Diff for "MSSbvarOptions"

Differences between revisions 1 and 16 (spanning 15 versions)

NB: Below, an * indicates that the option already exists and is referenced in MarkovSwitchingOptions.

ms_sbvar new/renamed options

Flag	Argument	Comments	Default	Variable Name	Previous Name
`mode_compute`*	<<integer>>	1. Use csminwel to estimate the mode 0. Will not try to estimate the model	1		estimate_msmodel
`mode_file`	<<string>>	Mode file to load instead of re-estimating the model
`compute_mdd`*	<<integer>>	1. Compute marginal data densities 0. Otherwise	1		compute_mdd
`compute_probabilities`*	<<integer>>	1. Compute probabilites 0. Otherwise	1		compute_probabilities
`irf`	<<integer>>	Produce Impulse Response Graphs with horizon=integer
`bayesian_irf`	--	Produce Bayesian Impulse Response Graphs with horizon=irf
`forecast`	<<integer>>	Produce Forecast with horizon=integer
`coefficients_prior_hyperparameters`	<<vec_double>>	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]
`mh_replic`*	<<integer>>	The number of draws to save from the simulation	1000	n_draws	n_draws
`drop`	<<integer>>	The number of samples to drop at the beginning of the sampling period
`thinning_factor`*	<<integer>>	total draws = ( thinning_factor x mh_replic ) + drop	1		thinning_factor
`adaptive_mh_draws`	<<integer>>	Number of draws for the Adaptive MH step
`load_mh_file`	<<string>>	Filename of previously computed simulation run, load this instead of simulating the model again.
`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		qmFin	final_subperiod
`datafile`*	<<string>>	Load data			data_file
`varlist`*	<<vec_value>>	Names of variables		varlist	varlist
`restriction_fname`*	<<string>>	file for restriction on time variations		idfile_const	restriction_fname
`nlags`*	<<integer>>	Number of lags	4	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

Create Init File Mex Function

Create Init File Syntax (from switch_dw/state_space/sbvar/create_init_file.c):

create_init_file <matlab filename> <markov filename> <file tag>

Standalone Argument	Dynare Option Name	Comments
`<matlab filename>`	None. Set automatically in `sz_prd.m`	matlab file name
`<markov filename>`	`markov_file`*	Markov file name
`<file tag>`	`output_file_tag`*	The output file tag

Estimation, Simulation, Probabilities, Marginal Data Densitiy Mex Function

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

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`estimate`	--		`estimate_msmodel`*	produces estimation - posterior mode or maximum likelihood
`simulate`	--		`print_draws`*	produces simulation run
`probabilities`	--		`compute_probabilities`*	produces smoothed or filtered probabilities
`mdd`	--		`compute_mdd`*	produces marginal data density from posterior draws
`forecast`	-horizon <<integer>> -error_bands		`forecast`	produces forecast
`ir`	-horizon <<integer>>		`irf`	produces impulse responses
`ir`	-horizon <<integer>> -parameter_uncertainty -error_bands		`bayesian_irf`	produces impulse responses
`historical`	--			produces historical decomposition
`smoothedshocks`	--			produces smoothed shocks
`smoothedstates`	--			produces smoothed states
`seed`	<<integer>>	`0` (i.e. random)	set by `set_dynare_seed()` in .mod file	seed value for random number generation

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

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`di`	<<string>>	`./`	not supported	input files are in specified directory
`do`	<<string>>	`./`	not supported	output files are in specified directory
`fs`	<<string>>			specification file name
`fp`	<<string>>			parameter file name
`ph`	<<string>>			header for the parameters
`pho`	<<string>>			parameter header used for output
`MLE`	<<string>>			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: ".
`fo`	<<string>>			output file name
`ft`	<<string>>			The input file tag. Is used to create input filenames if the `fs` or `fp` options are not present.
`fto`	<<string>>	associated with `ft`	`output_file_tag`*	The output file tag. Used to create output filenames.

