Hi Jake,
I didn’t merge your changes. To achieve your goal, you don’t need to
introduce a new "vec_float" rule and all the associated logic (by the
way,
we should not use floats but doubles).
A very easy way to achieve the same goal is to use "vec_value" in the
Bison file. It is already used by "o_gsa_threshold_redform" option, and
I think it does what you need. The strings are never converted to
doubles, but we don’t need to have them converted: we just pass them
over to MATLAB.
Please update your changes (which should now become very minimal).
Sorry for the inconvenience.
Best,
Jacob Smith <
jacob.smith@atl.frb.org>
writes:
Hi Michel,
These changes have been pushed.
Jacob Smith
Quantitative Research Analysis Specialist
Federal Reserve Bank of Atlanta
1000 Peachtree St NE
Atlanta, GA 30309-4470
Phone: 404.498.8093
Email: Jacob.Smith@atl.frb.org
On Feb 13, 2011, at 12:41 PM, Michel
Juillard wrote:
Hi Jake,
thanks. I understand now. I looked at
your last changes pushed to dynare-jake.git
1) your changes to ParsingDriver.cc
(+hh) remove void
ParsingDriver::add_steady_state_model_equal_multiple() at the very end
of the file. I don't understand the change
2) There is also a change to spaces in
add_expectation()
3) I prefer the longer option name
"coefficients_prior_hyperparameters" to the more cryptic "sz_prior"
Could you please modify your last
change and push it again?
All the best
Michel
On 02/11/2011 10:11 PM, Jacob Smith
wrote:
Hi Michel,
My apologies for the confusion in
my last email, my addition was to the ms_sbvar options list, so that
the user just adds an option if they want to change the hyper
parameters that relate to the
Sims/Zha prior. I have pushed these changes to the repository.
To use Stephane's example on how
you would modify the hyper-parameters of the ms_sbvar model you would
do the following:
ms_sbvar(datafile = data_59Q2_05Q4,
freq=4,
initial_year=1959,
final_year=2005,
initial_subperiod=2,
final_subperiod=4,
nlags=4,
draws_nbr_modified_harmonic_mean=100,
sz_prior=[1.2,2.1,1.2,2.1,1.2,2.1]
);
The default has been set to
sz_prior = [1.0 1.0 0.1 1.2 1.0 1.0], in the global_initialization.m
file.
Currently there are some bugs in
the repository though that have been introduced by the directories
being renamed. I have not wanted to step on anyone's changes so I
haven't made a commit to fix the
problems with the subdirectories (identification,etc.) in ms-sbvar not
being loaded into the user's path.
I will be happy to make any
modifications that you need if this is not what you would prefer as it
relates to how you specify these hyper-parameters.
Jacob Smith
Quantitative Research Analysis
Specialist
Federal Reserve Bank of Atlanta
1000 Peachtree St NE
Atlanta, GA 30309-4470
Phone: 404.498.8093
Email: Jacob.Smith@atl.frb.org
On Feb 11, 2011, at 3:15 PM, Michel
Juillard wrote:
Hi Jake,
currently, in Dynare, the main
entry point is
swz_sbvar(ms_flag, M, options)
whith
ms_flag = 1: Markov Switching;
=2: simple SBVAR
M: parameters from the *.mod
file (probably the only one that one needs is M.fname)
options: all options
1) we should rename swz_sbvar()
to ms_sbvar() and make other changes required by the renaming of the
directory
2) your example seems to have
only a small list of options, how do you pass the other ones that are
listed on the wiki?
All the best,
Michel
On 02/11/2011 04:01 PM, Jacob
Smith wrote:
Hi Stephane,
I have added this
capability to the version I was working on with other changes for the
new code from Dan. Currently I had named the option 'sz_prior' but
could
easily change it to the
name you suggest Michel. It allows the user to to specify a vector of 6
floats, like so:
ms_sbvar(datafile = data,
freq=4,initial_year=1959,
final_year=2005,
nlags=5,
draws_nbr_modified_harmonic_mean=10000,
sz_prior=[1.2,1.1,1.2,1.1,1.2,1.1]);
I will be happy to push the
changes to the preprocessor along with the changes to some Matlab files
to use these options to the Dynare repository.
Jacob Smith
Quantitative Research
Analysis Specialist
Federal Reserve Bank of
Atlanta
1000 Peachtree St NE
Atlanta, GA 30309-4470
Phone: 404.498.8093
Email: Jacob.Smith@atl.frb.org
On Feb 11, 2011, at 7:32
AM, Michel Juillard wrote:
Hi Stephane,
thanks for reporting
the problem. I think that we should do both as we have only suggested
priors for monthly and quarterly. The code should fail and ask the
user to set his/her own
values for the mu's when the frequency is not monthly or quarterly.
I suggest to call the
option "coefficients_prior_hyperparameters" and require the user to
supply a vector of 6 real numbers.
Please, always include houtan.bastani@ens.fr
in the messages relative to this project.
Best
Michel
On 2/11/2011 1:20 PM,
T. Zha wrote:
Jake:
Please investigate
the following problem.
Thank you.
Tao
---------
On Feb 11, 2011, at
5:35 AM, <Stephane.LHUISSIER@banque-france.fr>
<Stephane.LHUISSIER@banque-france.fr>
wrote:
Dear Michel and Tao,
The dynare
interface does not let the user to change the prior specification on
SBVAR coefficients. In the file “msstart_setup” (from line 112), you
can see
that the priors
(mu) are defined for monthly data. If the user wants to use quarterly
data, he has to change the values of mu_i directly on this file.
In order to improve
this, I think that two solutions are possible :
1) Adding an
interface in dynare for defining its own values.
2) Following
Sims and Zha (1998) ‘s suggestions and in this case, here is an example
:
% === The following
mu is effective only if options_.ms.bayesian_prior==1.
if
(options_.ms.freq==12)
mu = zeros(6,1);
% hyperparameters
mu(1) = 0.57;
mu(2) = 0.13;
mu(3) = 0.1;
mu(4) = 1.5;
mu(5) = 5;
mu(6) = 5;
elseif
(options_.ms.freq==4)
mu = zeros(6,1);
% hyperparameters
mu(1) = 1;
mu(2) = 1;
mu(3) = 0.1;
mu(4) = 1;
mu(5) = 1;
mu(6) = 1;
else
disp('Warning:
this code is only good for monthly/quarterly data!!!')
return
end
Stéphane
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