truncates it from below at 1. The mode will thus still be at the same location.

[lelos]

ok, so returning back to my recursive estimations and forecasts calling everytime a different vintage data set. In order to save some time in the estimation process I want to compute the mode in the first estimation and then load it and doing some extras draws in the second, third, forth,..... estimations until sample exhausts.

Is it correct if I do the following:

Code: Select all

estimation(mode_compute = 6, mh_replic = 500000,nobs=110,.........)

for the 1st estimation

Code: Select all

estimation(mode_file=Recursive_run_2, load_mh_file, mode_compute = 0, mh_replic = 100000,nobs=111,............)

for the second

Code: Select all

estimation(mode_file=Recursive_run_2, load_mh_file, mode_compute = 0, mh_replic = 100000,nobs=112,...........)

for the third etc. ??????

Much appreciated

[jpfeifer]

This is tricky. You actually want to recompute the mode and run a new MCMC, all while starting at the old mode for mode-finding (using a fast Newton-type mode-finder as the updated mode should be close).

Simply starting at the old mode and continuing the old chain will most probably result in large convergence problems.

[lelos]

You actually want to recompute the mode and run a new MCMC, all while starting at the old mode for mode-finding (using a fast Newton-type mode-finder as the updated mode should be close).

So,

Code: Select all

estimation(mode_compute = 9, mh_replic = 500000,nobs=110,.........)

Code: Select all

estimation(mode_file=Recursive_run_2, mode_compute = 4, mh_replic = 500000,nobs=111,............)

Code: Select all

estimation(mode_file=Recursive_run_2, mode_compute = 4, mh_replic = 500000,nobs=112,...........)

etc.

1. Is that what you recommend ? the mode_compute followed by the mode_file means that we load previous mode and then continue from there using a different mode-finder?

2. Keepign commands like that, the 3rd estimation will load the mode from the 1st one and continue upon it, correct? will not use the mode from the 2nd one.

3. A fast Newton-type mode-finder could be (Sims's - 4) ??

Much appreciated

[jpfeifer]

1.) Almost, I meant keeping the default the default name of the mode-file. That way the created mode-file will be loaded in each subsequent step.
2.) See 1)
3.) Yes, mode_compute=4 is fine.

You also might want to set the

Code: Select all

dirname

option in the estimation command to prevent previous runs from being overwritten

[lelos]

Thank you for the help and patience.

Do you have any link to share on how 'dirname' is used and exactly does, cause I cant find it anywhere.

Thank you

[jpfeifer]

See the manual of the unstable version