Estimation Options (from switch_dw/state_space/sbvar/sbvar_estimate.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`cb`	<<double>>	`1.0e-03`		convergence criterion starting value
`ce`	<<double>>	`1.0e-06`		convergence criterion ending value
`ci`	<<double>>	`0.1`		convergence criterion increment value
`ib`	<<integer>>	`50`		maximum interations starting value
`ii`	<<double>>	`2.0`		maximum interations increment value
`mb`	<<integer>>	`100`		maximum block iterations

Simulation Options (from switch_dw/state_space/sbvar/sbvar_simulate.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`ndraws`	<<integer>>	`1000`	`mh_replic`*	Number of draws to save
`burnin`	<<integer>>	`0.1*ndraws`	`drop` two similar options existed, but were appended with `_1` and `_2`	Number of burn-in draws
`thin`	<<integer>>	`1`	`thinning_factor`*	Thinning factor. Total number of draws made is `thin*ndraws+burnin`
`mh`	<<integer>>	`30000`	`adaptive_mh_draws`	Tuning period for Metropolis-Hasting draws
`flat`	--	`off`		Produce flat output file and header
`nofree`	--	`off`		Do not produce free parameters file
`nd1`	--	`off`		Normalize diagonal of A0 to one (flat output only)

Probabilities Options (from switch_dw/state_space/sbvar/sbvar_probabilities.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`filtered`	--	`off`		Compute filtered probabilities
`smoothed`	--	`on` if neither `filtered` nor `real_time_smoothed` is passed		Compute smoothed probabilities
`real_time_smoothed`	--	`off`		Compute smoothed probabilities based on time `t` information for `0 <= t <= nobs`

Marginal Data Density Options (from switch_dw/switching/dw_mdd_switch.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`t`	<<string>>			filemname tag
`ft`	<<string>>			filemname tag -- supersedes `t`
`outtag`	<<string>>			filemname tag -- supersedes `t` and `ft`
`pf`	<<string>>	`simulation_<tag>.out`		posterior draws fileanme
`pt`	<<integer>>	`2`		proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian)
`d`	<<integer>>	`100,000`		number proposal draws
`use_mode`	--	`on`		use posterior mode as center
`use_mean`	--	`off`		use posterior mean as center
`of`	<<string>>	`mdd_<tag>.out`		output filename
`l`	<<double>>	`0.1`		Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform.
`h`	<<double>>	`0.9`		Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform.
`graph`	--	`off`		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`		Prints the matrices posterior and proposal

-  ⇤ ← Revision 1 as of 2011-03-02 10:42:18 → 
  Size: 7121
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+   ← Revision 16 as of 2011-03-15 14:39:08 → ⇥
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  Comment:
-Deletions are marked like this.
+Additions are marked like this.
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+#format wiki
#language en

'''NB:''' Below, an * indicates that the option already exists and is referenced in MarkovSwitchingOptions.

== ms_sbvar new/renamed options ==
|| '''Flag''' |||| '''Argument'''  |||| '''Comments''' |||| '''Default''' |||| '''Variable Name''' |||| '''Previous Name''' ||
|| {{{mode_compute}}}* |||| <<integer>> ||||~- '''1.''' Use csminwel to estimate the mode '''0.''' Will not try to estimate the model -~||||  1 |||| |||| estimate_msmodel ||
|| {{{mode_file}}} |||| <<string>> ||||~- Mode file to load instead of re-estimating the model -~|||| ||||  |||| ||
|| {{{compute_mdd}}}* |||| <<integer>> |||| ~- '''1.''' Compute marginal data densities '''0.''' Otherwise -~|||| 1 |||| |||| compute_mdd ||
|| {{{compute_probabilities}}}* |||| <<integer>> |||| ~- '''1.''' Compute probabilites '''0.''' Otherwise -~|||| 1 |||| |||| compute_probabilities ||
|| {{{irf}}} ||||  <<integer>>    ||||~- Produce Impulse Response Graphs with horizon=integer -~|||| |||| |||| ||
|| {{{bayesian_irf}}} ||||  --    ||||~- Produce Bayesian Impulse Response Graphs with horizon=irf -~|||| |||| |||| ||
|| {{{forecast}}} ||||  <<integer>>    ||||~- Produce Forecast with horizon=integer -~|||| |||| |||| ||
|| {{{coefficients_prior_hyperparameters}}} ||||  <<vec_double>>    ||||~- 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] |||| |||| ||
|| {{{mh_replic}}}* |||| <<integer>> ||||~- The number of draws to save from the simulation -~|||| 1000|||| n_draws |||| n_draws ||
|| {{{drop}}} |||| <<integer>> ||||~- The number of samples to drop at the beginning of the sampling period -~|||| |||| |||| ||
|| {{{thinning_factor}}}* |||| <<integer>> ||||~- total draws = ( thinning_factor x mh_replic ) + drop -~|||| 1 |||| |||| thinning_factor ||
|| {{{adaptive_mh_draws}}} |||| <<integer>> ||||~- Number of draws for the Adaptive MH step -~|||| |||| |||| ||
|| {{{load_mh_file}}} |||| <<string>> ||||~- Filename of previously computed simulation run, load this instead of simulating the model again. -~|||| |||| |||| ||
|| {{{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-~ |||| |||| qmFin |||| final_subperiod ||
|| {{{datafile}}}* |||| <<string>> ||||~- Load data-~ |||| |||| |||| data_file ||
|| {{{varlist}}}* |||| <<vec_value>> ||||~- Names of variables -~|||| |||| varlist |||| varlist ||
|| {{{restriction_fname}}}* |||| <<string>> |||| ~-file for restriction on time variations-~ |||| |||| idfile_const |||| restriction_fname ||
|| {{{nlags}}}* |||| <<integer>> ||||~- Number of lags -~|||| 4 |||| lags |||| nlags ||
|| {{{cross_restrictions}}}* |||| <<integer>> ||||~- '''1''': cross-A0-and-A+ restrictions <<BR>> '''0''': idfile_const is all we have-~ |||| 0 |||| indxc0Pres |||| cross_restrictions ||
|| {{{contemp_reduced_form}}}* |||| <<integer>> |||| ~-'''1''': contemporaneous recursive reduced form <<BR>> '''0''': restricted (non-recursive) form -~|||| 0 |||| Rform |||| comtemp_reduced_form ||
|| {{{bayesian_prior}}}* |||| <<integer>> |||| ~-'''1''': Bayesian prior <<BR>> '''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.-~ ||||50^2^      |||| 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+.-~ ||||50^2^      |||| gsig2_lmdm |||| gsig2_lmdm ||





