|
Size: 8031
Comment:
|
Size: 9275
Comment:
|
| Deletions are marked like this. | Additions are marked like this. |
| Line 1: | Line 1: |
| #format wiki #language en |
|
| Line 2: | Line 5: |
== ms_sbvar new/renamed options == || '''Flag''' |||| '''Argument''' |||| '''Comments''' || || {{{irf}}} |||| <<integer>> |||| Produce Impulse Response Graphs with horizon=integer || || {{{bayesian_irf}}} |||| -- |||| Produce Bayesian Impulse Response Graphs with horizon=irf || || {{{forecast}}} |||| <<integer>> |||| Produce Forecast (banded?) 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 || || {{{mode_compute}}} |||| <<integer>> |||| Default 1 Uses csminwel to estimate the model, mode_compute=0 will not try to estimate the model || || {{{mode_file}}} |||| <<string>> |||| Mode file to load instead of re-estimating the model || || {{{mh_replic}}} |||| <<integer>> |||| Renaming n_draws* to match dynare convention || || {{{drop}}} |||| <<integer>> |||| Renaming burning* to match dynare convention || || {{{thinning_factor}}} |||| <<integer>> |||| total draws made = thinning_factor*mh_replic + drop, this should default to 1|| || {{{adaptive_mh_draws}}} |||| <integer> |||| Renaming mh* to be more descriptive || |
NB: Below, an * indicates that the option already exists and is referenced in MarkovSwitchingOptions.
ms_sbvar new/renamed options
Flag |
Argument |
Comments |
||
irf |
<<integer>> |
Produce Impulse Response Graphs with horizon=integer |
||
bayesian_irf |
-- |
Produce Bayesian Impulse Response Graphs with horizon=irf |
||
forecast |
<<integer>> |
Produce Forecast (banded?) 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 |
||
mode_compute |
<<integer>> |
Default 1 Uses csminwel to estimate the model, mode_compute=0 will not try to estimate the model |
||
mode_file |
<<string>> |
Mode file to load instead of re-estimating the model |
||
mh_replic |
<<integer>> |
Renaming n_draws* to match dynare convention |
||
drop |
<<integer>> |
Renaming burning* to match dynare convention |
||
thinning_factor |
<<integer>> |
total draws made = thinning_factor*mh_replic + drop, this should default to 1 |
||
adaptive_mh_draws |
<integer> |
Renaming mh* to be more descriptive |
||
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 |
-- |
|
|
produces forecast |
||||
ir |
-- |
|
|
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 |
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) |
||||
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. |
||||
-- |
off |
|
Prints the matrices posterior and proposal |
|||||