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← Revision 5 as of 2009-07-10 13:13:05 ⇥
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| CategoryHomepage | = Variables of Interests for SWZ Markov Switching Model = |
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| ||Variable Original Name||File name in Matlab||Line Number||Option Name||Comments||Default Values|| | ||'''''Variable Original Name'''''||'''''File name in Matlab'''''||'''''Line Number'''''||'''''Option Name'''''||<:>'''''Comments'''''||'''''Default Values'''''|| |
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| ||indxScaleStates||szemldata_a_setup.m||26||?||~- '''0''' (default): no scale adjustment in the prior variance for the number of states so that the prior value is the same as the constant VAR when the parameters in all states are the same. '''1''': allows a scale adjustment, marking the prior variance bigger by the number of states. Wrong choice because it makes the prior looser as the number of states increases.-~ ||0 || | ||indxScaleStates||szemldata_a_setup.m||26||?||~- '''0''' (default): no scale adjustment in the prior variance for the number of states so that the prior value is the same as the constant VAR when the parameters in all states are the same.<<BR>> '''1''': allows a scale adjustment, marking the prior variance bigger by the number of states. Wrong choice because it makes the prior looser as the number of states increases.-~ ||0 || |
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| ||q_diag||szemldata_a_setup.m||36||?||~-Prior mean: 0.95 for monthly data (about 20 months) and 0.85 for quarterly data (about 6.7 quarters). Diagonal q in the transtion matrix and the duration is 1 over(1-q). To allow an absorbing state, we need to have 1 for all off-diagonal elements and x for the diagonal element.-~ ||0.85 || ||indxFlatPriorP||szemldata_a_setup.m||42||?||~-0: diagonal of transition matrix has some duration 1: flat prior where all alpha's are 1.0 in Dirichlet.-~ ||0 || |
||q_diag||szemldata_a_setup.m||36||?||~-Prior mean: 0.95 for monthly data (about 20 months) and 0.85 for quarterly data (about 6.7 quarters). Diagonal q in the transtion matrix and the duration is 1 over (1-q). To allow an absorbing state, we need to have 1 for all off-diagonal elements and x for the diagonal element.-~ ||0.85 || ||indxFlatPriorP||szemldata_a_setup.m||42||?||~-'''0''': diagonal of transition matrix has some duration <<BR>> '''1''': flat prior where all alpha's are 1.0 in Dirichlet.-~ ||0 || |
Karl Bryan Lagman
Email: <karlbryan.lagman AT gmail DOT com>
...
Variables of Interests for SWZ Markov Switching Model
Variable Original Name |
File name in Matlab |
Line Number |
Option Name |
Comments |
Default Values |
nStates |
szemldata_a_setup.m |
25 |
? |
Number of states |
2 |
indxEqnTv_m |
szemldata_a_setup.m |
22 |
? |
Rows corresponds to equations |
|
indxScaleStates |
szemldata_a_setup.m |
26 |
? |
0 (default): no scale adjustment in the prior variance for the number of states so that the prior value is the same as the constant VAR when the parameters in all states are the same. |
0 |
galp |
szemldata_a_setup.m |
30 |
? |
Alpha value for squared time-varying structural shock lambda. |
1.0 |
gbeta |
szemldata_a_setup.m |
31 |
? |
Beta value for squared time-varying structural shock lambda. |
1.0 |
gsig2_lmd |
szemldata_a_setup.m |
32 |
? |
Case 4 (no state change across variables (i) and across lags (l); only one scale factor for all lagged variables change from state to state). Normal prior variance for structural shock lambda, one scale factor for all lagged D+ in a given equation. |
50^2 |
gsig2_lmdm |
szemldata_a_setup.m |
34 |
? |
Case 3 (no state change across lags (l) but allows all variables for a given lag to switch states). Normal prior variance for different variables in lagged D+. |
50^2 |
q_diag |
szemldata_a_setup.m |
36 |
? |
Prior mean: 0.95 for monthly data (about 20 months) and 0.85 for quarterly data (about 6.7 quarters). Diagonal q in the transtion matrix and the duration is 1 over (1-q). To allow an absorbing state, we need to have 1 for all off-diagonal elements and x for the diagonal element. |
0.85 |
indxFlatPriorP |
szemldata_a_setup.m |
42 |
? |
0: diagonal of transition matrix has some duration |
0 |