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#format wiki
#language en
  
<<BR>>
= 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''' ||
|| {{{mode_compute}}} || {{{<<integer>>}}} ||||~- '''1.''' Use csminwel to estimate the model '''0.''' Will not try to estimate the model -~|||| 1 |||| |||| ||
|| {{{mode_file}}} || {{{<<string>>}}} ||||~- Mode file to load instead of re-estimating the model -~|||| |||| |||| ||
|| {{{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] |||| |||| ||
|| {{{mh_replic}}} || {{{<<integer>>}}} ||||~- The number of draws to save when simulating. -~|||| 10000 |||| |||| ||
|| {{{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 ||
|| {{{upper_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| upper_cholesky |||| upper_cholesky ||
|| {{{lower_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| lower_cholesky |||| lower_cholesky ||

= Mex Functions =
== General Options ==
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|| '''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}}} |||| |||| |||| |||| 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 ||

<<BR>>
'''General Options''' (from {{{switch_dw/state_space/sbvar/dw_sbvar_command_line.c}}}):
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Comments''' ||
|| {{{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. ||

<<BR>>
'''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 ||

<<BR>>
'''Simulation Options''' (from {{{switch_dw/state_space/sbvar/sbvar_simulate.c}}}):
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Comments''' ||
|| {{{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 ||
|| {{{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) ||

<<BR>>
'''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}}} ||

<<BR>>
'''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 ||

|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{estimate}}} || -- || -- || {{{options_.ms.estimate_msmodel}}} || {{{estimate_msmodel}}} || produces estimation - posterior mode or maximum likelihood ||
|| {{{simulate}}} || -- || -- || {{{options_.ms.print_draws}}} || {{{print_draws}}} || produces simulation run ||
|| {{{mdd}}} || -- || -- || {{{options_.ms.compute_mdd}}} || {{{compute_mdd}}} || produces marginal data density from posterior draws ||
|| {{{probabilities}}} || -- || -- || {{{options_.ms.compute_probabilities}}} || {{{compute_probabilities}}} || produces smoothed or filtered probabilities ||
|| {{{forecast}}} || -- || -- || {{{options_.ms.forecast}}} || {{{forecast}}} || produces mean forecast ||
|| {{{ir}}} || -- || -- || {{{options_.ms.irf}}} || {{{irf}}} || produces impulse responses for a given set of parameters ||
|| {{{ir}}} || -- || -- || {{{options_.ms.bayesian_irf}}} || {{{bayesian_irf}}} || produces banded impulse responses ||
|| {{{variance_decomposition}}} || -- || -- || {{{options_.ms.variance_decomposition}}} || {{{variance_decomposition}}} || produce variance decomposition ||
|| {{{seed}}} || {{{<<integer>>}}} || {{{0}}} (i.e. random) || set by {{{set_dynare_seed()}}} in .mod file || -- || seed value for random number generation ||

<<BR>>

'''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>>}}} || -- || {{{output_file_tag}}} || set automatically using modfile name || 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>>}}} || || not supported || -- || specification file name ||
|| {{{fp}}} || {{{<<string>>}}} || || || -- || 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>>}}} || || not supported || -- || 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 ||

== Mex Functions and Their Options ==
 
'''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):
<<BR>>
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>}}} || -- || || {{{markov_file}}} || Markov file name ||
|| || {{{<file tag>}}} || -- || || {{{output_file_tag}}} || output file tag ||

<<BR>>
'''Estimation''' (from {{{switch_dw/state_space/sbvar/sbvar_estimate.c}}}):
<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{cb}}} || {{{<<float>>}}} || {{{1e-3}}} || {{{options_.ms.estimate.cb}}} || || convergence criterion starting value ||
|| {{{ce}}} || {{{<<float>>}}} || {{{1e-6}}} || {{{options_.ms.estimate.ce}}} || || convergence criterion ending value ||
|| {{{ci}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.ci}}} || || convergence criterion increment value ||
|| {{{ib}}} || {{{<<integer>>}}} || {{{50}}} || {{{options_.ms.estimate.ib}}} || || maximum interations starting value ||
|| {{{ii}}} || {{{<<float>>}}} || {{{2.0}}} || {{{options_.ms.estimate.ii}}} || || maximum interations increment value ||
|| {{{mb}}} || {{{<<integer>>}}} || {{{100}}} || {{{options_.ms.estimate.mb}}} || || maximum block iterations ||
|| {{{repeat_max}}} || {{{<<integer>>}}} || {{{10}}} || {{{options_.ms.estimate.repeat_max}}} || || maximum number of times to repeat csminwel runs ||
|| {{{repeat_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.repeat_tol_obj}}} || || convergence criterion for objective function ||
|| {{{repeat_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.repeat_tol_params}}} || || convergence criterion for parameter values ||
|| {{{random}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.estimate.random}}} || || number of large perturbations to make at each stage of the estimation process. ||
|| {{{random_small}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.estimate.random_small}}} || || number of small perturbations to make after the large perturbations have stopped inproving. ||
|| {{{random_small_ndraws}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.estimate.random_small_ndraws}}} || || number of consecutive posterior draws to make when producing a small perturbation ||
|| {{{random_max}}} || {{{<<integer>>}}} || {{{20}}} || {{{options_.ms.estimate.random_max}}} || || maximum number of stages allowed ||
|| {{{random_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.random_tol_obj}}} || || convergence criterion for objective function ||
|| {{{random_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.random_tol_parms}}} || || convergence criterion for parameter values ||

