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jmaih / RISE_toolbox

Solution and estimation of Markov Switching Rational Expectations / DSGE Models
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A simple question about "parameterization" #47

Closed zhuzixiang closed 7 years ago

zhuzixiang commented 7 years ago

Dear Junior,

I just want to know what does each entry represent in parameterization. For example, in the example “volatilityOnly_expanded”, there are:

.... parameterization tau , 0.5376, 0.1000, 0.5000, gamma_pdf(.90); kappa , 0.5800, 0.0500, 1.0000, gamma_pdf(.90); beta_trans , 0.1000, 0.2000, 0.4000, beta_pdf(.90); ...

What does "0.5376" mean? Is it initial prior value? What do "0.1000" and "0.5000" mean respectively? Are they the lower bound and upper bound of 90 percent confidence interval of gamma_pdf?

Thanks! Zixiang Zhu

jmaih commented 7 years ago

Hi Zixiang,

Why are you so smart? :)

Your intuition is exactly right. You don't need me to understand the notation.

If you want to set things in terms of means and standard deviations instead, you can also do that. In that case the syntax is

paramName , start, mean, standardDev, distrib;

while the other syntax is

paramName , start, LQ, UQ, distrib(prob);

So then, the interpretation of the 3rd and 4th elements depend on whether there is a parenthesis after the distribution or not.

Cheers,

Junior

-- "You can never know everything", Lan said quietly, "and part of what you know is always wrong. Perhaps even the most important part. A portion of wisdom lies in knowing that. A portion of courage lies in going on anyway." Robert Jordan, Winter's Heart, Book IX of the Wheel of Time.

We have not succeeded in answering all of our problems. The answers we have found only serve to raise a whole set of new issues. In some ways we are as confused as ever, but we believe we are confused on a higher level and about more important things. (cited in Øksendal, 1985)

On Sat, Mar 25, 2017 at 8:10 AM, Zhu, Zixiang notifications@github.com wrote:

Dear Junior,

I just want to know what does each entry represent in parameterization. For example, in the example “volatilityOnly_expanded”, there are:

.... parameterization tau , 0.5376, 0.1000, 0.5000, gamma_pdf(.90); kappa , 0.5800, 0.0500, 1.0000, gamma_pdf(.90); beta_trans , 0.1000, 0.2000, 0.4000, beta_pdf(.90); ...

What does "0.5376" mean? Is it initial prior value? What do "0.1000" and "0.5000" mean respectively? Are they the lower bound and upper bound of 90 percent confidence interval of gamma_pdf?

Thanks! Zixiang Zhu

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/jmaih/RISE_toolbox/issues/47, or mute the thread https://github.com/notifications/unsubscribe-auth/ACagz9ctrvTOXjSjH8ArM5UzEBYeF1kBks5rpL3ygaJpZM4Mo_iR .

zhuzixiang commented 7 years ago

Thanks again:) I closely follow your example volatilityOnly_expanded.dsge in Zhatao's tutorials 2 and write my code. The first several parts seem run smoothly but the estimation parts go wrong:

-------------------------------------------------------------- ---------Estimation of volatilityOnly_zhu model----------- -------------------------------------------------------------- Error using levenbergMarquardt (line 16) Objective function is returning undefined values at initial point. lsqnonlin cannot continue.

Error in lsqncommon (line 162) [xC,FVAL,JACOB,EXITFLAG,OUTPUT,msgData] = ...

Error in lsqnonlin (line 237) [xCurrent,Resnorm,FVAL,EXITFLAG,OUTPUT,LAMBDA,JACOB] = ...

Error in dsge/compute_steady_state>optimization_center (line 864) [ssc1,resnorm,~,exitflag]=lsqnonlin(objfun,ssc0,[],[],optimopt);

Error in dsge/compute_steady_state>divide_and_conquer (line 665) [z,retcode]=optimization_center(@small_system,z0,arg_zero_solver,optimopt);

Error in dsge/compute_steady_state>run_one_regime (line 426) [y,g,p,r,retcode]=divide_and_conquer(y0,g0,p,x,d,unsolved,dq_blocks);

Error in dsge/compute_steady_state (line 246) [y(:,istate),g(:,istate),r(:,istate),p(:,istate),retcode]=...

