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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] |||| |||| || || {{{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 || || {{{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 || |
|| '''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 || || {{{historical}}} || -- || -- || -- || -- || produces historical decomposition (not yet implemented) || || {{{seed}}} || {{{<<integer>>}}} || {{{0}}} (i.e. random) || set by {{{set_dynare_seed()}}} in .mod file || -- || seed value for random number generation || |
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| '''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. || |
'''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>>}}} || -- || {{{M_.fname}}} || 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>>}}} || || not supported || -- || 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>><<BR>> {{{create_init_file <matlab filename> <markov filename> <file tag>}}} || '''Standalone Argument (no flags)''' ||||'''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Comments''' || || {{{<matlab filename>}}} || None. Set automatically in {{{sz_prd.m}}} || |||| |||| matlab file name || || {{{<markov filename>}}} || {{{markov_file}}} || {{{<<string>>}}} |||| {{{markov_file}}} |||| Markov file name || || {{{<file tag>}}} || {{{output_file_tag}}} || {{{<<string>>}}} |||| {{{output_file_tag}}} |||| The output file tag || <<BR>> '''Estimation''' (from {{{switch_dw/state_space/sbvar/sbvar_estimate.c}}}): || '''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 || |
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| '''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''' (from {{{switch_dw/state_space/sbvar/sbvar_simulate.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{ndraws}}} || {{{<<integer}}} || {{{1000}}} || {{{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}}} || -- || overwrites existing files || 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}}} || || 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) || |
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| '''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) || |
'''Marginal Data Density''' (from {{{switch_dw/state_space/sbvar/sbvar_mdd.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{d}}} || {{{<<integer>>}}} || {{{100000}}} || {{{options_.ms.mdd_proposal_draws}}} || || number proposal draws|| || {{{pt}}} || {{{<<integer>>}}} || {{{2}}} || {{{options_.ms.mdd_proposal_type(1)}}} || || proposal type ({{{1}}}=gaussian, {{{2}}}=power, {{{3}}}=truncated power, {{{4}}}=step, {{{5}}}=truncated gaussian) || || {{{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. || || {{{u}}} || {{{<<float>>}}} || {{{0.9}}} || {{{options_.ms.mdd_proposal_type(3)}}} || || || || {{{use_mean}}} || {{{<<intger>>}}} || {{{0}}} || {{{options_.ms.mdd_use_mean_center}}} || || use posterior mean as center || |
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| '''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}}} || |
'''Regime Probability''' (from {{{switch_dw/state_space/sbvar/sbvar_probabilities.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{filtered}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.filtered_probabilities}}} || || filtered probabilities are computed || || {{{smoothed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed || || {{{real_time_smoothed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed based on time {{{t}}} information are computed for {{{0 <= t <= nobs}}} || |
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| '''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 || |
'''Impulse Responses''' (from {{{switch_dw/state_space/sbvar/sbvar_impulse_responses.c}}}, {{{mex/sources/ms-sbvar/mex_ms_irf.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || see general options || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.irf}}} || passed by {{{irf=<<int>>}}}|| forecast horizon || || {{{filtered}}} || {{{<<boolean>>}}} || {{{0}}} || || || 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}}} || {{{<<boolean>>}}} || {{{1}}} || || || output error bands || || {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[3 0.16 0.50 0.84]}}} else {{{[1 0.50]}}} || || || 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}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || Thinning factor. Only {{{1/thin}}} of the draws in posterior draws file are used.|| || {{{regimes}}} || {{{<<boolean>>}}} || {{{0}}} || || || Produces forecasts as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} || {{{off}}} || || || Produces forecasts as if {{{regime}}} were permanent || || {{{flat}}} || {{{<<boolean>>}}} || {{{off}}} || not supported || -- || Assumes that posterior draws is a flat file format || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || <<BR>> '''Forecast''' (from {{{switch_dw/state_space/sbvar/sbvar_forecast.c}}}, {{{mex/sources/ms-sbvar/mex_ms_forecast.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || see general options || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || -- || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.forecast}}} || passed by {{{forecast=<<int>>}}} || forecast horizon || || {{{data}}} || {{{<<integer>>}}} || {{0}} || || || the number of data points included in the output || || {{{error_bands}}} || {{{<<boolean>>}}} || {{{1}}} || || || See {{{error_bands}}} in {{{irf}}} || || {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[3 0.16 0.50 0.84]}}} else {{{[1 0.50]}}} || || || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} || || {{{shocks}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regime}}} in {{{irf}}} || || {{{mean}}} || {{{<<boolean>>}}} || {{{0}}} || || || produces mean forecast || || {{{flat}}} || {{{<<boolean>>}}} || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || || {{{nodate}}} || {{{<<boolean>>}}} || {{{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.|| || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || || <<BR>> '''Variance Decomposition''' (from {{{switch_dw/state_space/sbvar/sbvar_variance_decomposition.c}}}, {{{mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || see general options || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || forecast horizon || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{filtered}}} in {{{irf}}} || || {{{error_bands}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{error_bands}}} in {{{irf}}} || || {{{percentiles}}} || {{{<<vector>>}}} || || || || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} || || {{{shocks}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || {{{<<boolean>>}}} || {{{0}}} || || || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regime}}} in {{{irf}}} || || {{{flat}}} || {{{<<boolean>>}}} || {{{0}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{mean}}} || {{{<<integer>>}}} || {{{1}}} || || || || |