== Create Init File Mex Function ==
'''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):<<BR>><<BR>>
{{{create_init_file <matlab filename> <markov filename> <file tag>}}}
|| '''Standalone Argument''' |||| '''Dynare Option Name''' |||| '''Comments''' ||
|| {{{<matlab filename>}}}   |||| None. Set automatically in {{{sz_prd.m}}} |||| matlab file name ||
|| {{{<markov filename>}}}   |||| {{{markov_file}}}* |||| Markov file name ||
|| {{{<file tag>}}}          |||| {{{output_file_tag}}}* |||| The output file tag ||

== Estimation, Simulation, Probabilities, Marginal Data Densitiy Mex Function ==
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+Line 54:
-|| {{{estimate}}}        ||||     ||||     |||| {{{estimate_msmodel}}}  |||| produces estimation - posterior mode or maximum likelihood ||
|| {{{simulate}}}        ||||     ||||     |||| {{{print_draws}}}  |||| produces simulation run ||
|| {{{probabilities}}}   ||||     ||||     |||| {{{compute_probabilities}}}  |||| produces smoothed or filtered probabilities ||
|| {{{mdd}}}             ||||     ||||     |||| {{{compute_mdd}}}  |||| produces marginal data density from posterior draws ||
|| {{{forecast}}}        ||||     ||||     ||||     |||| produces forecast ||
|| {{{ir}}}              ||||     ||||     ||||     |||| produces impulse responses ||
|| {{{historical}}}      ||||     ||||     ||||     |||| produces historical decomposition ||
|| {{{smoothedshocks}}}  ||||     ||||     ||||     |||| produces smoothed shocks ||
|| {{{smoothedstates}}}  ||||     ||||     ||||     |||| produces smoothed states ||
|| {{{seed}}}            ||||  {{{0}}} (i.e. random)   ||||     ||||     |||| seed value for random number generation ||
+|| {{{estimate}}}        ||||  --   ||||     |||| {{{estimate_msmodel}}}*  |||| produces estimation - posterior mode or maximum likelihood ||
|| {{{simulate}}}        ||||  --   ||||     |||| {{{print_draws}}}*  |||| produces simulation run ||
|| {{{probabilities}}}   ||||  --   ||||     |||| {{{compute_probabilities}}}*  |||| produces smoothed or filtered probabilities ||
|| {{{mdd}}}             ||||  --   ||||     |||| {{{compute_mdd}}}*  |||| produces marginal data density from posterior draws ||
|| {{{forecast}}}        ||||  -horizon <<integer>> -error_bands   ||||     |||| {{{forecast}}}    |||| produces forecast ||
|| {{{ir}}}              ||||  -horizon <<integer>>   ||||     |||| {{{irf}}}    |||| produces impulse responses ||
|| {{{ir}}}              ||||  -horizon <<integer>> -parameter_uncertainty -error_bands ||||     |||| {{{bayesian_irf}}}    |||| produces impulse responses ||
|| {{{historical}}}      ||||  --   ||||     ||||     |||| produces historical decomposition ||
|| {{{smoothedshocks}}}  ||||  --   ||||     ||||     |||| produces smoothed shocks ||
|| {{{smoothedstates}}}  ||||  --   ||||     ||||     |||| produces smoothed states ||
|| {{{seed}}}            ||||  <<integer>> |||| {{{0}}} (i.e. random)   |||| set by {{{set_dynare_seed()}}} in .mod file    |||| seed value for random number generation ||
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-|| {{{di}}}  |||| <<directory>> |||| {{{./}}} |||| not supported |||| input files are in specified directory ||