Error in dsge/solve/solve_zeroth_order (line 533) [obj,structural_matrices,retcode]=compute_steady_state(obj);

Error in dsge/solve (line 300) retcode=solve_zeroth_order();

Error in likelihood_markov_switching_dsge (line 31) [obj,retcode]=solve(obj);

Error in generic/log_posterior_kernel (line 53) [log_lik,Incr,retcode,obj]=likelihood_func(param,obj);

Error in generic/estimation_wrapper/fh_wrapper (line 154) [fval(mo),~,~,~,retcode,obj(mo)]=log_posterior_kernel(obj(mo),x);

Error in generic/estimation_wrapper (line 111) [f1,retcode_0,max_pen]=fh_wrapper(x0);

Error in generic/find_posterior_mode (line 44) [x0(:,1),f0(1),~,retcode0,viol,obj,funevals]=estimation_wrapper(obj,[],x0(:,1),lb,ub,funevals);

Error in generic/estimate (line 283) [x1,f1,H,x0,f0,viol,funevals,issue,obj]=find_posterior_mode(obj,x0,lb_short,ub_short); %#ok

Error in dsge/estimate (line 47) obj=estimate@generic_switch(obj,varargin{:});

Error in zhu (line 85) estim_models{imod}=estimate(estim_models{imod},'optimizer','fmincon');

Here are the attached code and data: [Uploading china_1992Q2_2015Q4.zip…]()

Is it because my prior design inappropriate?

Best, Zixiang Zhu

jmaih commented 7 years ago

I can't see your attachments...

-- "You can never know everything", Lan said quietly, "and part of what you know is always wrong. Perhaps even the most important part. A portion of wisdom lies in knowing that. A portion of courage lies in going on anyway." Robert Jordan, Winter's Heart, Book IX of the Wheel of Time.

We have not succeeded in answering all of our problems. The answers we have found only serve to raise a whole set of new issues. In some ways we are as confused as ever, but we believe we are confused on a higher level and about more important things. (cited in Øksendal, 1985)

On Sat, Mar 25, 2017 at 4:21 PM, Zhu, Zixiang notifications@github.com wrote:

Thanks again:) I closely follow your example volatilityOnly_expanded.dsge in Zhatao's tutorials 2 and write my code. The first several parts seem run smoothly but the estimation parts go wrong:

-------------------------------------------------------------- ---------Estimation of volatilityOnly_zhu model----------- -------------------------------------------------------------- Error using levenbergMarquardt (line 16) Objective function is returning undefined values at initial point. lsqnonlin cannot continue.

Error in lsqncommon (line 162) [xC,FVAL,JACOB,EXITFLAG,OUTPUT,msgData] = ...

Error in lsqnonlin (line 237) [xCurrent,Resnorm,FVAL,EXITFLAG,OUTPUT,LAMBDA,JACOB] = ...

Error in dsge/compute_steady_state>optimization_center (line 864) [ssc1,resnorm,~,exitflag]=lsqnonlin(objfun,ssc0,[],[],optimopt);

Error in dsge/compute_steady_state>divide_and_conquer (line 665) [z,retcode]=optimization_center(@smallsystem,z0,arg zero_solver,optimopt);

Error in dsge/compute_steady_state>run_one_regime (line 426) [y,g,p,r,retcode]=divide_and_conquer(y0,g0,p,x,d,unsolved,dq_blocks);

Error in dsge/compute_steady_state (line 246) [y(:,istate),g(:,istate),r(:,istate),p(:,istate),retcode]=...

Error in dsge/solve/solve_zeroth_order (line 533) [obj,structural_matrices,retcode]=compute_steady_state(obj);

Error in dsge/solve (line 300) retcode=solve_zeroth_order();

Error in likelihood_markov_switching_dsge (line 31) [obj,retcode]=solve(obj);

Error in generic/log_posterior_kernel (line 53) [log_lik,Incr,retcode,obj]=likelihood_func(param,obj);

Error in generic/estimation_wrapper/fh_wrapper (line 154) [fval(mo),,,~,retcode,obj(mo)]=log_posterior_kernel(obj(mo),x);

Error in generic/estimation_wrapper (line 111) [f1,retcode_0,max_pen]=fh_wrapper(x0);

Error in generic/find_posteriormode (line 44) [x0(:,1),f0(1),~,retcode0,viol,obj,funevals]=estimation wrapper(obj,[],x0(:,1),lb,ub,funevals);

Error in generic/estimate (line 283) [x1,f1,H,x0,f0,viol,funevals,issue,obj]=findposterior mode(obj,x0,lb_short,ub_short); %#ok

Error in dsge/estimate (line 47) obj=estimate@generic_switch(obj,varargin{:});

Error in zhu (line 85) estim_models{imod}=estimate(estim_models{imod},'optimizer','fmincon');

Here are the attached code and data: Uploading china_1992Q2_2015Q4.zip…

Is it because my prior design inappropriate?

Best, Zixiang Zhu

— You are receiving this because you commented. Reply to this email directly, view it on GitHub https://github.com/jmaih/RISE_toolbox/issues/47#issuecomment-289218326, or mute the thread https://github.com/notifications/unsubscribe-auth/ACagzzxzHlysK_8SzDDKgQ08ja7nxY_xks5rpTDcgaJpZM4Mo_iR .