
Hello,
Is there any (short or longterm) plan to include the analytical gradient to be used in the estimation of DSGE models, as in Iskrev (2010)?
Thanks,
Gabriel


Coordinator
Dec 29, 2014 at 5:59 PM

Hi Gabriel
I played around with analytical gradients a lot in the past, both in time and frequency domains. The idea sounds nice in theory, but in the real world, the likelihood function is really a mess most of the time, and letting the Optimization Tbx cope with the
surface of the likelihood works much better in a vast majority of models.
Best,
Jaromir


Coordinator
Dec 29, 2014 at 6:06 PM

...a much better strategy is actually to first run estimation based on frequencydomain likelihood (which is much much faster but a less precise approximation for finite samples), and then use the result as starting values for another estimation run based
on timedomain likelihood.
J.



Hello Jaromir,
Thanks for your answer. Your experience is very appreciated.
Is it possible to estimate a DSGE based on frequencydomain likelihood within IRIS? Or do we have to provide our own solver via the estimate function?
Thanks,
Gabriel



Hello Jaromir,
Thanks for your answer. Your experience is very appreciated.
Is it possible to estimate a DSGE based on frequencydomain likelihood within IRIS? Or do we have to provide our own solver via the estimate function?
Thanks,
Gabriel


Coordinator
Dec 29, 2014 at 9:42 PM

There is, of course, freqdomain likelihood in IRIS. I'll write an example for you after holidays. Just remind me in case I forget :)


Dec 30, 2014 at 2:05 AM
Edited Dec 30, 2014 at 2:06 AM

Hello Jaromir,
I tried to compute the likelihood in the frequency domain tonight and this is the piece of code I obtained:
Obj = loglik(mltv,d,starthist:endhist,...
'objDecomp=' ,true, ...
'domain=' ,'f', ...
'outoflik=' ,{'dataC_','dataYH_','dataIK_','dataQH_','dataR_','dataR1_','dataNC_','dataNH_','dataWC_','dataWH_','dataMR_','dataMR1_','dataUKC_','dataUKH_','dataB_','dataQK_'}, ...
'deviation=' ,false, ...
'dtrends=' ,true, ...
'relative=' ,true, ...
'band=', [6 40]);
with the parameters in outoflik being of course specific to my model. With a loop being written around this piece of code to solve the model and compute the steadystate, is it something that looks ok?
Best,
Gabriel


Coordinator
Dec 30, 2014 at 12:53 PM

You can actually call the estimate function wit the freq domain option.



Thanks!
Probably a lot simpler this way.
Happy new year Jaromir, and thanks for your amazing job on IRIS!
Best,
Gabriel

