2nd Order Estimation - Particle Filter Question

Dynare help (legacy posts)
1

I am doing a second order bayesian estimation and would like to know what is the default number of particles used when evaluating the likelihood with the particle filter? Can the number of particles be changed and how?

Thanks!

2

before the estimation command add this line

options_.particle.number_of_particles = 500;

I think the default number of particles is 500.

3

Thanks. Related question. Is the particle filter estimation going to run faster on Dynare++? Is there something that can be done to increase speed? It seems to take quite a long time.

4

Maybe, but I’m not sure about the gain. In general the PF could take a very long time depending on the magnitude of your model

5

Particle filters generally take a long time. Dynare++ does not support them.

6

Thanks a lot, it is very helpful…

7

Related question:

It seems that if I run a 2nd order estimation in different platforms PC/OS-X/Linux(Redhat) the MCMC acceptance rate seems to differ (at least initially). Is this something to be expected?

8

I don’t know. If the same random number generator is used by all platforms with the same seed, this is not expected. But I cannot say anything regarding the RNGs on other platforms. Do the final results also differ?