Dev June 2013

dev@dynare.org

6 participants
35 discussions

Re: [DynareDev] Brooks/Gelman
by stepan＠dynare.org 13 Jun '13

13 Jun '13

Hi, This is very old... I was not able to follow the link on the forum. *The short answer* It's not a bug, it's a feature! *The Long answer* The multivariate test in Dynare *is not* the one proposed by Brooks/Gelman. In the first releases of the estimation module of Dynare, we implemented exactly what is described by Brooks/Gelman but it was (at that time) very slow. Then we switched to another aggregation of the univariate mcmc draws using the value of the posterior kernel (which is a function from the space of the parameters to the real line) instead of the largest eigenvalue of a covariance matrix. The advantage is that it is much faster and (at least for me) intuitive (because in the end we are interested in the whole shape of the likelihood not only some moments of the parameters). The disadvantage is that we loose the nice property of the Brooks/Gelman index: our multivariate diagnostic is not an upper bound of the univariate diagnostics. I did not check seriously, but I think that the manual says nothing about these diagnostics. The user guide gives some informations about the multivariate diagnostic that are clearly wrong... We should complete the manual in this regard. Even if it is a feature (not a bug) we should add the Brooks and Gelman multivariate diagnostic and take this as an opportunity to add other diagnostics. Best, Stéphane. Michel Juillard <michel.juillard(a)mjui.fr> writes: > Hi Johannes, > > I don't remember this code. Looking at Git history, it was written 10 > years ago, when we were still under CVS. I don't have that history handy. I don't understand either the multivariate formula. I would > have expected to see the largest eigenvalue to be used. > > If Stéphane and Marco, who have also worked on the code, agree, I would > mark it as a bug and work on it again. In any case, there is a default > in Dynare implementation: it doesn't show the size of the ratio which is > the real statistic of the test. It may also be the opportunity to add > other diagnostic tests. > > Best > > Michel > > Johannes Pfeifer writes: > >> Please find it attached. >> >> >> -- >> Johannes Pfeifer >> Haußerstr. 29 >> 72076 Tübingen >> Tel.: +49-(0)7071-6396184 >> Mobil.: +49-(0)170-6936820 >> Germany >> >> -----Ursprüngliche Nachricht----- >> Von: Michel Juillard [mailto:michel.juillard@mjui.fr] >> Gesendet: Dienstag, 11. Juni 2013 15:12 >> An: Johannes Pfeifer >> Betreff: Re: Brooks/Gelman >> >> Hi Johannes, >> >> I don't know where is my copy of Brooks/Gelman, do you have an electronic version? >> >> Thanks >> >> Michel >> >> Johannes Pfeifer writes: >> >>> Hi Michel, >>> >>> >>> >>> some time ago I asked you about the Brooks/Gelman multivariate >>> convergence diagnostic used in Dynare, but apparently, the mail got >>> lost. Now someone in the forum has exactly the same question: >>> >>> http://www.dynare.org/phpBB3/viewtopic.php?f=1 >>> <http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4731&start=0> >>> &t=4731&start=0 >>> >>> >>> >>> What should we say? >>> >>> >>> >>> Best, >>> >>> >>> >>> Johannes >>> >>> -- >>> >>> Johannes Pfeifer >>> >>> Haußerstr. 29 >>> >>> 72076 Tübingen >>> >>> Tel.: +49-(0)7071-6396184 >>> >>> Mobil.: +49-(0)170-6936820 >>> >>> Germany >>> >>> >> >> >> -- >> Michel Juillard -- Stéphane Adjemian Université du Maine, Gains Tel(Gains): +33(0)2 43 83 31 35 Tel(Cepremap): +33(0)1 40 77 84 16

3 3

Status of testsuite in master branch
by sebastien＠dynare.org 12 Jun '13

12 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 11 Jun '13

11 Jun '13

1 0

mjdgges and 0/0 generalized eigenvalues
by stepan＠dynare.org 11 Jun '13

11 Jun '13

Hi Michel, I have a problem with your commit b58eaa8e2b869f894b480c371ba60e14cf6ede7e where you added (two years ago) a test for 0/0 generalized eigenvalues. If I remember correctly, in this case any complex number is a generalized eigenvalue so the model has no unique solution. If the numerator and the denominator are less that 1e-6, then mjdgges issues an error message with info equal to -30. My problem is related to the hard coded threshold. In this RBC model: https://gist.github.com/stepan-a/5757263 the technology is characterized by a Constant Elasticity of Substitution production function. If psi is less than -1, that is if the elasticity of substitution is less than one half, Dynare fails because of the condition introduced in your commit. The problem is that I am almost certain that the model admits a solution for smaller values of psi. It is well known that there exists a closed form solution for the (continuous time) Ramsey model with Harrod-Domar technology (psi->\infty). Also, I am able to simulate this model with the (stochastic) extended path approach for much smaller values of psi. I know that with this model, because of the almost kinked production function, the perturbation solution in such case would most likely deliver a very crude approximation but it would be nice to have something (and not an error message). Are you okay if I add an option for this threshold? Do you have a rational for the hard coded value? I will try to push a branch tomorrow... Best, Stéphane. -- Stéphane Adjemian Université du Maine, Gains Tel(Gains): +33(0)2 43 83 31 35 Tel(Cepremap): +33(0)1 40 77 84 16

2 1

Status of testsuite in master branch
by sebastien＠dynare.org 10 Jun '13

10 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 09 Jun '13

09 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 08 Jun '13

08 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 07 Jun '13

07 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 06 Jun '13

06 Jun '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 05 Jun '13

05 Jun '13

1 0

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Dev June 2013