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| Deletions are marked like this. | Additions are marked like this. |
| Line 23: | Line 23: |
| || {{{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 || |
|| {{{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 || |
| Line 36: | Line 36: |
| '''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):{{{<<BR>>}}}{{{<<BR>>}}} | '''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):<<BR>><<BR>> |
| Line 61: | Line 61: |
| |||| '''Standalone Flag and 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. || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' |||| '''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Standalone Flag set by other MS Dynare Option named''' ||||'''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}}} || {{{<<string>>}}} |||| {{{output_file_tag}}} |||| |||| The output file tag. Used to create output filenames. || |
| Line 75: | Line 75: |
| |||| '''Standalone Flag and 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 || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' |||| '''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Standalone Flag set by other MS Dynare Option named''' |||| '''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 || |
| Line 85: | Line 85: |
| |||| '''Standalone Flag and 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) || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' |||| '''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Standalone Flag set by other MS Dynare Option named''' |||| '''Comments''' || || {{{ndraws}}} || {{{<<integer>>}}} |||| {{{1000}}} || {{{mh_replic}}} || {{{<<integer>>}}} |||| {{{mh_replic}}} |||| |||| Number of draws to save || || {{{burnin}}} || {{{<<integer>>}}} |||| {{{0.1*ndraws}}} || {{{drop}}} || {{{<<integer>>}}} |||| {{{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}}} || {{{<<integer>>}}} |||| {{{thinning_factor}}} |||| |||| Thinning factor. Total number of draws made is {{{thin*ndraws+burnin}}} || || {{{mh}}} || {{{<<integer>>}}} |||| {{{30000}}} || {{{adaptive_mh_draws}}} || {{{<<integer>>}}} |||| |||| |||| 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 96: | Line 96: |
| |||| '''Standalone Flag and 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}}} || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' |||| '''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Standalone Flag set by other MS Dynare Option named''' |||| '''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}}} || |
| Line 103: | Line 103: |
| |||| '''Standalone Flag and 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 || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' |||| '''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Standalone Flag set by other MS Dynare Option named''' |||| '''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 || |
| Line 120: | Line 120: |
| |||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' ||||'''Dynare Option Name''' |||| '''Comments''' || || {{{t}}} || {{{<<string>>}}} |||| |||| |||| filemname tag || || {{{horizon}}} || {{{<<integer>>}}} |||| {{{12}}} |||| |||| The number of periods to forecast out for || || {{{percentiles}}} || {{{<<integer>>}}} {{{<<vector_value>>}}} |||| {{{3 0.16 0.50 0.84}}} |||| |||| Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. || || {{{parameter_uncertainty}}} || -- |||| {{{off}}} |||| |||| Calculate using parameter uncertainty on top of shock uncertainty || || {{{error_bands}}} || -- |||| {{{off}}} |||| |||| Calculate error bands using percentiles || || {{{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. || || {{{regimes}}} || -- |||| {{{off}}} |||| |||| Produces forecasts as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} |||| {{{off}}} |||| |||| Produces forecasts as if {{{<<integer>>}}} regime were permanent. || || {{{mean}}} || -- |||| {{{off}}} |||| |||| Produces mean forecast || || {{{data}}} || {{{<<integer>>}}} |||| {{{0}}} |||| |||| Include the last {{{<<integer>>}}} periods in the output || |
|||| '''Standalone Flag and Argument''' |||| '''Standalone Default''' ||||'''Dynare Option and Argument''' |||| '''Standalone Flag set by other MS Dynare Option named''' ||||'''Comments''' || || {{{t}}} || {{{<<string>>}}} |||| || || |||| ||||filemname tag || || {{{horizon}}} || {{{<<integer>>}}} |||| {{{12}}} || -- || -- |||| {{{forecast}}} ||||The number of periods to forecast out for || || {{{percentiles}}} || [{{{<<integer>>}}} {{{<<double>>}}}] |||| {{{3 0.16 0.50 0.84}}} if {{{error_bands}}} set <<BR>>{{{1 0.50}}} otherwise|| || [{{{<<integer>>}}} {{{<<vector_value>>}}}] |||| |||| Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. || || {{{parameter_uncertainty}}} || -- |||| {{{off}}} || || |||| |||| Calculate using parameter uncertainty on top of shock uncertainty || || {{{error_bands}}} || -- |||| {{{off}}} || || |||| |||| Calculate error bands using percentiles || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} |||| {{{1}}} if parameter_uncertainty is set and {{{10,000}}} otherwise || || |||| ||||Number of shocks and regime paths to draw for each parameter draw. || || {{{regimes}}} || -- |||| {{{off}}} || || |||| |||| Produces forecasts as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} |||| {{{off}}} || || |||| |||| Produces forecasts as if {{{<<integer>>}}} regime were permanent. || || {{{mean}}} || -- |||| {{{off}}} || || |||| |||| Produces mean forecast || || {{{data}}} || {{{<<integer>>}}} |||| {{{0}}} || || |||| |||| Include the last {{{<<integer>>}}} periods in the output || || {{{thin}}} || {{{<<integer>>}}} |||| {{{1}}} || || |||| |||| Thinning factor. Only {{{1/thin}}} of the draws in posterior draws file are used.|| || {{{flat}}} || -- |||| {{{free file format}}} || || |||| |||| Assumes that posterior draws is a flat file format. || || {{{nodate}}} || -- |||| {{{off}}} || || |||| |||| 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. || |
