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| Deletions are marked like this. | Additions are marked like this. |
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| '''NB:''' Below, an * indicates that the option already exists and is referenced in MarkovSwitchingOptions. | '''NB:''' The Previous Dynare Option Names specified below can be found on MarkovSwitchingOptions. |
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| || '''Dynare Option Name''' |||| '''Argument''' |||| '''Comments''' |||| '''Default''' |||| '''Variable Name''' |||| '''Previous Name''' || || {{{create_initialization_file}}}* |||| <<integer>> |||| ~- '''1.''' to create init_<output_file_tag>.dat '''0.''' Otherwise -~|||| 1 |||| || create_initialization_file || || {{{mode_compute}}}* |||| <<integer>> ||||~- '''1.''' Use csminwel to estimate the mode '''0.''' Will not try to estimate the model -~|||| 1 |||| |||| estimate_msmodel || |
|| '''Dynare Option Name''' |||| '''Argument''' |||| '''Comments''' |||| '''Default''' |||| '''Matlab Variable Name''' |||| '''Previous Dynare Option Name''' || || {{{create_initialization_file}}} |||| <<integer>> |||| ~- '''1.''' to create init_<output_file_tag>.dat '''0.''' Otherwise -~|||| 1 |||| || create_initialization_file || || {{{mode_compute}}} |||| <<integer>> ||||~- '''1.''' Use csminwel to estimate the mode '''0.''' Will not try to estimate the model -~|||| 1 |||| |||| estimate_msmodel || |
| Line 11: | Line 11: |
| || {{{compute_mdd}}}* |||| <<integer>> |||| ~- '''1.''' Compute marginal data densities '''0.''' Otherwise -~|||| 1 |||| |||| compute_mdd || || {{{compute_probabilities}}}* |||| <<integer>> |||| ~- '''1.''' Compute probabilites '''0.''' Otherwise -~|||| 1 |||| |||| compute_probabilities || || {{{irf}}} |||| <<integer>> ||||~- Produce Impulse Response Graphs with horizon=integer -~|||| |||| |||| || || {{{bayesian_irf}}} |||| -- ||||~- Produce Bayesian Impulse Response Graphs with horizon=irf -~|||| |||| |||| || || {{{forecast}}} |||| <<integer>> ||||~- Produce Forecast with horizon=integer -~|||| |||| |||| || |
|
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| || {{{mh_replic}}}* |||| <<integer>> ||||~- The number of draws to save from the simulation -~|||| 1000|||| n_draws |||| n_draws || || {{{drop}}} |||| <<integer>> ||||~- The number of samples to drop at the beginning of the sampling period -~|||| |||| |||| || || {{{thinning_factor}}}* |||| <<integer>> ||||~- total draws = ( thinning_factor x mh_replic ) + drop -~|||| 1 |||| |||| thinning_factor || |
|
| Line 22: | Line 14: |
| || {{{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 || |
|| {{{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 || |
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| || '''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 || |
|| '''Standalone Argument''' |||| '''Dynare Option Name''' |||| '''Previous Dynare Option Name''' |||| '''Comments''' || || {{{<matlab filename>}}} |||| None. Set automatically in {{{sz_prd.m}}} |||| |||| matlab file name || || {{{<markov filename>}}} |||| {{{markov_file}}} |||| {{{markov_file}}} |||| Markov file name || || {{{<file tag>}}} |||| {{{output_file_tag}}} |||| {{{output_file_tag}}} |||| The output file tag || |
| Line 51: | Line 43: |
| == Estimation, Simulation, Probabilities, Marginal Data Densitiy Mex Function == | == Estimation, Simulation, Probabilities, Marginal Data Densitiy, IRF, Forecast Mex Function == |
| Line 54: | Line 46: |
| || '''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}}} |||| |||| |||| {{{forecast}}} |||| produces mean forecast || || {{{ir}}} |||| -horizon <<integer>> |||| |||| {{{irf}}} |||| produces impulse responses for a given set of parameters || || {{{ir}}} |||| -horizon <<integer>> -parameter_uncertainty -error_bands |||| |||| {{{bayesian_irf}}} |||| produces banded 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 || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous Dynare Option Name''' |||| '''Comments''' || || {{{estimate}}} |||| -- |||| |||| {{{estimate_msmodel}}} |||| {{{estimate_msmodel}}} |||| produces estimation - posterior mode or maximum likelihood || || {{{simulate}}} |||| -- |||| |||| {{{print_draws}}} |||| {{{print_draws}}}|||| produces simulation run || || {{{probabilities}}} |||| -- |||| |||| {{{compute_probabilities}}} |||| {{{compute_probabilities}}} |||| produces smoothed or filtered probabilities || || {{{mdd}}} |||| -- |||| |||| {{{compute_mdd}}} |||| {{{compute_mdd}}} |||| produces marginal data density from posterior draws || || {{{forecast}}} |||| <<integer>>|||| |||| {{{forecast}}} |||| |||| produces mean forecast || || {{{ir}}} |||| {{{-horizon}}} <<integer>> |||| |||| {{{irf}}} |||| |||| produces impulse responses for a given set of parameters || || {{{ir}}} |||| {{{-horizon}}} <<integer>> {{{-parameter_uncertainty}}} {{{-error_bands}}} |||| |||| {{{bayesian_irf}}} |||| |||| produces banded impulse responses || || {{{historical}}} |||| -- |||| |||| |||| |||| produces historical decomposition || || {{{smoothedshocks}}} |||| -- |||| |||| |||| |||| produces smoothed shocks || || {{{smoothedstates}}} |||| -- |||| |||| |||| |||| produces smoothed states || || {{{seed}}} |||| <<integer>> |||| {{{0}}} (i.e. random) |||| set by {{{set_dynare_seed()}}} in .mod file |||| |||| seed value for random number generation || |
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| || '''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. || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous 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}}} |||| {{{output_file_tag}}} |||| The output file tag. Used to create output filenames. || |
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| || '''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 || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous 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 || |
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| || '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Comments''' || || {{{ndraws}}} |||| <<integer>> |||| {{{1000}}} |||| {{{mh_replic}}}* |||| Number of draws to save || || {{{burnin}}} |||| <<integer>> |||| {{{0.1*ndraws}}} |||| {{{drop}}} <<BR>> two similar options existed, but were appended with {{{_1}}} and {{{_2}}} |||| Number of burn-in draws || || {{{thin}}} |||| <<integer>> |||| {{{1}}} |||| {{{thinning_factor}}}* |||| Thinning factor. Total number of draws made is {{{thin*ndraws+burnin}}} || || {{{mh}}} |||| <<integer>> |||| {{{30000}}} |||| {{{adaptive_mh_draws}}} |||| Tuning period for Metropolis-Hasting draws || || {{{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) || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous Dynare Option Name''' |||| '''Comments''' || || {{{ndraws}}} |||| <<integer>> |||| {{{1000}}} |||| {{{mh_replic}}} |||| {{{mh_replic}}} |||| Number of draws to save || || {{{burnin}}} |||| <<integer>> |||| {{{0.1*ndraws}}} |||| {{{drop}}} |||| {{{draws_nbr_burn_in_1}}} {{{draws_nbr_burn_in_2}}} |||| The number of samples to drop at the beginning of the sampling period || || {{{thin}}} |||| <<integer>> |||| {{{1}}} |||| {{{thinning_factor}}} |||| {{{thinning_factor}}} |||| Thinning factor. Total number of draws made is {{{thin*ndraws+burnin}}} || || {{{mh}}} |||| <<integer>> |||| {{{30000}}} |||| {{{adaptive_mh_draws}}} |||| |||| Tuning period for Metropolis-Hasting draws || || {{{flat}}} |||| -- |||| {{{off}}} |||| |||| |||| Produce flat output file and header || || {{{nofree}}} |||| -- |||| {{{off}}} |||| |||| |||| Do not produce free parameters file || || {{{nd1}}} |||| -- |||| {{{off}}} |||| |||| |||| Normalize diagonal of A0 to one (flat output only) || |
| Line 104: | Line 96: |
| || '''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}}} || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous 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}}} || |
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| || '''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 || |
|| '''Standalone Flag''' |||| '''Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Previous 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 || |
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| || {{{data}}} |||| <<integer>> |||| {{{0}}} |||| |||| Include the last <<integer>> periods in the output || | || {{{data}}} |||| <<integer>> |||| {{{0}}} |||| |||| Include the last <<integer>> periods in the output || |
NB: The Previous Dynare Option Names specified below can be found on MarkovSwitchingOptions.
