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Updated Rust 1987 estimates
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ferrall committed Apr 24, 2023
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10 changes: 5 additions & 5 deletions examples/BHHH-IterStart-ZurcherMLE.optobj
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"DataObjective"
"ZurcherMLE"
-3319.3074926899085
<0.3995806122904882;0.587604848931838;0.012814538777673912;7.6538;71.5133>
-3306.0468870637696
<0.3918918918886018;0.595293569435554;0.012814538675844145;7.6538;71.5133>
-------Human Readable Parameter Summary-------
000 1 0.399581 "th3_0 " "Bounded " 0 0 0.399581
001 1 0.587605 "th3_1 " "Bounded " 1 1 0.587605
000 1 0.391892 "th3_0 " "Bounded " 0 0 0.391892
001 1 0.595294 "th3_1 " "Bounded " 1 1 0.595294
002 0 0.012815 "th3End " "Determined " -- -1 .NaN
003 1 7.653800 "RC " "Positive " 2 3 7.6538
004 1 71.513300 "th1 " "Positive " 3 4 71.5133
Expand All @@ -14,4 +14,4 @@
Hessian .NaN

--------------------
Created by Objective::Save(). 20-03-2023. 16:58:33
Created by Objective::Save(). 22-03-2023. 12:24:53
30 changes: 10 additions & 20 deletions examples/DataObjective.ZurcherMLE.optobj
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@@ -1,27 +1,17 @@
"DataObjective"
"ZurcherMLE"
-3897.3182882521246
<0.09370193031534259;0.4474990216184735;0.44584206518222763;0.012697387608592197;0.00025959527536410613;11.7257;2.4569>
-3306.0468870637696
<0.3918918918886018;0.595293569435554;0.012814538675844145;7.713426227598057;71.62150620828409>
-------Human Readable Parameter Summary-------
000 1 0.093702 "th3_0 " "Bounded " 0 0 0.99999
001 1 0.447499 "th3_1 " "Bounded " 1 1 1
002 1 0.445842 "th3_2 " "Bounded " 2 2 0.998719
003 1 0.012697 "th3_3 " "Bounded " 3 3 0.937121
004 0 0.000260 "th3End " "Determined " -- -1 .NaN
005 0 11.725700 "RC " "Positive " -- -1 .NaN
006 0 2.456900 "th1 " "Positive " -- -1 .NaN
000 0 0.391892 "th3_0 " "Bounded " -- -1 .NaN
001 0 0.595294 "th3_1 " "Bounded " -- -1 .NaN
002 0 0.012815 "th3End " "Determined " -- -1 .NaN
003 1 7.713426 "RC " "Positive " 0 3 1.00381
004 1 71.621506 "th1 " "Positive " 1 4 1.00035

------------

th3_0 th3_1 th3_2 th3_3
Gradient -52.064 0.19480 -0.14710 0.0072983

Hessian
th3_0 th3_1 th3_2 th3_3
th3_0 -1689.8 5.2330e+06 0.00000 0.00000
th3_1 5.2330e+06 -0.55933 0.0045533 0.00000
th3_2 5.2397e+06 0.0045533 -609.39 0.019435
th3_3 5.5841e+06 0.0048526 0.019435 -16.923
.NaN
Hessian .NaN

--------------------
Created by Objective::Save(). 20-03-2023. 18:25:49
Created by Objective::Save(). 22-03-2023. 12:24:51
8 changes: 4 additions & 4 deletions examples/NelderMead-IterStart-ZurcherMLE.optobj
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"DataObjective"
"ZurcherMLE"
-.Inf
<0.3995806122904882;0.587604848931838;0.012814538777673912;7.6538;71.5133>
<0.3918918918886018;0.595293569435554;0.012814538675844145;7.6538;71.5133>
-------Human Readable Parameter Summary-------
000 0 0.399581 "th3_0 " "Bounded " -- -1 .NaN
001 0 0.587605 "th3_1 " "Bounded " -- -1 .NaN
000 0 0.391892 "th3_0 " "Bounded " -- -1 .NaN
001 0 0.595294 "th3_1 " "Bounded " -- -1 .NaN
002 0 0.012815 "th3End " "Determined " -- -1 .NaN
003 1 7.653800 "RC " "Positive " 0 3 1
004 1 71.513300 "th1 " "Positive " 1 4 1
Expand All @@ -14,4 +14,4 @@
Hessian .NaN

