How do we reconcile the issue of having a deterministic estimation with the problem of local peaks? I thought one of the advantages of having a non-deterministic estimation routine is that we can run it several times and store the results for the best run. Suppose I run the same estimation several times and get the same answer (because the problem is deterministic). Does that mean I found the global peak? I guess you guys have it all sorted out in some way.
On Fri, Nov 26, 2010 at 6:00 PM, Trac Dynare
<root@dynare.org> wrote:
#85: Estimation is not deterministic: a seed should be explictly given to random
number generator
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Reporter: sebastien | Owner: stepan
Type: enhancement | Status: accepted
Priority: major | Milestone: 4.2
Component: Core M-files | Version: 4.1.0
Resolution: | Keywords:
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Changes (by stepan):
* owner: michel => stepan
Comment:
I added a new routine (set_dynare_seed.m) in commit
db54c2d76ec8ac6a42c0cbf99bc394f7644f2a85 and a test (example) file in
commit 032957b36f2e1129ce3809f02dc2bf9e5e2d65f6. This routine is called in
global_initialization. I removed the seed commands in simult.m and the
option dynare_seed, so that the simulated time series are invariant across
different instances of dynare.
I still need to adapt the mcmc routines
Maybe we should also adapt the swz routines.
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Ticket URL: <https://www.dynare.org/trac/ticket/85#comment:4>