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 and Argument |
Standalone Default |
Dynare Option and Argument |
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 |
-- |
-- |
forecast |
<<integer>> |
|
produces mean forecast |
|||
ir |
-- |
-- |
irf |
<<integer>> |
|
produces impulse responses for a given set of parameters |
|||
ir |
-- |
-- |
bayesian_irf |
<<integer>> |
|
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 |
|||
General Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):
Standalone Flag and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
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 |
<<string>> |
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 and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
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 and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
Comments |
||||||
ndraws |
<<integer>> |
1000 |
mh_replic |
<<integer>> |
mh_replic |
|
Number of draws to save |
||||
burnin |
<<integer>> |
0.1*ndraws |
drop |
<<integer>> |
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 |
<<integer>> |
thinning_factor |
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Thinning factor. Total number of draws made is thin*ndraws+burnin |
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mh |
<<integer>> |
30000 |
adaptive_mh_draws |
<<integer>> |
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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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|
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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 and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
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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|
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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 and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
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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filemname tag -- supersedes t and ft |
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pf |
<<string>> |
simulation_<tag>.out |
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|
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posterior draws fileanme |
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pt |
<<integer>> |
2 |
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|
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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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|
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number proposal draws |
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use_mode |
-- |
on |
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|
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use posterior mode as center |
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use_mean |
-- |
off |
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|
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use posterior mean as center |
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of |
<<string>> |
mdd_<tag>.out |
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|
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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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|
|
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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 |
|
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|
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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 and Argument |
Standalone Default |
Dynare Option and Argument |
Standalone Flag set by other MS Dynare Option named |
Comments |
|||||
t |
<<string>> |
|
|
|
|
filemname tag |
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horizon |
<<integer>> |
12 |
-- |
-- |
forecast |
The number of periods to forecast out for |
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percentiles |
[<<integer>> <<double>>] |
3 0.16 0.50 0.84 if error_bands set |
|
[<<integer>> <<vector_value>>] |
|
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>> |
1 if parameter_uncertainty is set and 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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thin |
<<integer>> |
1 |
|
|
|
Thinning factor. Only 1/thin of the draws in posterior draws file are used. |
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flat |
-- |
free file format |
|
|
|
Assumes that posterior draws is a flat file format. |
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nodate |
-- |
off |
|
|
|
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. |
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