--------------------
Created by Objective::Save(). 20-03-2023. 16:58:19
Created by Objective::Save(). 22-03-2023. 12:24:39
16 changes: 7 additions & 9 deletions examples/Newton-IterStart-ZurcherMLE.optobj
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@@ -1,19 +1,17 @@
"DataObjective"
"ZurcherMLE"
.NaN
<0.0937;0.4475;0.4459;0.0127;0.00019999999999996756;11.7257;2.4569>
<0.3919;0.5953;0.012799999999999923;7.6538;71.5133>
-------Human Readable Parameter Summary-------
000 1 0.093700 "th3_0 " "Bounded " 0 0 1
001 1 0.447500 "th3_1 " "Bounded " 1 1 1
002 1 0.445900 "th3_2 " "Bounded " 2 2 1
003 1 0.012700 "th3_3 " "Bounded " 3 3 1
004 0 0.000200 "th3End " "Determined " -- -1 .NaN
005 0 11.725700 "RC " "Positive " -- -1 .NaN
006 0 2.456900 "th1 " "Positive " -- -1 .NaN
000 1 0.391900 "th3_0 " "Bounded " 0 0 1
001 1 0.595300 "th3_1 " "Bounded " 1 1 1
002 0 0.012800 "th3End " "Determined " -- -1 .NaN
003 0 7.653800 "RC " "Positive " -- -1 .NaN
004 0 71.513300 "th1 " "Positive " -- -1 .NaN

------------
.NaN
Hessian .NaN

--------------------
Created by Objective::Save(). 20-03-2023. 18:25:25
Created by Objective::Save(). 22-03-2023. 12:24:35
254 changes: 254 additions & 0 deletions examples/R_0_0_0.txt
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Output of Rust1987 estimationwith parameters
[0] = 1
[1] = 0
[2] = 0
[3] = 0

---------------------------
DP::Intialize is complete. Action and State spaces are empty.
Log file name is: logs/DP-DDP.log
-------------------- DP Model Summary ------------------------
0. USER BELLMAN CLASS
EZ | Rust | Exteme Value | Bellman
1. CLOCK
1. Ergodic
2. STATE VARIABLES
|eps |eta |theta -clock |gamma
s11 s21 x t t' r f
s.N 1 1 90 1 1 1 1


Transition Categories (not counting placeholders and variables with N=1)
NonRandom Random Coevolving Augmented Timing Invariant
#Vars 0 1 0 0 0 0

3. SIZE OF SPACES

Number of Points
Exogenous(Epsilon) 1
SemiExogenous(Eta) 1
Endogenous(Theta_t) 90
Times 1
EV()Iterating 90
ChoiceProb.track 90
Random Groups 1
Dynamic Random Groups 1
Fixed Groups 1
Total Groups(Gamma) 1
Total Untrimmed 90

4. ACTION VARIABLES
Number of Distinct action vectors: 2
a
a.N 2


5. TRIMMING AND SUBSAMPLING OF THE ENDOGENOUS STATE SPACE (Theta)
N
TotalReachable 90
Terminal 0
Approximated 0
Index of first state by t (t=0..T-1)
0 89


6. FEASIBLE ACTION SETS

i [a] A[0]
---------------------------
000 (0) X
001 (1) X
#States 90
--------------------------
Key: X = row vector is feasible. - = infeasible

-------------------- End of Model Summary ------------------------
Phase :Initializing Increment: 0.00. Cumulative: 0.00
Original parameters,log-like and SEs
[0] = 11.727
[1] = 4.8259
[2] =
0.30100 0.68840 0.010600
[3] = -2708.37
[4] =
2.6020
1.7920
74.000
75.000
Two-Stage Estimation.

