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| ## page was renamed from MarkovSwitchingOptionsForNewCode | |
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| '''NB:''' The Previous Dynare Option Names specified below can be found on MarkovSwitchingOptions. | '''NB:''' All defaults set by {{{initialize_ms_sbvar_options.m}}} and passed to mex functions. <<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''' || || {{{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] |||| |||| || || {{{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-~ |||| 4 |||| qmFin |||| final_subperiod || || {{{datafile}}} || {{{<<string>>}}} ||||~- Load data-~ |||| |||| |||| data_file || || {{{nlags}}} || {{{<<integer>>}}} ||||~- Number of lags -~|||| 1 |||| 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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| == 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 <<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 || |
= Mex Functions = == General Dynare instructions for MS-SBVAR == |
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== Create Init File Mex Function == '''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''' |||| '''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 == |
I suggest to use several main Dynare keywords rather than options in a single Dynare command ms-sbvar |
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| |||| '''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 || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{estimate}}} || -- || -- || {{{options_.ms.estimate_msmodel}}} || {{{ms_estimatation}}} || produces estimation - posterior mode or maximum likelihood || || {{{simulate}}} || -- || -- || {{{options_.ms.print_draws}}} || {{{ms_simulation}}} || produces simulation run || || {{{mdd}}} || -- || -- || {{{options_.ms.compute_mdd}}} || {{{ms_compute_mdd}}} || produces marginal data density from posterior draws || || {{{probabilities}}} || -- || -- || {{{options_.ms.compute_probabilities}}} || {{{ms_compute_probabilities}}} || produces smoothed or filtered probabilities || || {{{forecast}}} || -- || -- || {{{options_.ms.forecast}}} || {{{ms_forecast}}} || produces mean forecast || || {{{ir}}} || -- || -- || {{{options_.ms.irf}}} || {{{ms_irf}}} || produces impulse responses for a given set of parameters with or without error bands and taking into account or not of parameter posterior uncertainty|| || {{{ms_variance_decomposition}}} || -- || -- || {{{options_.ms.variance_decomposition}}} || {{{ms_variance_decomposition}}} || produce variance decomposition || |
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| '''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. || |
'''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>>}}} || -- || {{{options_.ms.file_tag}}} || {{{file_tag}}} || 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>>}}} || || {{{options_.ms.initialization_file_tag}}} || {{{initialization_file_tag}}} || specification file name || || {{{fp}}} || {{{<<string>>}}} || || {{{options_.ms.estimation_file_tag}}} || {{{estimation_file_tag}}} || 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>>}}} || || {{{options_.ms.output_file_tag}}} || {{{output_file_tag}}} || 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 || || {{{seed}}} || {{{<<integer>>}}}|| {{{0}}} (i.e. random) || {{{options_.DynareRandomStreams.seed}}} || set by {{{set_dynare_seed()}}} in .mod file || seed value for random number generation || == Mex Functions and Their Options == '''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}): <<BR>> Mex Calling structure: {{{create_init_file <matlab filename> <markov filename> <file tag>}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || || {{{<matlab filename>}}} || -- || None. Set automatically in {{{sz_prd.m}}} || -- || matlab file name || || || {{{<markov filename>}}} || -- || {{{options_.ms.markov_file}}} || {{{markov_file}}} || Markov file name || || || {{{<file tag>}}} || -- || {{{options_.ms.output_file_tag}}} || {{{output_file_tag}}} || output file tag || <<BR>> '''Estimation''' (from {{{switch_dw/state_space/sbvar/sbvar_estimate.