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| <<BR>> = Miscellaneous Commands needed by Matlab to link to the Mex Functions (below) = ||||'''Dynare Option and Argument''' |||| '''Comments''' |||| '''Default''' |||| '''Matlab Variable Name''' |||| '''Previous Dynare Option Name''' || || {{{mode_compute}}} || {{{<<integer>>}}} ||||~- '''1.''' Use csminwel to estimate the model '''0.''' Will not try to estimate the model -~|||| 1 |||| |||| || || {{{mode_file}}} || {{{<<string>>}}} ||||~- Mode file to load instead of re-estimating the model -~|||| |||| |||| || || {{{coefficients_prior_hyperparameters}}} || {{{<<vec_value>>}}} ||||~- Sets the hyper parameters for the sbvar (mu in sz_prd.m), this should be a vector of doubles of length 6 -~|||| [1.0 1.0 0.1 1.2 1.0 1.0] |||| |||| || || {{{adaptive_mh_draws}}} || {{{<<integer>>}}} ||||~- Number of draws for the Adaptive MH step -~|||| |||| |||| || || {{{load_mh_file}}} || {{{<<string>>}}} ||||~- Filename of previously computed simulation run, load this instead of simulating the model again. -~|||| |||| |||| || || {{{freq}}} || {{{<<integer>>}}} ||||~- quarters or months -~|||| 4 |||| q_m |||| freq || || {{{initial_year}}} || {{{<<integer>>}}} ||||~- beginning of the year -~|||| |||| yrBin |||| initial_year || || {{{initial_subperiod}}} || {{{<<integer>>}}} |||| ~-beginning of the quarter or month-~ |||| 1 |||| qmBin |||| initial_subperiod || || {{{final_year}}} || {{{<<integer>>}}} |||| ~-final year-~ |||| |||| yrFin |||| final_year || || {{{final_subperiod}}} || {{{<<integer>>}}} ||||~- final month or quarter-~ |||| |||| qmFin |||| final_subperiod || || {{{datafile}}} || {{{<<string>>}}} ||||~- Load data-~ |||| |||| |||| data_file || || {{{varlist}}} || {{{<<vec_value>>}}} ||||~- Names of variables -~|||| |||| varlist |||| varlist || || {{{restriction_fname}}} || {{{<<string>>}}} |||| ~-file for restriction on time variations-~ |||| |||| idfile_const |||| restriction_fname || || {{{nlags}}} || {{{<<integer>>}}} ||||~- Number of lags -~|||| 4 |||| lags |||| nlags || || {{{cross_restrictions}}} || {{{<<integer>>}}} ||||~- '''1''': cross-A0-and-A+ restrictions <<BR>> '''0''': idfile_const is all we have-~ |||| 0 |||| indxc0Pres |||| cross_restrictions || || {{{contemp_reduced_form}}} || {{{<<integer>>}}} |||| ~-'''1''': contemporaneous recursive reduced form <<BR>> '''0''': restricted (non-recursive) form -~|||| 0 |||| Rform |||| comtemp_reduced_form || || {{{bayesian_prior}}} || {{{<<integer>>}}} |||| ~-'''1''': Bayesian prior <<BR>> '''0''': no prior-~ |||| 1 |||| indxPrior |||| bayesian_prior || || {{{alpha}}} || {{{<<double>>}}} ||||~-Alpha value for squared time-varying structural shock lambda.-~ |||| 1.0 |||| galp |||| alpha || || {{{beta}}} || {{{<<double>>}}} ||||~-Beta value for squared time-varying structural shock lambda.-~ |||| 1.0 |||| gbeta |||| beta || || {{{gsig2_lmd}}} || {{{<<integer>>}}} ||||~-Case 4 (no state change across variables (i) and across lags (l); only one scale factor for all lagged variables change from state to state). Normal prior variance for structural shock lambda, one scale factor for all lagged D+ in a given equation.-~ ||||50^2^ |||| gsig2_lmd |||| gsig2_lmd || || {{{gsig2_lmdm}}} || {{{<<integer>>}}} ||||~-Case 3 (no state change across lags (l) but allows all variables for a given lag to switch states). Normal prior variance for different variables in lagged D+.-~ |||| 50^2^ |||| gsig2_lmdm |||| gsig2_lmdm || || {{{upper_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| upper_cholesky |||| upper_cholesky || || {{{lower_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| lower_cholesky |||| lower_cholesky || |
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| '''NB:''' The Previous Dynare Option Names specified below can be found on MarkovSwitchingOptions. | = Mex Functions = == General Options == |
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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 || |
'''Top Level Options''' (from {{{switch_dw/state_space/sbvar/dw_sbvar_command_line.c}}}): |
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| || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{estimate}}} || -- || -- || {{{options_.ms.estimate_msmodel}}} || {{{estimate_msmodel}}} || produces estimation - posterior mode or maximum likelihood || || {{{simulate}}} || -- || -- || {{{options_.ms.print_draws}}} || {{{print_draws}}} || produces simulation run || || {{{mdd}}} || -- || -- || {{{options_.ms.compute_mdd}}} || {{{compute_mdd}}} || produces marginal data density from posterior draws || || {{{probabilities}}} || -- || -- || {{{options_.ms.compute_probabilities}}} || {{{compute_probabilities}}} || produces smoothed or filtered probabilities || || {{{forecast}}} || -- || -- || {{{options_.ms.forecast}}} || {{{forecast}}} || produces mean forecast || || {{{ir}}} || -- || -- || {{{options_.ms.irf}}} || {{{irf}}} || produces impulse responses for a given set of parameters || || {{{ir}}} || -- || -- || {{{options_.ms.bayesian_irf}}} || {{{bayesian_irf}}} || produces banded impulse responses || || {{{variance_decomposition}}} || -- || -- || {{{options_.ms.variance_decomposition}}} || {{{variance_decomposition}}} || produce variance decomposition || || {{{historical}}} || -- || -- || -- || -- || produces historical decomposition (not yet implemented) || || {{{seed}}} || {{{<<integer>>}}} || {{{0}}} (i.e. random) || set by {{{set_dynare_seed()}}} in .mod file || || seed value for random number generation || |