<<BR>>
'''Simulation''' (from {{{switch_dw/state_space/sbvar/sbvar_simulate.c}}}):
<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{ndraws}}} || {{{<<integer}}} || {{{10000}}} || {{{options_.ms.mh_replic}}} || {{{mh_replic}}} || Number of draws to save ||
|| {{{burnin}}} || {{{<<integer>>}}} || {{{0.1*ndraws}}} || {{{options_.ms.drop}}} || || Number of burn-in draws ||
|| {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.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>>}}} || {{{30000}}} || {{{options_.ms.adapative_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) ||

<<BR>>
'''Marginal Data Density''' (from {{{switch_dw/state_space/sbvar/sbvar_mdd.c}}}):
<<BR>>
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.load_mh_draws}}} || {{{load_mh_file}}} || posterior draws fileanme ||
|| {{{pt}}} || {{{<<integer>>}}} || {{{3}}} || {{{options_.ms.mdd_proposal_type(1)}}} || || proposal type ({{{1}}}=gaussian, {{{2}}}=power, {{{3}}}=truncated power, {{{4}}}=step, {{{5}}}=truncated gaussian) ||
|| {{{d}}} || {{{<<integer>>}}} || {{{100,000}}} || {{{options_.ms.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}}} || || 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.||

<<BR>>
'''Regime Probability''' (from {{{switch_dw/state_space/sbvar/sbvar_probabilities.c}}}):
<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.filtered_probabilities}}} || || filtered probabilities are computed instead of smoothed ||
|| {{{real_time_smoothed}}} || -- || {{{off}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed based on time {{{t}}} information are computed for {{{0 <= t <= nobs}}} ||


<<BR>>
'''Impulse Responses''' (from {{{switch_dw/state_space/sbvar/sbvar_impulse_responses.c}}}):
<<BR>>
Mex Calling structure: {{{mex_ms_irf(<<file_tag>>, <<varargin>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.irf}}} || passed by {{{irf=<<int>>}}}|| forecast horizon ||
|| {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.irf_filtered}}} || || 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. ||
|| {{{error_bands}}} || -- || {{{on}}} || || || output error bands. Mex default is {{{on}}}, different than C default ||
|| {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[3 0.16 0.50 0.84]}}} else {{{[1 0.50]}}} || || {{{options_.ms.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}}} || {{{<<integer>>}}} || || || || Apply parameter uncertainty when computing error bands or median. ||
|| {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.irf_shocks_per_parameter}}} & {{{options_.ms.irf_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.irf_thinning_factor}}} || || Thinning factor. Only {{{1/thin}}} of the draws in posterior draws file are used.||
|| {{{regimes}}} || -- || {{{off}}} || || || Produces forecasts as if each regime were permanent. ||
|| {{{regime}}} || {{{<<integer>>}}} || {{{off}}} || not supported || || Produces forecasts as if {{{regime}}} were permanent ||
|| {{{flat}}} || -- || {{{off}}} || not supported || -- || Assumes that posterior draws is a flat file format ||

'''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_irf.cc}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{free_parameters}}} || {{{<<vector>>}}} || || || || ||
|| {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || ||
|| {{{median}}} || -- || {{{off}}} || || || Set {{{percentiles=[1 0.50]}}}||

<<BR>>
'''Forecast''' (from {{{switch_dw/state_space/sbvar/sbvar_forecast.c}}}):
<<BR>>
Mex Calling structure: {{{mex_ms_forecast(<<file_tag>>, <<varargin>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.forecast}}} || passed by {{{forecast=<<int>>}}} || forecast horizon ||
|| {{{data}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.forecast_data_obs}}} || || the number of data points included in the output ||
|| {{{error_bands}}} || -- || {{{on}}} || || || See {{{error_bands}}} in {{{irf}}} ||
|| {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[3 0.16 0.50 0.84]}}} else {{{[1 0.50]}}} || {{{options_.ms.percentiles}}} || || See {{{percentiles}}} in {{{irf}}} ||
|| {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} ||
|| {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.forecast_shocks_per_parameter}}} & {{{options_.ms.forecast_shock_draws}}} || ||See {{{shocks_per_parameter}}} in {{{irf}}} ||
|| {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.forecast_thinning_factor}}} || || See {{{thin}}} in {{{irf}}} ||
|| {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regimes}}} in {{{irf}}} ||
|| {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || not supported || || See {{{regime}}} in {{{irf}}} ||
|| {{{mean}}} || -- || {{{off}}} || not supported || || 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.||