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{cb}}} || {{{<<float>>}}} || {{{1e-3}}} || {{{options_.ms.convergence_starting_value}}} || convergence_starting_value || convergence criterion starting value || || {{{ce}}} || {{{<<float>>}}} || {{{1e-6}}} || {{{options_.ms.convergence_ending_value}}} || convergence_ending_value || convergence criterion ending value || || {{{ci}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.convergence_increment_value}}} || convergence_increment_value || convergence criterion increment value || || {{{ib}}} || {{{<<integer>>}}} || {{{50}}} || {{{options_.ms.max_iterations_starting_value}}} || max_iterations_starting_value || maximum interations starting value || || {{{ii}}} || {{{<<float>>}}} || {{{2.0}}} || {{{options_.ms.max_iterations_increment_value}}} || max_iterations_increment_value || maximum interations increment value || || {{{mb}}} || {{{<<integer>>}}} || {{{100}}} || {{{options_.ms.max_block_iterations}}} || max_block_iterations || maximum block iterations || || {{{repeat_max}}} || {{{<<integer>>}}} || {{{10}}} || {{{options_.ms.max_repeated_optimization_runs}}} || max_repeated_optimization_runs|| maximum number of times to repeat csminwel runs || || {{{repeat_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.function_convergence_criterion}}} || function_convergence_criterion || convergence criterion for objective function || || {{{repeat_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.parameter_convergence_criterion}}}|| parameter_convergence_criterion || convergence criterion for parameter values || || {{{random}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.number_of_large_perturbations}}} || number_of_large_perturbations || number of large perturbations to make at each stage of the estimation process. || || {{{random_small}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.number_of_small_perturbations}}} || number_of_small_perturbations || number of small perturbations to make after the large perturbations have stopped improving. || || {{{random_small_ndraws}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.number_of_posterior_draws_after_perturbation}}} || number_of_posterior_draws_after_perturbation || number of consecutive posterior draws to make when producing a small perturbation || || {{{random_max}}} || {{{<<integer>>}}} || {{{20}}} || {{{options_.ms.max_number_of_stages}}} || max_number_of_stages || maximum number of stages allowed || || {{{random_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.random_function_convergence_criterion}}} || random_function_convergence_criterion || convergence criterion for objective function || || {{{random_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.random_parameter_convergence_criterion}}} || random_parameter_convergence_criterion || convergence criterion for parameter values || |
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| '''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''' (from {{{switch_dw/state_space/sbvar/sbvar_simulate.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{ndraws}}} || {{{<<integer>>}}} || {{{10,000}}} || {{{options_.ms.mh_replic}}} || {{{mh_replic}}} || Number of draws to save || || {{{burnin}}} || {{{<<integer>>}}} || {{{0.1*ndraws}}} || {{{options_.ms.drop}}} || drop || Number of burn-in draws || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.thinning_factor}}} || thinning_factor || Thinning factor. Total number of draws made is {{{thin*ndraws + burnin}}} || || {{{append}}} || -- || {{{off}}} || not supported || -- || Append simulation and info to existing files if they exist and use last parameter draw as initial value.|| || {{{mh}}} || {{{<<integer>>}}} || {{{30,000}}} || {{{options_.ms.adaptive_mh_draws}}} || {{{adaptive_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 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) || |
'''Marginal Data Density''' (from {{{switch_dw/state_space/sbvar/sbvar_mdd.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{t}}} || {{{<<string>>}}} || || not supported || -- || filemname tag || || {{{outtag}}} || {{{<<string>>}}} || || not supported || -- || filemname tag -- supersedes {{{t}}} and {{{ft}}} || || {{{pf}}} || {{{<<string>>}}} || {{{simulation_<tag>.out}}} || {{{options_.ms.mh_file}}} || {{{simulation_file_tag}}} || posterior draws fileanme || || {{{pt}}} || {{{<<integer>>}}} || {{{3}}} || {{{options_.ms.mdd_proposal_type(1)}}} || proposal_type (3-dim vector, see below) || proposal type ({{{1}}}=gaussian, {{{2}}}=power, {{{3}}}=truncated power, {{{4}}}=step, {{{5}}}=truncated gaussian) || || {{{d}}} || {{{<<integer>>}}} || {{{100,000}}} || {{{options_.ms.mdd_proposal_draws}}} || mdd_proposal_draws || number proposal draws || || {{{use_mode}}} || -- || {{{on}}} || not supported || -- || use posterior mode as center || || {{{use_mean}}} || -- || {{{off}}} || {{{options_.ms.mdd_use_mean_center}}} || mdd_use_mean_center || use posterior mean as center || || {{{of}}} || {{{<<string>>}}} || {{{mdd_<tag>.out}}} || not supported || -- || output filename || || {{{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. || || {{{h}}} || {{{<<float>>}}} || {{{0.9}}} || {{{options_.ms.mdd_proposal_type(3)}}} || || Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. || || {{{graph}}} || -- || {{{off}}} || not supported || -- || 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}}} || not supported || -- || Prints the matrices posterior and proposal || || {{{append}}} || -- || {{{off}}} || not supported || -- || Appends proposal draws to those previously made. If the posterior draws have changed in any way, then this option must not be used. The filename for the proposal draws is proposal_t<proposal type>_<tag>.out.|| |