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| <<BR>> | |
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| '''Options Accepted by All Mex Functions''' (from {{{switch_dw/state_space/sbvar/dw_sbvar_command_line.c}}}): | |
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| || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{ft}}} || {{{<<string>>}}} || -- || {{{M_.fname}}} || set automatically using modfile name || The input file tag. Is used to create input file names if the {{{fs}}} or {{{fp}}} options are not present || || {{{di}}} || {{{<<string>>}}} || {{{./}}} || not supported || -- || input files are in specified directory || || {{{do}}} || {{{<<string>>}}} || {{{./}}} || not supported || -- || output files are in specified directory || || {{{fs}}} || {{{<<string>>}}} || || not supported || -- || specification file name || || {{{fp}}} || {{{<<string>>}}} || || not supported || -- || parameter file name || || {{{ph}}} || {{{<<string>>}}} || || not supported || -- || header for the parameters || || {{{MLE}}} || {{{<<string>>}}} || || not supported || -- || Determines if estimation finds the posterior mode or maximum likelihood. If {{{ph}}} or is not present, determines whether the input parameter header is "MLE: " or "Posterior mode: ". || || {{{fto}}} || {{{<<string>>}}} || || not supported || -- || The output file tag. Used to create output filenames. || || {{{fo}}} || {{{<<string>>}}} || || not supported || -- || output file name || || {{{pho}}} || {{{<<string>>}}} || || not supported || -- || parameter header used for output || |
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| == Create Init File Mex Function == | == Mex Functions and Their Options == |
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| || '''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 || |
|| '''Standalone Argument (no flags)''' ||||'''Dynare Option and Argument''' |||| '''Previous Dynare Option Name''' |||| '''Comments''' || || {{{<matlab filename>}}} || None. Set automatically in {{{sz_prd.m}}} || |||| |||| matlab file name || || {{{<markov filename>}}} || {{{markov_file}}} || {{{<<string>>}}} |||| {{{markov_file}}} |||| Markov file name || || {{{<file tag>}}} || {{{output_file_tag}}} || {{{<<string>>}}} |||| {{{output_file_tag}}} |||| The output file tag || |
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| == Estimation, Simulation, Probabilities, Marginal Data Densitiy, IRF, Forecast Mex Function == | <<BR>> |
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| '''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 || |
'''Estimation''' (from {{{switch_dw/state_space/sbvar/sbvar_estimate.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{cb}}} || {{{<<float>>}}} || {{{1e-3}}} || {{{options_.ms.estimate.cb}}} || || convergence criterion starting value || || {{{ce}}} || {{{<<float>>}}} || {{{1e-6}}} || {{{options_.ms.estimate.ce}}} || || convergence criterion ending value || || {{{ci}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.ci}}} || || convergence criterion increment value || || {{{ib}}} || {{{<<integer>>}}} || {{{50}}} || {{{options_.ms.estimate.ib}}} || || maximum interations starting value || || {{{ii}}} || {{{<<float>>}}} || {{{2.0}}} || {{{options_.ms.estimate.ii}}} || || maximum interations increment value || || {{{mb}}} || {{{<<integer>>}}} || {{{100}}} || {{{options_.ms.estimate.mb}}} || || maximum block iterations || || {{{repeat_max}}} || {{{<<integer>>}}} || {{{10}}} || {{{options_.ms.estimate.repeat_max}}} || || maximum number of times to repeat csminwel runs || || {{{repeat_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.repeat_tol_obj}}} || || convergence criterion for objective function || || {{{repeat_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.repeat_tol_params}}} || || convergence criterion for parameter values || || {{{random}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.estimate.random}}} || || number of large perturbations to make at each stage of the estimation process. || || {{{random_small}}} || {{{<<integer>>}}} || {{{5}}} || {{{options_.ms.estimate.random_small}}} || || number of small perturbations to make after the large perturbations have stopped inproving. || || {{{random_small_ndraws}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.estimate.random_small_ndraws}}} || || number of consecutive posterior draws to make when producing a small perturbation || || {{{random_max}}} || {{{<<integer>>}}} || {{{20}}} || {{{options_.ms.estimate.random_max}}} || || maximum number of stages allowed || || {{{random_tol_obj}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.random_tol_obj}}} || || convergence criterion for objective function || || {{{random_tol_parms}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.estimate.random_tol_parms}}} || || convergence criterion for parameter values || |
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| '''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. || |
