Particle filter & estimation at 3rd order

Stochastic simulations
1

Dear all,

I have two related questions:

  1. As of now, is Dynare allowing estimation at order 3 based on some particle filter? Or is it planned to be made possible soon?
  2. Dynare has a particle filter module, used in estimation at order = 2. Even if estimation is not yet possible at order 3, are some of those filters still working with order = 3 already, or are some such versions available somewhere? (Glimpsing at the code, it seems that most is for order 2, but I may have missed something.)

Basically, I am looking for a particle filter that can be applied to decision rules from Dynare at order 3 somewhat naturally and I really want to make sure that none exists (even some crude version) before coding it myself.

My goal is for now to back out shocks from a 3rd-order model whose parameters have been estimated in another way (SMM), but I could be interested in doing the estimation itself with the particle filter further down the line.

(Note: I am aware of the particle filter code by Professor Pfeifer, but this code is applied to an AR process with stochastic volatility, as far as I am aware. Instead, here, I really want to apply the filter/smoother to Dynare decision rules.)

Thank you very much!

2

We are working on it. See https://git.dynare.org/Dynare/dynare/issues/1673

But it seems that estimation in itself would not be sufficient for you. You seem to be interested in the smoother, which is not there yet.

3

Dear Prof. Pfeifer,

Ok, thank you for the information. I am indeed interested mostly in the smoother for now, although the estimation is already great news.

Let me know if you have a sense of whether/when the team will work on the smoother.

Thanks!

4

This is mostly in @frederic.karame’s wheelhouse. He might know more.

5

Sounds good, thank you!

6

No particle smoother for the moment.
Order 3 is nearly ready but has not been tested with particle filtering.

7

Sounds good, thank you both for the information. I’ll have a look at the order 3 estimation in a little while.

8

Hello!
Want to catch up: has the order 3 estimation with particle filtering been done yet?

9

Yes, but as of Dynare 4.7 not together with pruning yet.

1 Like
10

Dear Prof. Pfeifer,
Thank you for your answer! I looked for ‘particle filter’ in the manual but could not find any mention of it. I just know that ‘mode_compute=11’ has something to do with it. Could you please tell what the estimation command should look like for particle filter estimation? I presume it estimates only with second-order approximation or there is the possibility of doing it at third-order?

11

You can set order=3. See also the examples at tests/particle · master · Dynare / dynare · GitLab

12

Thank you so much, prof! You’re the best!