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== 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
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

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

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