Transition Parameters (stage 0 and 2):
th3

Utility Parameters (stage 1 and 2):
RC th1 Stage set to: 2, all parameters variable
Parameter RC DoNotVary=1
Parameter th1 DoNotVary=1
Parameter th3_0 DoNotVary=0
Parameter th3_1 DoNotVary=0
Toggling Outcome::OnlyTransitions. Now equals: 1
Stage 0: Only Transition parameters vary
Path like type counts
CCP IIDPartObs
67 0 0

-2593.31279513*


Report of Gradient Starting on ZurcherMLE

Obj= -2593.31301363
Free Parameters
index free stderr
th3_0 0 1.00000000000 0.0416254017749
th3_1 1 1.00000000000 0.0379086203113
Actual Parameters
Value
th3_0 0.301000000000
th3_1 0.688400000000
th3End 0.0106000000000
RC 11.7270000000
th1 4.82590000000
-2592.89703094*
-2592.89703029*
-2592.89702965*
1. f=-2592.9 deltaX: 0.0380141 deltaG: 0.137623


Report of Gradient Iteration on ZurcherMLE

Obj= -2592.89703094
Free Parameters
index free stderr
th3_0 0 0.962137354514 0.0413683256160
th3_1 1 1.00338945345 0.0381697930152
Actual Parameters
Value
th3_0 0.307754203487
th3_1 0.681893468334
th3End 0.0103523281787
RC 11.7270000000
th1 4.82590000000
-2592.89701476*

Finished: 5:STRONG
th3_0 th3_1
Free Vector 0.96237 1.0034
Gradient -6.7428e-07 1.7894e-06
Std.Error 0.041369 0.038172

Take care interpreting SE for Quasi-Newton algorithms


Report of Iteration Done on ZurcherMLE

Obj= -2592.89701476
Free Parameters
index free stderr
th3_0 0 0.962371286893 0.0413693424259
th3_1 1 1.00341269390 0.0381719331119
Actual Parameters
Value
th3_0 0.307712215121
th3_1 0.681935817892
th3End 0.0103519669871
RC 11.7270000000
th1 4.82590000000
Parameter RC DoNotVary=0
Parameter th1 DoNotVary=0
Parameter th3_0 DoNotVary=1
Parameter th3_1 DoNotVary=1
Toggling Outcome::OnlyTransitions. Now equals: 0
Stage 1: Only Utility parameters vary; objective reset to -Inf.
-2725.28496049*
-2725.28389151*
-2725.28222726*
-2725.28222376*
-2725.28212185*
-2725.28209017*
-2725.28208831*
-2725.28208487*
-2725.28208223*
-2725.28208218*
-2725.28208195*
-2725.28208195*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208193*
-2725.28208191*

New Old
-2725.2820819296 -2725.2820819065
1.0005975897 1.0005975897
0.9972721944 0.9972721944

Parameter RC DoNotVary=0
Parameter th1 DoNotVary=0
Parameter th3_0 DoNotVary=0
Parameter th3_1 DoNotVary=0
Stage 2: All parameters vary
New OPG Hessian
th3_0 th3_1 RC th1
th3_0 -3.2619e+05
th3_1 -3.2139e+05 -3.4061e+05
RC 2.1963 -24.694 -2.5573
th1 -12.294 43.086 3.7255 -5.7346


Report of Gradient Starting on ZurcherMLE

Obj= -2725.28208191
Free Parameters
index free
th3_0 0 0.307712215121
th3_1 1 0.681935817892
RC 3 11.7270000000
th1 4 4.82590000000
Actual Parameters
Value
th3_0 0.307712215121
th3_1 0.681935817892
th3End 0.0103519669871
RC 11.7270000000
th1 4.82590000000
New OPG Hessian
th3_0 th3_1 RC th1
th3_0 -3.2619e+05
th3_1 -3.2139e+05 -3.4061e+05
RC 2.1963 -24.694 -2.5573
th1 -12.294 43.086 3.7255 -5.7346

Finished: 3:WEAK
th3_0 th3_1 RC th1
Free Vector 0.30771 0.68194 11.727 4.8259
Gradient -0.33646 -0.16127 0.12244 -0.17615
Std.Error 0.0067619 0.0066183 2.7377 1.8380

Take care interpreting SE for Quasi-Newton algorithms


Report of Iteration Done on ZurcherMLE

Obj= -2725.28208191
Free Parameters
index free stderr
th3_0 0 0.307712215121 0.00676187107405
th3_1 1 0.681935817892 0.00661827197405
RC 3 11.7270000000 2.73768577408
th1 4 4.82590000000 1.83795439809
Actual Parameters
Value
th3_0 0.307712215121
th3_1 0.681935817892
th3End 0.0103519669871
RC 11.7270000000
th1 4.82590000000
... finished.
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