Re: 3&4) Sorry for confusion: Overlapping
variables refer to the results of Kalman from the previous period
sub-sample block such as a(t|t-1) and
P(t|t-1) and will not they be used as starting point entries for the next period
block estimation. However, I am not sure if then their "meaning" for the
next sub-sample may be distorted by separate data filtering
(DataPreparation) for that sub-sample.
I am however also not sure if I can take this into C++ DsgeLikelihood as
yet in full - there are many unresolved items (and even more not yet
properly understood by me, see below) - but I can at least start
building bones for its future integration.
E.g. have quite
a few more questions:
5) How are we going to calculate and report
overall (or sub-sample?) likelihood(s) to the parameter
optimising/sampling DsgeLikelihood driving function (eg
csminwel, fminunc or MCMC
MH) and how to get it to optimise/sample parameters for
different sub-samples? Or, is the parameter differentiation
parametric/functional and planned to be included in "update_parameters" block?
6) How will the system know which
name structure to target ID1 if "ID1 is a n by 1 vector of indices targeting to the
(parameter, exogenous variable or endogenous variable) names (in M_.param_names,
M_.exo_names and M_.endo_names"
7) If "the considered subsamples for different
parameters may be different", then I believe we need to split the data
subsamples and the estimation blocks into shorter common
sub-samples.
I.e., when you say: "xparam1 is a column n by
1 vector holding the current values of the estimated parameters" does "current"
mean value at time t such that max(StartPeriod)< t < min(EndPeriod) for
the set?
8) Are priors
time-dependent, defined for each sub-sample (or the time slot of the
parameter? Are they updated on the run, conditional on previous
sub-sample or preset?
9) what do nv*_id
nv* by 1 vector of integers represent? If shock IDs, then how the nv*
shocks/errors can be linked to individual params' periods. I.e.
are they time dependent too and if not, what is their role
in this time-slot-dependent structure?
10) In the loop you refer to "NP" as number of
periods: "LOOP on periods 1 to NP"
but in the structure (lowercase) "np" seem to refer to the number
of deep parameters- use of same word/literal (despite of the case
difference) may be a bit confusing
11) which
optimiser is the method of indirect inference in
Dynare?
May I also make some suggestions?
re 4) Block of lines 50-123 updates and checks
shocks and obs. errors cov kalman matrices Q and H using relevant subsets
of the parameters vector xparam1 (but not changing xparam1). I believe a
more precise and descriptive name for the block (e.g. updateQH() or
updateShocksAndErrorMatrices() or something on those lines) may be
less confusing with e.g. generating or updating the whole new set of all
parameters.
Also, DataCleanup, DataDetrend or DataPreparation instead of
"data_filtering()" I believe may be less confusing with e.g. Kalman
filtering.
I hope this helps to clarify rather than confuse the issues even
more.
----- Original Message -----
Sent: Friday, September 18, 2009 12:09
PM
Subject: Re: [DynareDev] Proposed
specification for estimation functions
Hi,
I am not sure that it would be a good idea to implement the
unexpected breaks stuff in the c++ version of the DsgeLikelihood... Because
it's a new feature and we have no experience with it.
I Changed Period1 to StartPeriod and Period2 to EndPeriod, thanks for the
suggestion.
In the data filtering step we remove the "deterministic part" of the data
(constant and linear trends), so that we do not have to treat this in the
kalman filter recursions. This is already done like this in the matlab version
of DsgeLikelihood.
I do not understand 3) and 4). What is an overlapping variable.
The parameter update step corresponds to block between lines 50 to 123 in
DsgeLikelihood.m
I think that we do have a c version of the sims
optimization routine (provided by Tao
Zha).
Best,
Stéphane.
2009/9/18 G. Perendia
<george@perendia.orangehome.co.uk>
Hi
I
would like to start implementing period-dependent likelihood
calculation
within the new C++ DsgeLikelihood but that will add a bit of
time.
1) I suggest that parameters description is defined by Start
(or
StartPeriod) and End (or EndPeriod) instead of
a.. Period1
(beginning of sub-period)
a.. Period2 (end of sub-period)
respectively
because we may have more than 2 periods and using terms Period1
and 2 as
delimiters for other periods can bee a bit confusing in the
context
(as it did confuse me for a start) .
2) What is data_filtering (for
period 1) step as opposed to Kalman filter -
is it Kalman smoother? We
have no working C++ implementation for smoother as
yet.
3) Would
it be right to say that the new period divided likelihood
estimation
requires overlapping variables Y(-/+n) for n>0 among the
sub-period
blocks?
4) What is parameters update? Is it param likelihood, hill
climbing
optimisation (or MCMC step) for each sub-period block
separately
(conditional on the previous period block?)? We do not have
working
optimiser in C++ yet.
4) Would the interim
period-blocks' Kalman inputs be a(t|t-1) and P(t|t-1)
as well as
overlapping variables Y(-/+n) for n>0 from previous block
Kalman
output?
Best
regards
George
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Stéphane Adjemian
CEPREMAP & Université du
Maine
Tel: (33)1-43-13-62-39
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