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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''' || || {{{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}}}): |
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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''' || || {{{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 || <<BR>> '''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 || || {{{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|| || {{{<<vector_value>>}}} (first integer set by size) |||| |||| 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 as well as 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. || |
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.filtered_probabilities}}} || filtered_probabilities || filtered probabilities are computed instead of smoothed || || {{{real_time_smoothed}}} || -- || {{{off}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || real_time_smoothed_probabilities|| smoothed probabilities are computed based on time {{{t}}} information are computed for {{{0 <= t <= nobs}}} || |
| Line 137: | Line 132: |
| '''Impulse Response Functions''' (from {{{switch_dw/state_space/sbvar/sbvar_impulse_response.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 || || {{{filtered}}} || -- |||| {{{off}}} || || |||| |||| Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. The default behavior is to us the ergodic distribution for the initial conditions. This flag only applies if neither -regimes nor -regime is specified. || || {{{horizon}}} || {{{<<integer>>}}} |||| {{{12}}} || -- || -- |||| {{{irf}}} ||||The number of periods to compute the impulse response for || || {{{percentiles}}} || [{{{<<integer>>}}} {{{<<double>>}}}] |||| {{{3 0.16 0.50 0.84}}} if {{{error_bands}}} set <<BR>>{{{1 0.50}}} otherwise|| || {{{<<vector_value>>}}} (first integer set by size) |||| |||| 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}}} || || |||| {{{bayesian_irf}}} |||| 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 impulse responses as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} |||| {{{off}}} || || |||| |||| Produces impulse responses as if {{{<<integer>>}}} regime were permanent. || || {{{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. || |
'''Impulse Responses''' (from {{{switch_dw/state_space/sbvar/sbvar_impulse_responses.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.horizon}}} || horizon || forecast horizon || || {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.filtered_probabilities}}} || filtered_probabilities || 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. || || {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[0.16 0.50 0.84]}}} else {{{[0.50]}}} || {{{options_.ms.error_band_percentiles}}} || error_band_percentiles || 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}}} || {{{options_.ms.parameter_uncertainty}}} || parameter_uncertainty || Apply parameter uncertainty when computing percentiles. || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10,000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || shock_draws || Number of regime paths to draw for each parameter draw. The default value is {{{1}}} if {{{parameter_uncertainty}}} is set and {{{10,000}}} otherwise.|| || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.thinning_factor}}} || thinning_factor || Thinning factor. Only {{{1/thin}}} of the draws in posterior draws file are used.|| || {{{regimes}}} || -- || {{{off}}} || {{{options_.ms.regimes}}} || regimes || Describes the evolution of regimes. || || {{{regime}}} || {{{<<integer>>}}} || {{{off}}} || {{{options_.ms.regime}}} || regime || Given the data and model parameters, what is the ergodic probability of being in the specified regime. || || {{{flat}}} || -- || {{{off}}} || not supported || -- || Assumes that posterior draws is a flat file format || || {{{median}}} || -- || {{{off}}} || {{{options_.ms.median}}} || median || This is intended as a shortcut to setting percentiles as {{{percentiles=[0.50]}}} || <<BR>> '''Forecast''' (from {{{switch_dw/state_space/sbvar/sbvar_forecast.