|| {{{do}}}  |||| <<directory>> |||| {{{./}}} |||| not supported |||| output files are in specified directory ||
|| {{{fs}}}  |||| <<filename>>  ||||    ||||    |||| specification file name ||
|| {{{fp}}}  |||| <<filename>>  ||||    ||||    |||| parameter file name ||
|| {{{ph}}}  |||| <<header>>    ||||    ||||    |||| header for the parameters ||
|| {{{pho}}} |||| <<header>>    ||||    ||||    |||| parameter header used for output ||
|| {{{MLE}}} |||| <<header>>    ||||    ||||    |||| 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: ". ||
|| {{{fo}}}  |||| <<filename>>  ||||    ||||    |||| output file name ||
|| {{{ft}}}  |||| <<tag>>       ||||    ||||    |||| The input file tag. Is used to create input filenames if the {{{fs}}} or {{{fp}}} options are not present. ||
|| {{{fto}}} |||| <<tag>>       ||||  associated with {{{ft}}}  |||| {{{output_file_tag}}} |||| The output file tag. Used to create output filenames. ||
+|| {{{di}}}  |||| <<string>> |||| {{{./}}} |||| not supported |||| input files are in specified directory ||
|| {{{do}}}  |||| <<string>> |||| {{{./}}} |||| not supported |||| output files are in specified directory ||
|| {{{fs}}}  |||| <<string>>  ||||    ||||    |||| specification file name ||
|| {{{fp}}}  |||| <<string>>  ||||    ||||    |||| parameter file name ||
|| {{{ph}}}  |||| <<string>>    ||||    ||||    |||| header for the parameters ||
|| {{{pho}}} |||| <<string>>    ||||    ||||    |||| parameter header used for output ||
|| {{{MLE}}} |||| <<string>>    ||||    ||||    |||| 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: ". ||
|| {{{fo}}}  |||| <<string>>  ||||    ||||    |||| output file name ||
|| {{{ft}}}  |||| <<string>>       ||||    ||||    |||| The input file tag. Is used to create input filenames if the {{{fs}}} or {{{fp}}} options are not present. ||
|| {{{fto}}} |||| <<string>>       ||||  associated with {{{ft}}}  |||| {{{output_file_tag}}}* |||| The output file tag. Used to create output filenames. ||
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-|| {{{ndraws}}}  |||| <<integer>>  |||| {{{1000}}}       |||| {{{n_draws}}} |||| Number of draws to save ||
|| {{{burnin}}}  |||| <<integer>>  |||| {{{0.1*ndraws}}} |||| {{{draws_nbr_burn_in}}}  |||| Number of burn-in draws ||
|| {{{thin}}}    |||| <<integer>>  |||| {{{1}}}          |||| {{{thinning_factor}}} |||| Thinning factor. Total number of draws made is {{{thin*ndraws+burnin}}} ||
|| {{{mh}}}      |||| <<integer>>  |||| {{{30000}}}      ||||   |||| Tuning period for Metropolis-Hasting draws ||
+|| {{{ndraws}}}  |||| <<integer>>  |||| {{{1000}}}       |||| {{{mh_replic}}}* |||| Number of draws to save ||
|| {{{burnin}}}  |||| <<integer>>  |||| {{{0.1*ndraws}}} |||| {{{drop}}} <<BR>> two similar options existed, but were appended with {{{_1}}} and {{{_2}}}  |||| Number of burn-in draws ||
|| {{{thin}}}    |||| <<integer>>  |||| {{{1}}}          |||| {{{thinning_factor}}}* |||| Thinning factor. Total number of draws made is {{{thin*ndraws+burnin}}} ||
|| {{{mh}}}      |||| <<integer>>  |||| {{{30000}}}      |||| {{{adaptive_mh_draws}}}  |||| Tuning period for Metropolis-Hasting draws ||