NB: All defaults set by initialize_ms_sbvar_options.m and passed to mex functions.

Miscellaneous Commands needed by Matlab to link to the Mex Functions (below)

Dynare Option and Argument		Comments	Default	Matlab Variable Name	Previous Dynare Option Name
`coefficients_prior_hyperparameters`	`<<vec_value>>`	Sets the hyper parameters for the sbvar (mu in sz_prd.m), this should be a vector of doubles of length 6	[1.0 1.0 0.1 1.2 1.0 1.0]
`freq`	`<<integer>>`	quarters or months	4	q_m	freq
`initial_year`	`<<integer>>`	beginning of the year		yrBin	initial_year
`initial_subperiod`	`<<integer>>`	beginning of the quarter or month	1	qmBin	initial_subperiod
`final_year`	`<<integer>>`	final year		yrFin	final_year
`final_subperiod`	`<<integer>>`	final month or quarter	4	qmFin	final_subperiod
`datafile`	`<<string>>`	Load data			data_file
`nlags`	`<<integer>>`	Number of lags	1	lags	nlags
`cross_restrictions`	`<<integer>>`	1: cross-A0-and-A+ restrictions 0: idfile_const is all we have	0	indxc0Pres	cross_restrictions
`contemp_reduced_form`	`<<integer>>`	1: contemporaneous recursive reduced form 0: restricted (non-recursive) form	0	Rform	comtemp_reduced_form
`bayesian_prior`	`<<integer>>`	1: Bayesian prior 0: no prior	1	indxPrior	bayesian_prior
`alpha`	`<<double>>`	Alpha value for squared time-varying structural shock lambda.	1.0	galp	alpha
`beta`	`<<double>>`	Beta value for squared time-varying structural shock lambda.	1.0	gbeta	beta
`gsig2_lmd`	`<<integer>>`	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.	50²	gsig2_lmd	gsig2_lmd
`gsig2_lmdm`	`<<integer>>`	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+.	50²	gsig2_lmdm	gsig2_lmdm

Mex Functions

General Dynare instructions for MS-SBVAR

I suggest to use several main Dynare keywords rather than options in a single Dynare command ms-sbvar

Top Level Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`estimate`	--	--	`options_.ms.estimate_msmodel`	`ms_estimatation`	produces estimation - posterior mode or maximum likelihood
`simulate`	--	--	`options_.ms.print_draws`	`ms_simulation`	produces simulation run
`mdd`	--	--	`options_.ms.compute_mdd`	`ms_compute_mdd`	produces marginal data density from posterior draws
`probabilities`	--	--	`options_.ms.compute_probabilities`	`ms_compute_probabilities`	produces smoothed or filtered probabilities
`forecast`	--	--	`options_.ms.forecast`	`ms_forecast`	produces mean forecast
`ir`	--	--	`options_.ms.irf`	`ms_irf`	produces impulse responses for a given set of parameters with or without error bands and taking into account or not of parameter posterior uncertainty
`ms_variance_decomposition`	--	--	`options_.ms.variance_decomposition`	`ms_variance_decomposition`	produce variance decomposition

Options Accepted by All Mex Functions (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`ft`	`<<string>>`	--	`options_.ms.file_tag`	`file_tag`	The input file tag. Is used to create input file names if the `fs` or `fp` options are not present
`di`	`<<string>>`	`./`	not supported	--	input files are in specified directory
`do`	`<<string>>`	`./`	not supported	--	output files are in specified directory
`fs`	`<<string>>`		`options_.ms.initialization_file_tag`	`initialization_file_tag`	specification file name
`fp`	`<<string>>`		`options_.ms.estimation_file_tag`	`estimation_file_tag`	parameter file name
`ph`	`<<string>>`		not supported	--	header for the parameters
`MLE`	`<<string>>`		not supported	--	Determines if estimation finds the posterior mode or maximum likelihood. If `ph` or is not present, determines whether the input parameter header is "MLE: " or "Posterior mode: ".
`fto`	`<<string>>`		`options_.ms.output_file_tag`	`output_file_tag`	The output file tag. Used to create output filenames.
`fo`	`<<string>>`		not supported	--	output file name
`pho`	`<<string>>`		not supported	--	parameter header used for output
`seed`	`<<integer>>`	`0` (i.e. random)	`options_.DynareRandomStreams.seed`	set by `set_dynare_seed()` in .mod file	seed value for random number generation

Mex Functions and Their Options

Create Init File Syntax (from switch_dw/state_space/sbvar/create_init_file.c):
Mex Calling structure: create_init_file <matlab filename> <markov filename> <file tag>

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
	`<matlab filename>`	--	None. Set automatically in `sz_prd.m`	--	matlab file name
	`<markov filename>`	--	`options_.ms.markov_file`	`markov_file`	Markov file name
	`<file tag>`	--	`options_.ms.output_file_tag`	`output_file_tag`	output file tag

