Following on my visit to JRC/Ispra, I started looking at the possibility to use Dynare as a front end for DMM http://http://ipsc.jrc.ec.europa.eu/fileadmin/repository/sfa/finepro/softwar... A program for Bayesian estimation of dynamic mixture models developped by G. Fiorentini, C. Planas and A. Rossi.
Doing so, I found some difficulties with the new estimation interface that we had discussed and implemented recently. I don't know how much freedom do we have still to modify elements of this interface.
1) regime is an attribute of a parameter that doesn't belong to its prior: a parameter can be calibrated with different values in different regimes 2) I suggest to introduce instead a regime() keyword at the same logical level as prior() as well as a value() keyword. So as to have alpha.prior(......).regime(1) alpha.prior(......).regime(2)
or, for calibrated paramters
beta.value(0).regime(1) beta.value(1.5).regime(2)
3) of course, it would be odd, to list calibrated parameters in the estimated_params block, but, maybe handy, to authorize it to help people who alternate between calibrating and estimating a given parameter in the model construction phase. I suggest to put the dot syntax for parameter specification in a parameters block that would be an alternative to the parameters line.
4) replacing the estimated_params block by a parameter block. All parameters with prior specification would be estimated. We need a keyword equivalent to prior() for maximum likelhood, maybe maxlik() with sub-options for initial values and possible bounds.
5) We should allow for chained dot expressions as above or several line with different elements specified on different lines as long as it is not ambiguous or contradictory with a previous specification.
6) When a parameter has been specified with a regime keyword, it should always be referred to with a regime() keyword except if the new specification can be valid for all keywords.
I think that such changes would be also useful for MS-dsge models. Is it still possible to introduce them at low cost? If that the case, I would work on a more developed specification on a Wiki page.
Best