ms_sbvar new/renamed options
Dynare Option Name |
Argument |
Comments |
Default |
Matlab Variable Name |
Previous Dynare Option Name |
|||||
create_initialization_file |
<<integer>> |
1. to create init_<output_file_tag>.dat 0. Otherwise |
1 |
|
create_initialization_file |
|||||
mode_compute |
<<integer>> |
1. Use csminwel to estimate the mode 0. Will not try to estimate the model |
1 |
|
estimate_msmodel |
|||||
mode_file |
<<string>> |
Mode file to load instead of re-estimating the model |
|
|
|
|||||
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 |
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 |
|||||
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 |
Previous Dynare Option Name |
Comments |
|||
<matlab filename> |
None. Set automatically in sz_prd.m |
|
matlab file name |
|||
<markov filename> |
markov_file |
markov_file |
Markov file name |
|||
<file tag> |
output_file_tag |
output_file_tag |
The output file tag |
|||
Estimation, Simulation, Probabilities, Marginal Data Densitiy, IRF, Forecast Mex Function
Top Level Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):
Standalone Flag |
Argument |
Standalone Default |
Dynare Option Name |
Previous Dynare Option Name |
Comments |
|||||
estimate |
-- |
|
estimate_msmodel |
estimate_msmodel |
produces estimation - posterior mode or maximum likelihood |
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simulate |
-- |
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print_draws |
print_draws |
produces simulation run |
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probabilities |
-- |
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compute_probabilities |
compute_probabilities |
produces smoothed or filtered probabilities |
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mdd |
-- |
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compute_mdd |
compute_mdd |
produces marginal data density from posterior draws |
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forecast |
<<integer>> |
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forecast |
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produces mean forecast |
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ir |
-horizon <<integer>> |
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irf |
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produces impulse responses for a given set of parameters |
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ir |
-horizon <<integer>> -parameter_uncertainty -error_bands |
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bayesian_irf |
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produces banded impulse responses |
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historical |
-- |
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produces historical decomposition |
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smoothedshocks |
-- |
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produces smoothed shocks |
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smoothedstates |
-- |
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|
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produces smoothed states |
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seed |
<<integer>> |
0 (i.e. random) |
set by set_dynare_seed() in .mod file |
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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 |
Previous Dynare Option Name |
Comments |
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di |
<<string>> |
./ |
not supported |
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input files are in specified directory |
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do |
<<string>> |
./ |
not supported |
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output files are in specified directory |
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fs |
<<string>> |
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specification file name |
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fp |
<<string>> |
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parameter file name |
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ph |
<<string>> |
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header for the parameters |
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pho |
<<string>> |
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parameter header used for output |
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MLE |
<<string>> |
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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: ". |
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fo |
<<string>> |
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output file name |
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ft |
<<string>> |
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The input file tag. Is used to create input filenames if the fs or fp options are not present. |
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fto |
<<string>> |
associated with ft |
output_file_tag |
output_file_tag |
The output file tag. Used to create output filenames. |
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Estimation Options (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Standalone Flag |
Argument |
Standalone Default |
Dynare Option Name |
Previous Dynare Option Name |
Comments |
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cb |
<<double>> |
1.0e-03 |
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convergence criterion starting value |
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ce |
<<double>> |
1.0e-06 |
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convergence criterion ending value |
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ci |
<<double>> |
0.1 |
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convergence criterion increment value |
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ib |
<<integer>> |
50 |
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maximum interations starting value |
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ii |
<<double>> |
2.0 |
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maximum interations increment value |
