Implement test of regime-switching linear regression (all para unfixe…

…d) successfully.
FRBNY-DSGE · Jan 4, 2021 · e084594 · e084594
1 parent 44baf3a
commit e084594
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Showing 3 changed files with 24 additions and 17 deletions.
diff --git a/test/modelsetup.jl b/test/modelsetup.jl
@@ -10,23 +10,24 @@ function setup_linear_model(; regime_switching::Bool = false)
     m = GenericModel()
 
     # Set up linear parameters
-    m <= parameter(:α1, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    prior_para = regime_switching ? 1e1 : 1e3
+    m <= parameter(:α1, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:β1, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    m <= parameter(:β1, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:σ1, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, 1e3),
+    m <= parameter(:σ1, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, prior_para),
                   fixed = false)
-    m <= parameter(:α2, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    m <= parameter(:α2, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:β2, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    m <= parameter(:β2, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:σ2, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, 1e3),
+    m <= parameter(:σ2, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, prior_para),
                   fixed = false)
-    m <= parameter(:α3, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    m <= parameter(:α3, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:β3, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, 1e3),
+    m <= parameter(:β3, 0., (-1e5, 1e5), (-1e5, 1e5), Untransformed(), Normal(0, prior_para),
                   fixed = false)
-    m <= parameter(:σ3, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, 1e3),
+    m <= parameter(:σ3, 1., (1e-5, 1e5), (1e-5, 1e5), SquareRoot(), Uniform(0, prior_para),
                   fixed = false)
     m <= Setting(:n_particles, 400) #-> will get commented eventually
     m <= Setting(:n_Φ, 100)
@@ -55,11 +56,11 @@ function setup_linear_model(; regime_switching::Bool = false)
         end
         for i in 1:3
             ModelConstructors.set_regime_val!(m[Symbol("β$(i)")], 1, .2 * i)
-            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 1, Normal(0, 1e3)) # regime-switching prior, just to check functionality
+            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 1, Normal(0, prior_para)) # regime-switching prior, just to check functionality
             ModelConstructors.set_regime_val!(m[Symbol("β$(i)")], 2, -.1 * i)
-            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 2, Normal(0, 1e3))
+            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 2, Normal(0, prior_para * 1.2))
             ModelConstructors.set_regime_val!(m[Symbol("β$(i)")], 3, .1 * i)
-            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 3, Normal(0, 1e2))
+            ModelConstructors.set_regime_prior!(m[Symbol("β$(i)")], 3, Normal(0, prior_para * 1.5))
         end
     end
 
@@ -104,6 +105,10 @@ if regenerate_data
         write(file, "X", X)
         write(file, "Xrs", Xrs)
     end
+else # Need to define reg1, reg2, and reg3 for regime-switching log likelihood function
+    reg1 = 1:100
+    reg2 = 101:200
+    reg3 = 201:300
 end
 
 # Read Predictors from data

diff --git a/test/reference/smc_cloud_fix=true_rs=true_version=111.jld2 b/test/reference/smc_cloud_fix=true_rs=true_version=111.jld2
diff --git a/test/regime_switching_smc.jl b/test/regime_switching_smc.jl
@@ -48,7 +48,7 @@ true_para = [1., 1., 1., # α1, β1, σ1 (regime 1)
              3., 4.,     # β2 regimes = 2-3
              3., 3.,     # α3 regimes = 2-3
              4., 5.]     # β3 regimes = 2-3
-@assert false
+
 if writing_output
     jldopen(string("reference/smc_cloud_fix=true_rs=true_version=", ver, ".jld2"), true, true, true, IOStream) do file
         write(file, "cloud", test_cloud)
@@ -64,6 +64,10 @@ saved_W     = saved_file["W"]
 
 ####################################################################
 cloud_fields = fieldnames(typeof(test_cloud))
+@testset "Lienar Regression Regime-Switching Parameter Estimates Are Close" begin
+    @test maximum(abs.(mean_para - true_para)) < .5
+end
+
 @testset "ParticleCloud Fields: Linear" begin
     @test @test_matrix_approx_eq SMC.get_vals(test_cloud) SMC.get_vals(saved_cloud)
     @test @test_matrix_approx_eq SMC.get_loglh(test_cloud) SMC.get_loglh(saved_cloud)
@@ -95,8 +99,6 @@ end
     @test @test_matrix_approx_eq test_W saved_W
 end
 
-# TODO: add a check here that the correct parameters are estimated
-
 # Clean output files up
-#=rm(rawpath(m, "estimate", "smc_cloud.jld2"))
-rm(rawpath(m, "estimate", "smcsave.h5"))=#
+rm(rawpath(m, "estimate", "smc_cloud.jld2"))
+rm(rawpath(m, "estimate", "smcsave.h5"))