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.horizon}}} || horizon || See {{{horizon}}} in {{{irf}}} || || {{{number_observations}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.forecast_data_obs}}} || data_obs_nbr || the number of data points included in the output || || {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[0.16 0.50 0.84]}}} else {{{[0.50]}}} || {{{options_.ms.error_band_percentiles}}} || error_band_percentiles || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || -- || {{{off}}} || {{{options_.ms.parameter_uncertainty}}} || parameter_uncertainty || See {{{parameter_uncertainty}}} in {{{irf}}} || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10,000 or 10}}}|| {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || shock_draws ||See {{{shocks_per_parameter}}} in {{{irf}}} || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.thinning_factor}}} || thinning_factor || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.regimes}}} || regimes || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.regime}}} || regime || See {{{regime}}} in {{{irf}}} || || {{{mean}}} || -- || {{{off}}} || not supported in Dan's code || -- || produces mean forecast || || {{{flat}}} || -- || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || || {{{nodate}}} || -- || {{{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.|| || {{{median}}} || -- || {{{off}}} || {{{options_.ms.median}}} || median || See analogous table under {{{irf}}} || <<BR>> '''Variance Decomposition''' (from {{{switch_dw/state_space/sbvar/sbvar_variance_decomposition.c}}}): <<BR>> Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.horizon}}} || horizon || forecast horizon || || {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.filtered_probabilities}}} || filtered_probabilities || See {{{filtered}}} in {{{irf}}} || || {{{percentiles}}} || {{{<<vector>>}}} || || {{{options_.ms.error_band_percentiles}}} || error_band_percentiles || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || -- || {{{off}}} || {{{options_.ms.parameter_uncertainty}}} || parameter_uncertainty || See {{{parameter_uncertainty}}} in {{{irf}}} || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10,000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || shock_draws|| See {{{shocks_per_parameter}}} in {{{irf}}} || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.thinning_factor}}} || thinning_factor || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || -- || {{{off}}} || {{{options_.ms.regimes}}} || regimes || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.regime}}} || regime || See {{{regime}}} in {{{irf}}} || || {{{flat}}} || -- || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || |
NB: All defaults set by initialize_ms_sbvar_options.m and passed to mex functions.
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 |
|||||
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] |
|
|
||||
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 |
4 |
qmFin |
final_subperiod |
||||
datafile |
<<string>> |
Load data |
|
|
data_file |
||||
nlags |
<<integer>> |
Number of lags |
1 |
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 |
||||
Mex Functions
General Dynare instructions for MS-SBVAR
I suggest to use several main Dynare keywords rather than options in a single Dynare command ms-sbvar
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 |
ms_estimatation |
produces estimation - posterior mode or maximum likelihood |
simulate |
-- |
-- |
options_.ms.print_draws |
ms_simulation |
produces simulation run |
mdd |
-- |
-- |
options_.ms.compute_mdd |
ms_compute_mdd |
produces marginal data density from posterior draws |
probabilities |
-- |
-- |
options_.ms.compute_probabilities |
ms_compute_probabilities |
produces smoothed or filtered probabilities |
forecast |
-- |
-- |
options_.ms.forecast |
ms_forecast |
produces mean forecast |
ir |
-- |
-- |
options_.ms.irf |
ms_irf |
produces impulse responses for a given set of parameters with or without error bands and taking into account or not of parameter posterior uncertainty |
ms_variance_decomposition |
-- |
-- |
options_.ms.variance_decomposition |
ms_variance_decomposition |
produce variance decomposition |
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>> |
-- |
options_.ms.file_tag |
file_tag |
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>> |
|
options_.ms.initialization_file_tag |
initialization_file_tag |
specification file name |
fp |
<<string>> |
|
options_.ms.estimation_file_tag |
estimation_file_tag |
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>> |
|
options_.ms.output_file_tag |