'''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_forecast.cc}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{free_parameters}}} || {{{<<vector>>}}} || || || || See analogous table under {{{irf}}} ||
|| {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || See analogous table under {{{irf}}} ||
|| {{{median}}} || -- || {{{off}}} || || || See analogous table under {{{irf}}} ||

<<BR>>
'''Variance Decomposition''' (from {{{switch_dw/state_space/sbvar/sbvar_variance_decomposition.c}}}):
<<BR>>
Mex Calling structure: {{{mex_ms_variance_decomposition(<<file_tag>>, <<varargin>>)}}}
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || forecast horizon ||
|| {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.vd_filtered}}} || || See {{{filtered}}} in {{{irf}}} ||
|| {{{error_bands}}} || -- || {{{off}}} || || || See {{{error_bands}}} in {{{irf}}} ||
|| {{{percentiles}}} || {{{<<vector>>}}} || || || || See {{{percentiles}}} in {{{irf}}} ||
|| {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} ||
|| {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.vd_shocks_per_parameter}}} & {{{options_.ms.vd_shock_draws}}} || || See {{{shocks_per_parameter}}} in {{{irf}}} ||
|| {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || See {{{thin}}} in {{{irf}}} ||
|| {{{regimes}}} || -- || {{{off}}} || || || See {{{regimes}}} in {{{irf}}} ||
|| {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || not supported || || See {{{regime}}} in {{{irf}}} ||
|| {{{flat}}} || -- || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} ||

'''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc}}}:
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' ||
|| {{{free_parameters}}} || {{{<<vector>>}}} || || || || See analogous table under {{{irf}}} ||
|| {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || See analogous table under {{{irf}}} ||
|| {{{median}}} || -- || {{{off}}} || || || See analogous table under {{{irf}}} ||


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

mode_compute

<<integer>>

1. Use csminwel to estimate the model 0. Will not try to estimate the model

1

mode_file

<<string>>

Mode file to load instead of re-estimating the model

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]

mh_replic

<<integer>>

The number of draws to save when simulating.

10000

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

upper_cholesky

<<integer>>

0

upper_cholesky

upper_cholesky

lower_cholesky

<<integer>>

0

lower_cholesky

lower_cholesky

Mex Functions

General Options

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

estimate_msmodel

produces estimation - posterior mode or maximum likelihood

simulate

--

--

options_.ms.print_draws

print_draws

produces simulation run

mdd

--

--

options_.ms.compute_mdd

compute_mdd

produces marginal data density from posterior draws

probabilities

--

--

options_.ms.compute_probabilities

compute_probabilities

produces smoothed or filtered probabilities

forecast

--

--

options_.ms.forecast

forecast

produces mean forecast

ir

--

--

options_.ms.irf

irf

produces impulse responses for a given set of parameters

ir

--

--

options_.ms.bayesian_irf

bayesian_irf

produces banded impulse responses

variance_decomposition

--

--

options_.ms.variance_decomposition

variance_decomposition

produce variance decomposition

seed

<<integer>>

0 (i.e. random)

set by set_dynare_seed() in .mod file

--

seed value for random number generation


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>>

--

output_file_tag

set automatically using modfile name

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>>

not supported

--

specification file name

fp

<<string>>

--

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>>

not supported

--

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

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>

--

markov_file

Markov file name

<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.estimate.cb

convergence criterion starting value

ce

<<float>>

1e-6

options_.ms.estimate.ce

convergence criterion ending value

ci

<<float>>

0.1

options_.ms.estimate.ci

convergence criterion increment value

ib

<<integer>>

50

options_.ms.estimate.ib

maximum interations starting value

ii

<<float>>

2.0

options_.ms.estimate.ii

maximum interations increment value

mb

<<integer>>

100

options_.ms.estimate.mb

maximum block iterations

repeat_max

<<integer>>

10

options_.ms.estimate.repeat_max

maximum number of times to repeat csminwel runs

repeat_tol_obj

<<float>>

0.1

options_.ms.estimate.repeat_tol_obj

convergence criterion for objective function

repeat_tol_parms

<<float>>

0.1

options_.ms.estimate.repeat_tol_params

convergence criterion for parameter values

random

<<integer>>

5

options_.ms.estimate.random

number of large perturbations to make at each stage of the estimation process.

