PS: Re naming suggestions:  As  M_.params is updated too in the 50-123 block, name update_params is also adequate though something like updateQHMparams() would still be more precise .
----- Original Message -----
From: G. Perendia
To: List for Dynare developers
Sent: Monday, September 21, 2009 10:27 AM
Subject: Re: [DynareDev] Proposed specification for estimation functions

Thanks Stephane
 
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.

Best regards
 
George
 
----- Original Message -----
From: Stéphane Adjemian
To: List for Dynare developers
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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