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mb |
<<integer>> |
100 |
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maximum block iterations |
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Simulation Options (from switch_dw/state_space/sbvar/sbvar_simulate.c):
Standalone Flag |
Argument |
Standalone Default |
Dynare Option Name |
Previous Dynare Option Name |
Comments |
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ndraws |
<<integer>> |
1000 |
mh_replic |
mh_replic |
Number of draws to save |
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burnin |
<<integer>> |
0.1*ndraws |
drop |
draws_nbr_burn_in_1 draws_nbr_burn_in_2 |
The number of samples to drop at the beginning of the sampling period |
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thin |
<<integer>> |
1 |
thinning_factor |
thinning_factor |
Thinning factor. Total number of draws made is thin*ndraws+burnin |
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mh |
<<integer>> |
30000 |
adaptive_mh_draws |
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Tuning period for Metropolis-Hasting draws |
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flat |
-- |
off |
|
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Produce flat output file and header |
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nofree |
-- |
off |
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Do not produce free parameters file |
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nd1 |
-- |
off |
|
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Normalize diagonal of A0 to one (flat output only) |
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Probabilities Options (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Standalone Flag |
Argument |
Standalone Default |
Dynare Option Name |
Previous Dynare Option Name |
Comments |
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filtered |
-- |
off |
|
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Compute filtered probabilities |
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smoothed |
-- |
on if neither filtered nor real_time_smoothed is passed |
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Compute smoothed probabilities |
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real_time_smoothed |
-- |
off |
|
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Compute smoothed probabilities based on time t information 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 |
Previous Dynare Option Name |
Comments |
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t |
<<string>> |
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filemname tag |
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ft |
<<string>> |
|
|
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filemname tag -- supersedes t |
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outtag |
<<string>> |
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|
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filemname tag -- supersedes t and ft |
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pf |
<<string>> |
simulation_<tag>.out |
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posterior draws fileanme |
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pt |
<<integer>> |
2 |
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proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian) |
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d |
<<integer>> |
100,000 |
|
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number proposal draws |
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use_mode |
-- |
on |
|
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use posterior mode as center |
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use_mean |
-- |
off |
|
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use posterior mean as center |
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of |
<<string>> |
mdd_<tag>.out |
|
|
output filename |
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l |
<<double>> |
0.1 |
|
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Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform. |
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h |
<<double>> |
0.9 |
|
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Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. |
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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. |
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-- |
off |
|
|
Prints the matrices posterior and proposal |
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Forecast Options (from switch_dw/state_space/sbvar/sbvar_forecast.c):
Standalone Flag |
Argument |
Standalone Default |
Dynare Option Name |
Comments |
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t |
<<string>> |
|
|
filemname tag |
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horizon |
<<integer>> |
12 |
|
The number of periods to forecast out for |
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percentiles |
<<integer>> <<vector_value>> |
3 0.16 0.50 0.84 |
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Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. |
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parameter_uncertainty |
-- |
off |
|
Calculate using parameter uncertainty on top of shock uncertainty |
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error_bands |
-- |
off |
|
Calculate error bands using percentiles |
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shocks_per_parameter |
<<integer>> |
default = 1 if parameter_uncertainty is set and default = 10,000 otherwise |
|
Number of shocks and regime paths to draw for each parameter draw. |
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regimes |
-- |
off |
|
Produces forecasts as if each regime were permanent. |
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regime |
<<integer>> |
off |
|
Produces forecasts as if <<integer>> regime were permanent. |
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mean |
-- |
off |
|
Produces mean forecast |
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data |
<<integer>> |
0 |
|
Include the last <<integer>> periods in the output |
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