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 |
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mode_file |
<<string>> |
Mode file to load instead of re-estimating the model |
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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] |
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||||
adaptive_mh_draws |
<<integer>> |
Number of draws for the Adaptive MH step |
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load_mh_file |
<<string>> |
Filename of previously computed simulation run, load this instead of simulating the model again. |
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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 |
indxc0Pres |
cross_restrictions |
||||
contemp_reduced_form |
<<integer>> |
1: contemporaneous recursive reduced form |
0 |
Rform |
comtemp_reduced_form |
||||
bayesian_prior |
<<integer>> |
1: Bayesian 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 |
historical |
-- |
-- |
-- |
-- |
produces historical decomposition (not yet implemented) |
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>> |
-- |
M_.fname |
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>> |
|
not supported |
-- |
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):
create_init_file <matlab filename> <markov filename> <file tag>
Standalone Argument (no flags) |
Dynare Option and Argument |
Previous Dynare Option Name |
Comments |
|||
<matlab filename> |
None. Set automatically in sz_prd.m |
|
|
matlab file name |
||
<markov filename> |
markov_file |
<<string>> |
markov_file |
Markov file name |
||
<file tag> |
output_file_tag |
<<string>> |
output_file_tag |
The output file tag |
||
Estimation (from switch_dw/state_space/sbvar/sbvar_estimate.c):
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):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
ndraws |
<<integer |
1000 |
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 |
-- |
overwrites existing files |
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 |
|
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):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
d |
<<integer>> |
100000 |
options_.ms.mdd_proposal_draws |
|
number proposal draws |
pt |
<<integer>> |
2 |
options_.ms.mdd_proposal_type(1) |
|
proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian) |
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. |
u |
<<float>> |
0.9 |
options_.ms.mdd_proposal_type(3) |
|
|
use_mean |
<<intger>> |
0 |
options_.ms.mdd_use_mean_center |
|
use posterior mean as center |
Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
filtered |
<<integer>> |
1 |
options_.ms.filtered_probabilities |
|
filtered probabilities are computed |
smoothed |
<<integer>> |
0 |
options_.ms.real_time_smoothed_probabilities |
|
smoothed probabilities are computed |
real_time_smoothed |
<<integer>> |
0 |
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/sources/ms-sbvar/mex_ms_irf.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
see general options |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.irf |
passed by irf=<<int>> |
forecast horizon |
filtered |
<<boolean>> |
0 |
|
|
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 |
<<boolean>> |
1 |
|
|
output error bands |
percentiles |
<<vector>> |
if error_bands, [3 0.16 0.50 0.84] else [1 0.50] |
|
|
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 |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
Thinning factor. Only 1/thin of the draws in posterior draws file are used. |
regimes |
<<boolean>> |
0 |
|
|
Produces forecasts as if each regime were permanent. |
regime |
<<integer>> |
off |
|
|
Produces forecasts as if regime were permanent |
flat |
<<boolean>> |
off |
not supported |
-- |
Assumes that posterior draws is a flat file format |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
Forecast (from switch_dw/state_space/sbvar/sbvar_forecast.c, mex/sources/ms-sbvar/mex_ms_forecast.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
see general options |
see general options |
free_parameters |
<<vector>> |
|
|
-- |
|
horizon |
<<integer>> |
|
options_.ms.forecast |
passed by forecast=<<int>> |
forecast horizon |
data |
<<integer>> |
|
|
|
the number of data points included in the output |
error_bands |
<<boolean>> |
1 |
|
|
See error_bands in irf |
percentiles |
<<vector>> |
if error_bands, [3 0.16 0.50 0.84] else [1 0.50] |
|
|
See percentiles in irf |
parameter_uncertainty |
<<integer>> |
|
|
|
See parameter_uncertainty in irf |
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
See thin in irf |
regimes |
<<integer>> |
0 |
|
|
See regimes in irf |
regime |
<<integer>> |
0 |
|
|
See regime in irf |
mean |
<<boolean>> |
0 |
|
|
produces mean forecast |
flat |
<<boolean>> |
off |
not supported |
-- |
See flat in irf |
nodate |
<<boolean>> |
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. |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
filtered |
<<integer>> |
0 |
|
|
|
Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c, mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
see general options |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.variance_decomposition |
passed by variance_decomposition=<<int>> |
forecast horizon |
filtered |
<<integer>> |
0 |
|
|
See filtered in irf |
error_bands |
<<integer>> |
0 |
|
|
See error_bands in irf |
percentiles |
<<vector>> |
|
|
|
See percentiles in irf |
parameter_uncertainty |
<<integer>> |
|
|
|
See parameter_uncertainty in irf |
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
See thin in irf |
regimes |
<<boolean>> |
0 |
|
|
See regimes in irf |
regime |
<<integer>> |
0 |
|
|
See regime in irf |
flat |
<<boolean>> |
0 |
not supported |
-- |
See flat in irf |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
mean |
<<integer>> |
1 |
|
|
|