random_small

<<integer>>

5

options_.ms.estimate.random_small

number of small perturbations to make after the large perturbations have stopped inproving.

random_small_ndraws

<<integer>>

1

options_.ms.estimate.random_small_ndraws

number of consecutive posterior draws to make when producing a small perturbation

random_max

<<integer>>

20

options_.ms.estimate.random_max

maximum number of stages allowed

random_tol_obj

<<float>>

0.1

options_.ms.estimate.random_tol_obj

convergence criterion for objective function

random_tol_parms

<<float>>

0.1

options_.ms.estimate.random_tol_parms

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

10000

options_.ms.mh_replic

mh_replic

Number of draws to save

burnin

<<integer>>

0.1*ndraws

options_.ms.drop

Number of burn-in draws

thin

<<integer>>

1

options_.ms.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>>

30000

options_.ms.adapative_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.load_mh_draws

load_mh_file

posterior draws fileanme

pt

<<integer>>

3

options_.ms.mdd_proposal_type(1)

proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian)

d

<<integer>>

100,000

options_.ms.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

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 are computed instead of smoothed

real_time_smoothed

--

off

options_.ms.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: mex_ms_irf(<<file_tag>>, <<varargin>>)

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

horizon

<<integer>>

12

options_.ms.irf

passed by irf=<<int>>

forecast horizon

filtered

--

off

options_.ms.irf_filtered

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.

error_bands

--

on

output error bands. Mex default is on, different than C default

percentiles

<<vector>>

if error_bands, [3  0.16  0.50  0.84] else [1  0.50]

options_.ms.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

<<integer>>

Apply parameter uncertainty when computing error bands or median.

shocks_per_parameter

<<integer>>

10000 or 10

options_.ms.irf_shocks_per_parameter & options_.ms.irf_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.irf_thinning_factor

Thinning factor. Only 1/thin of the draws in posterior draws file are used.

regimes

--

off

Produces forecasts as if each regime were permanent.

regime

<<integer>>

off

not supported

Produces forecasts as if regime were permanent

flat

--

off

not supported

--

Assumes that posterior draws is a flat file format

Additional functionality provided by mex/sources/ms-sbvar/mex_ms_irf.cc

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

free_parameters

<<vector>>

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

median

--

off

Set percentiles=[1  0.50]


Forecast (from switch_dw/state_space/sbvar/sbvar_forecast.c):
Mex Calling structure: mex_ms_forecast(<<file_tag>>, <<varargin>>)

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

horizon

<<integer>>

12

options_.ms.forecast

passed by forecast=<<int>>

forecast horizon

data

<<integer>>

0

options_.ms.forecast_data_obs

the number of data points included in the output

error_bands

--

on

See error_bands in irf

percentiles

<<vector>>

if error_bands, [3  0.16  0.50  0.84] else [1  0.50]

options_.ms.percentiles

See percentiles in irf

parameter_uncertainty

<<integer>>

See parameter_uncertainty in irf

shocks_per_parameter

<<integer>>

10000 or 10

options_.ms.forecast_shocks_per_parameter & options_.ms.forecast_shock_draws

See shocks_per_parameter in irf

thin

<<integer>>

1

options_.ms.forecast_thinning_factor

See thin in irf

regimes

<<integer>>

0

See regimes in irf

regime

<<integer>>

0

not supported

See regime in irf

mean

--

off

not supported

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.

Additional functionality provided by mex/sources/ms-sbvar/mex_ms_forecast.cc

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

free_parameters

<<vector>>

See analogous table under irf

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

See analogous table under irf

median

--

off

See analogous table under irf


Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c):
Mex Calling structure: mex_ms_variance_decomposition(<<file_tag>>, <<varargin>>)

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

horizon

<<integer>>

12

options_.ms.variance_decomposition

passed by variance_decomposition=<<int>>

forecast horizon

filtered

--

off

options_.ms.vd_filtered

See filtered in irf

error_bands

--

off

See error_bands in irf

percentiles

<<vector>>

See percentiles in irf

parameter_uncertainty

<<integer>>

See parameter_uncertainty in irf

shocks_per_parameter

<<integer>>

10000 or 10

options_.ms.vd_shocks_per_parameter & options_.ms.vd_shock_draws

See shocks_per_parameter in irf

thin

<<integer>>

1

See thin in irf

regimes

--

off

See regimes in irf

regime

<<integer>>

0

not supported

See regime in irf

flat

--

off

not supported

--

See flat in irf

Additional functionality provided by mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc:

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

free_parameters

<<vector>>

See analogous table under irf

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

See analogous table under irf

median

--

off

See analogous table under irf

DynareWiki: MSSbvarOptions (last edited 2012-03-08 14:53:45 by HoutanBastani)