output_file_tag |
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 |
seed |
<<integer>> |
0 (i.e. random) |
options_.DynareRandomStreams.seed |
set by set_dynare_seed() in .mod file |
seed value for random number generation |
Mex Functions and Their Options
Create Init File Syntax (from switch_dw/state_space/sbvar/create_init_file.c):
Mex Calling structure: create_init_file <matlab filename> <markov filename> <file tag>
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
|
<matlab filename> |
-- |
None. Set automatically in sz_prd.m |
-- |
matlab file name |
|
<markov filename> |
-- |
options_.ms.markov_file |
markov_file |
Markov file name |
|
<file tag> |
-- |
options_.ms.output_file_tag |
output_file_tag |
output file tag |
Estimation (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
cb |
<<float>> |
1e-3 |
options_.ms.convergence_starting_value |
convergence_starting_value |
convergence criterion starting value |
ce |
<<float>> |
1e-6 |
options_.ms.convergence_ending_value |
convergence_ending_value |
convergence criterion ending value |
ci |
<<float>> |
0.1 |
options_.ms.convergence_increment_value |
convergence_increment_value |
convergence criterion increment value |
ib |
<<integer>> |
50 |
options_.ms.max_iterations_starting_value |
max_iterations_starting_value |
maximum interations starting value |
ii |
<<float>> |
2.0 |
options_.ms.max_iterations_increment_value |
max_iterations_increment_value |
maximum interations increment value |
mb |
<<integer>> |
100 |
options_.ms.max_block_iterations |
max_block_iterations |
maximum block iterations |
repeat_max |
<<integer>> |
10 |
options_.ms.max_repeated_optimization_runs |
max_repeated_optimization_runs |
maximum number of times to repeat csminwel runs |
repeat_tol_obj |
<<float>> |
0.1 |
options_.ms.function_convergence_criterion |
function_convergence_criterion |
convergence criterion for objective function |
repeat_tol_parms |
<<float>> |
0.1 |
options_.ms.parameter_convergence_criterion |
parameter_convergence_criterion |
convergence criterion for parameter values |
random |
<<integer>> |
5 |
options_.ms.number_of_large_perturbations |
number_of_large_perturbations |
number of large perturbations to make at each stage of the estimation process. |
random_small |
<<integer>> |
5 |
options_.ms.number_of_small_perturbations |
number_of_small_perturbations |
number of small perturbations to make after the large perturbations have stopped improving. |
random_small_ndraws |
<<integer>> |
1 |
options_.ms.number_of_posterior_draws_after_perturbation |
number_of_posterior_draws_after_perturbation |
number of consecutive posterior draws to make when producing a small perturbation |
random_max |
<<integer>> |
20 |
options_.ms.max_number_of_stages |
max_number_of_stages |
maximum number of stages allowed |
random_tol_obj |
<<float>> |
0.1 |
options_.ms.random_function_convergence_criterion |
random_function_convergence_criterion |
convergence criterion for objective function |
random_tol_parms |
<<float>> |
0.1 |
options_.ms.random_parameter_convergence_criterion |
random_parameter_convergence_criterion |
convergence criterion for parameter values |
Simulation (from switch_dw/state_space/sbvar/sbvar_simulate.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
ndraws |
<<integer>> |
10,000 |
options_.ms.mh_replic |
mh_replic |
Number of draws to save |
burnin |
<<integer>> |
0.1*ndraws |
options_.ms.drop |
drop |
Number of burn-in draws |
thin |
<<integer>> |
1 |
options_.ms.thinning_factor |
thinning_factor |
Thinning factor. Total number of draws made is thin*ndraws + burnin |
append |
-- |
off |
not supported |
-- |
Append simulation and info to existing files if they exist and use last parameter draw as initial value. |
mh |
<<integer>> |
30,000 |
options_.ms.adaptive_mh_draws |
adaptive_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):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
t |
<<string>> |
|
not supported |
-- |
filemname tag |
outtag |
<<string>> |
|
not supported |
-- |
filemname tag -- supersedes t and ft |
pf |
<<string>> |
simulation_<tag>.out |
options_.ms.mh_file |
simulation_file_tag |
posterior draws fileanme |
pt |
<<integer>> |
3 |
options_.ms.mdd_proposal_type(1) |
proposal_type (3-dim vector, see below) |
proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian) |
d |
<<integer>> |
100,000 |
options_.ms.mdd_proposal_draws |
mdd_proposal_draws |
number proposal draws |
use_mode |
-- |
on |
not supported |
-- |
use posterior mode as center |
use_mean |
-- |
off |
options_.ms.mdd_use_mean_center |
mdd_use_mean_center |
use posterior mean as center |
of |
<<string>> |