Estimation (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`cb`	`<<float>>`	`1e-3`	`options_.ms.convergence_starting_value`	convergence_starting_value	convergence criterion starting value
`ce`	`<<float>>`	`1e-6`	`options_.ms.convergence_ending_value`	convergence_ending_value	convergence criterion ending value
`ci`	`<<float>>`	`0.1`	`options_.ms.convergence_increment_value`	convergence_increment_value	convergence criterion increment value
`ib`	`<<integer>>`	`50`	`options_.ms.max_iterations_starting_value`	max_iterations_starting_value	maximum interations starting value
`ii`	`<<float>>`	`2.0`	`options_.ms.max_iterations_increment_value`	max_iterations_increment_value	maximum interations increment value
`mb`	`<<integer>>`	`100`	`options_.ms.max_block_iterations`	max_block_iterations	maximum block iterations
`repeat_max`	`<<integer>>`	`10`	`options_.ms.max_repeated_optimization_runs`	max_repeated_optimization_runs	maximum number of times to repeat csminwel runs
`repeat_tol_obj`	`<<float>>`	`0.1`	`options_.ms.function_convergence_criterion`	function_convergence_criterion	convergence criterion for objective function
`repeat_tol_parms`	`<<float>>`	`0.1`	`options_.ms.parameter_convergence_criterion`	parameter_convergence_criterion	convergence criterion for parameter values
`random`	`<<integer>>`	`5`	`options_.ms.number_of_large_perturbations`	number_of_large_perturbations	number of large perturbations to make at each stage of the estimation process.
`random_small`	`<<integer>>`	`5`	`options_.ms.number_of_small_perturbations`	number_of_small_perturbations	number of small perturbations to make after the large perturbations have stopped improving.
`random_small_ndraws`	`<<integer>>`	`1`	`options_.ms.number_of_posterior_draws_after_perturbation`	number_of_posterior_draws_after_perturbation	number of consecutive posterior draws to make when producing a small perturbation
`random_max`	`<<integer>>`	`20`	`options_.ms.max_number_of_stages`	max_number_of_stages	maximum number of stages allowed
`random_tol_obj`	`<<float>>`	`0.1`	`options_.ms.random_function_convergence_criterion`	random_function_convergence_criterion	convergence criterion for objective function
`random_tol_parms`	`<<float>>`	`0.1`	`options_.ms.random_parameter_convergence_criterion`	random_parameter_convergence_criterion	convergence criterion for parameter values

Simulation (from switch_dw/state_space/sbvar/sbvar_simulate.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`ndraws`	`<<integer>>`	`10,000`	`options_.ms.mh_replic`	`mh_replic`	Number of draws to save
`burnin`	`<<integer>>`	`0.1*ndraws`	`options_.ms.drop`	drop	Number of burn-in draws
`thin`	`<<integer>>`	`1`	`options_.ms.thinning_factor`	thinning_factor	Thinning factor. Total number of draws made is `thin*ndraws + burnin`
`append`	--	`off`	not supported	--	Append simulation and info to existing files if they exist and use last parameter draw as initial value.
`mh`	`<<integer>>`	`30,000`	`options_.ms.adaptive_mh_draws`	`adaptive_mh_draws`	Tuning period for Metropolis-Hasting draws
`flat`	--	`off`	not supported	--	Produce flat output file and header file
`nofree`	--	`off`	not supported	--	Do not produce free parameters file
`nd1`	--	`off`	not supported	--	Normalize diagonal of A0 to one (flat output only)

Marginal Data Density (from switch_dw/state_space/sbvar/sbvar_mdd.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`t`	`<<string>>`		not supported	--	filemname tag
`outtag`	`<<string>>`		not supported	--	filemname tag -- supersedes `t` and `ft`
`pf`	`<<string>>`	`simulation_<tag>.out`	`options_.ms.mh_file`	`simulation_file_tag`	posterior draws fileanme
`pt`	`<<integer>>`	`3`	`options_.ms.mdd_proposal_type(1)`	proposal_type (3-dim vector, see below)	proposal type (`1`=gaussian, `2`=power, `3`=truncated power, `4`=step, `5`=truncated gaussian)
`d`	`<<integer>>`	`100,000`	`options_.ms.mdd_proposal_draws`	mdd_proposal_draws	number proposal draws
`use_mode`	--	`on`	not supported	--	use posterior mode as center
`use_mean`	--	`off`	`options_.ms.mdd_use_mean_center`	mdd_use_mean_center	use posterior mean as center
`of`	`<<string>>`	`mdd_<tag>.out`	not supported	--	output filename
`l`	`<<float>>`	`0.1`	`options_.ms.mdd_proposal_type(2)`		Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform.
`h`	`<<float>>`	`0.9`	`options_.ms.mdd_proposal_type(3)`		Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform.
`graph`	--	`off`	not supported	--	Produce output suitable for graphing the marginal cummulative densities of the radius of the posterior and elliptical distributions. The marginal data density is not computed.
`print`	--	`off`	not supported	--	Prints the matrices posterior and proposal
`append`	--	`off`	not supported	--	Appends proposal draws to those previously made. If the posterior draws have changed in any way, then this option must not be used. The filename for the proposal draws is proposal_t<proposal type>_<tag>.out.

Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`filtered`	--	`off`	`options_.ms.filtered_probabilities`	filtered_probabilities	filtered probabilities are computed instead of smoothed
`real_time_smoothed`	--	`off`	`options_.ms.real_time_smoothed_probabilities`	real_time_smoothed_probabilities	smoothed probabilities are computed based on time `t` information are computed for `0 <= t <= nobs`

Impulse Responses (from switch_dw/state_space/sbvar/sbvar_impulse_responses.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`horizon`	`<<integer>>`	`12`	`options_.ms.horizon`	horizon	forecast horizon
`filtered`	--	`off`	`options_.ms.filtered_probabilities`	filtered_probabilities	Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. This flag only applies if neither `regimes` nor `regime` is specified.
`percentiles`	`<<vector>>`	if `error_bands`, `[0.16 0.50 0.84]` else `[0.50]`	`options_.ms.error_band_percentiles`	error_band_percentiles	Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles.
`parameter_uncertainty`	--	`off`	`options_.ms.parameter_uncertainty`	parameter_uncertainty	Apply parameter uncertainty when computing percentiles.
`shocks_per_parameter`	`<<integer>>`	`10,000 or 10`	`options_.ms.shocks_per_parameter` & `options_.ms.shock_draws`	shock_draws	Number of regime paths to draw for each parameter draw. The default value is `1` if `parameter_uncertainty` is set and `10,000` otherwise.
`thin`	`<<integer>>`	`1`	`options_.ms.thinning_factor`	thinning_factor	Thinning factor. Only `1/thin` of the draws in posterior draws file are used.
`regimes`	--	`off`	`options_.ms.regimes`	regimes	Describes the evolution of regimes.
`regime`	`<<integer>>`	`off`	`options_.ms.regime`	regime	Given the data and model parameters, what is the ergodic probability of being in the specified regime.
`flat`	--	`off`	not supported	--	Assumes that posterior draws is a flat file format
`median`	--	`off`	`options_.ms.median`	median	This is intended as a shortcut to setting percentiles as `percentiles=[0.50]`

Forecast (from switch_dw/state_space/sbvar/sbvar_forecast.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`horizon`	`<<integer>>`	`12`	`options_.ms.horizon`	horizon	See `horizon` in `irf`
`number_observations`	`<<integer>>`	`0`	`options_.ms.forecast_data_obs`	data_obs_nbr	the number of data points included in the output
`percentiles`	`<<vector>>`	if `error_bands`, `[0.16 0.50 0.84]` else `[0.50]`	`options_.ms.error_band_percentiles`	error_band_percentiles	See `percentiles` in `irf`
`parameter_uncertainty`	--	`off`	`options_.ms.parameter_uncertainty`	parameter_uncertainty	See `parameter_uncertainty` in `irf`
`shocks_per_parameter`	`<<integer>>`	`10,000 or 10`	`options_.ms.shocks_per_parameter` & `options_.ms.shock_draws`	shock_draws	See `shocks_per_parameter` in `irf`
`thin`	`<<integer>>`	`1`	`options_.ms.thinning_factor`	thinning_factor	See `thin` in `irf`
`regimes`	`<<integer>>`	`0`	`options_.ms.regimes`	regimes	See `regimes` in `irf`
`regime`	`<<integer>>`	`0`	`options_.ms.regime`	regime	See `regime` in `irf`
`mean`	--	`off`	not supported in Dan's code	--	produces mean forecast
`flat`	--	`off`	not supported	--	See `flat` in `irf`
`nodate`	--	`off`	not supported	--	If not defined, then the first column of the output is a date number. A date number of one is the first date in the data series, a date number of nobs is the last date in the data series, and date numbers larger than this correspond to forecasts.
`median`	--	`off`	`options_.ms.median`	median	See analogous table under `irf`

Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`horizon`	`<<integer>>`	`12`	`options_.ms.horizon`	horizon	forecast horizon
`filtered`	--	`off`	`options_.ms.filtered_probabilities`	filtered_probabilities	See `filtered` in `irf`
`error_bands`	--	`on`	`options_.ms.error_bands`	no_error_bands	Calculate the mean
`percentiles`	`<<vector>>`		`options_.ms.error_band_percentiles`	error_band_percentiles	See `percentiles` in `irf`
`parameter_uncertainty`	--	`off`	`options_.ms.parameter_uncertainty`	parameter_uncertainty	See `parameter_uncertainty` in `irf`
`shocks_per_parameter`	`<<integer>>`	`10,000 or 10`	`options_.ms.shocks_per_parameter` & `options_.ms.shock_draws`	shock_draws	See `shocks_per_parameter` in `irf`
`thin`	`<<integer>>`	`1`	`options_.ms.thinning_factor`	thinning_factor	See `thin` in `irf`
`regimes`	--	`off`	`options_.ms.regimes`	regimes	See `regimes` in `irf`
`regime`	`<<integer>>`	`0`	`options_.ms.regime`	regime	See `regime` in `irf`
`flat`	--	`off`	not supported	--	See `flat` in `irf`