mdd_<tag>.out |
not supported |
-- |
output filename |
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. |
h |
<<float>> |
0.9 |
options_.ms.mdd_proposal_type(3) |
|
Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. |
graph |
-- |
off |
not supported |
-- |
Produce output suitable for graphing the marginal cummulative densities of the radius of the posterior and elliptical distributions. The marginal data density is not computed. |
-- |
off |
not supported |
-- |
Prints the matrices posterior and proposal |
|
append |
-- |
off |
not supported |
-- |
Appends proposal draws to those previously made. If the posterior draws have changed in any way, then this option must not be used. The filename for the proposal draws is proposal_t<proposal type>_<tag>.out. |
Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
filtered |
-- |
off |
options_.ms.filtered_probabilities |
filtered_probabilities |
filtered probabilities are computed instead of smoothed |
real_time_smoothed |
-- |
off |
options_.ms.real_time_smoothed_probabilities |
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 Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.horizon |
horizon |
forecast horizon |
filtered |
-- |
off |
options_.ms.filtered_probabilities |
filtered_probabilities |
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. |
percentiles |
<<vector>> |
if error_bands, [0.16 0.50 0.84] else [0.50] |
options_.ms.error_band_percentiles |
error_band_percentiles |
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 |
options_.ms.parameter_uncertainty |
parameter_uncertainty |
Apply parameter uncertainty when computing percentiles. |
shocks_per_parameter |
<<integer>> |
10,000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
shock_draws |
Number of regime paths to draw for each parameter draw. The default value is 1 if parameter_uncertainty is set and 10,000 otherwise. |
thin |
<<integer>> |
1 |
options_.ms.thinning_factor |
thinning_factor |
Thinning factor. Only 1/thin of the draws in posterior draws file are used. |
regimes |
-- |
off |
options_.ms.regimes |
regimes |
Describes the evolution of regimes. |
regime |
<<integer>> |
off |
options_.ms.regime |
regime |
Given the data and model parameters, what is the ergodic probability of being in the specified regime. |
flat |
-- |
off |
not supported |
-- |
Assumes that posterior draws is a flat file format |
median |
-- |
off |
options_.ms.median |
median |
This is intended as a shortcut to setting percentiles as percentiles=[0.50] |
Forecast (from switch_dw/state_space/sbvar/sbvar_forecast.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.horizon |
horizon |
See horizon in irf |
number_observations |
<<integer>> |
0 |
options_.ms.forecast_data_obs |
data_obs_nbr |
the number of data points included in the output |
percentiles |
<<vector>> |
if error_bands, [0.16 0.50 0.84] else [0.50] |
options_.ms.error_band_percentiles |
error_band_percentiles |
See percentiles in irf |
parameter_uncertainty |
-- |
off |
options_.ms.parameter_uncertainty |
parameter_uncertainty |
See parameter_uncertainty in irf |
shocks_per_parameter |
<<integer>> |
10,000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
shock_draws |
See shocks_per_parameter in irf |
thin |
<<integer>> |
1 |
options_.ms.thinning_factor |
thinning_factor |
See thin in irf |
regimes |
<<integer>> |
0 |
options_.ms.regimes |
regimes |
See regimes in irf |
regime |
<<integer>> |
0 |
options_.ms.regime |
regime |
See regime in irf |
mean |
-- |
off |
not supported in Dan's code |
-- |
produces mean forecast |
flat |
-- |
off |
not supported |
-- |
See flat in irf |
nodate |
-- |
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. |
median |
-- |
off |
options_.ms.median |
median |
See analogous table under irf |
Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.horizon |
horizon |
forecast horizon |
filtered |
-- |
off |
options_.ms.filtered_probabilities |
filtered_probabilities |
See filtered in irf |
percentiles |
<<vector>> |
|
options_.ms.error_band_percentiles |
error_band_percentiles |
See percentiles in irf |
parameter_uncertainty |
-- |
off |
options_.ms.parameter_uncertainty |
parameter_uncertainty |
See parameter_uncertainty in irf |
shocks_per_parameter |
<<integer>> |
10,000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
shock_draws |
See shocks_per_parameter in irf |
thin |
<<integer>> |
1 |
options_.ms.thinning_factor |
thinning_factor |
See thin in irf |
regimes |
-- |
off |
options_.ms.regimes |
regimes |
See regimes in irf |
regime |
<<integer>> |
0 |
options_.ms.regime |
regime |
See regime in irf |
flat |
-- |
off |
not supported |
-- |
See flat in irf |