'''Simulation''' (from {{{switch_dw/state_space/sbvar/sbvar_simulate.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{ndraws}}} || {{{<<integer}}} || {{{1000}}} || {{{options_.ms.mh_replic}}} || {{{mh_replic}}} || Number of draws to save || || {{{burnin}}} || {{{<<integer>>}}} || {{{0.1*ndraws}}} || {{{options_.ms.drop}}} || || Number of burn-in draws || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.thinning_factor}}} || || Thinning factor. Total number of draws made is {{{thin*ndraws + burnin}}} || || {{{append}}} || -- || overwrites existing files || not supported || -- || Append simulation and info to existing files if they exist and use last parameter draw as initial value.|| || {{{mh}}} || {{{<<integer>>}}} || {{{30000}}} || {{{options_.ms.adapative_mh_draws}}} || || Tuning period for Metropolis-Hasting draws || || {{{flat}}} || -- || {{{off}}} || not supported || -- || Produce flat output file and header file || || {{{nofree}}} || -- || {{{off}}} || not supported || -- || Do not produce free parameters file || || {{{nd1}}} || -- || {{{off}}} || not supported || -- || Normalize diagonal of A0 to one (flat output only) || |
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| '''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 || <<BR>> '''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) || <<BR>> '''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}}} || <<BR>> '''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 (Currently Does Not Work) || || {{{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. || |
'''Marginal Data Density''' (from {{{switch_dw/state_space/sbvar/sbvar_mdd.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{d}}} || {{{<<integer>>}}} || {{{100000}}} || {{{options_.ms.mdd_proposal_draws}}} || || || || {{{pt}}} || {{{<<integer>>}}} || {{{2}}} || {{{options_.ms.mdd_proposal_type(1)}}} || || || || {{{l}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.mdd_proposal_type(2)}}} || || || || {{{u}}} || {{{<<float>>}}} || {{{0.9}}} || {{{options_.ms.mdd_proposal_type(3)}}} || || || || {{{use_mean}}} || {{{<<intger>>}}} || {{{0}}} || {{{options_.ms.mdd_use_mean_center}}} || || || |
| Line 137: | Line 116: |
| '''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. || |
'''Regime Probability''' (from {{{switch_dw/state_space/sbvar/sbvar_probabilities.c}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{filtered}}} || {{{<<integer>>}}} || {{{1}}} || {{{options_.ms.filtered_probabilities}}} || || filtered probabilities are computed || || {{{smoothed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed || || {{{real_time_smoothed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed based on time {{{t}}} information are computed for {{{0 <= t <= nobs}}} || <<BR>> '''Impulse Responses''' (from {{{mex/sources/ms-sbvar/mex_ms_irf.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || -- || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.irf}}} || passed by {{{irf=<<int>>}}} || forecast horizon || || {{{filtered}}} || {{{<<boolean>>}}} || {{{0}}} || || || Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. This flag only applies if neither {{{regimes}}} nor {{{regime}}} is specified. || || {{{error_bands}}} || {{{<<boolean>>}}} || {{{1}}} || || || Output error bands || || {{{percentiles}}} || {{{<<vector>>}}} || if {{{error_bands}}}, {{{[3 0.16 0.50 0.84]}}} else {{{[1 0.50]}}} || || || Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || Apply parameter uncertainty when computing error bands or median.|| || {{{shocks}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || Thinning factor. Only {{{1/thin}}} of the draws in posterior draws file are used.|| || {{{regimes}}} || {{{<<boolean>>}}} || {{{0}}} || || || Produces forecasts as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} || {{{off}}} || || || Produces forecasts as if {{{regime}}} were permanent || || {{{flat}}} || {{{<<boolean>>}}} || {{{off}}} || not supported || -- || Assumes that posterior draws is a flat file format || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || <<BR>> '''Forecast''' (from {{{mex/sources/ms-sbvar/mex_ms_forecast.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || -- || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.forecast}}} || passed by {{{forecast=<<int>>}}} || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{error_bands}}} || {{{<<integer>>}}} || {{{1}}} || || || || || {{{percentiles}}} || {{{<<vector>>}}} || || || || || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || || || {{{shocks}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || || || {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || <<BR>> '''Variance Decomposition''' (from {{{mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc}}}): || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || -- || see general options || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || || || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{error_bands}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{percentiles}}} || {{{<<vector>>}}} || || || || || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || || || {{{shocks}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || || || {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{mean}}} || {{{<<integer>>}}} || {{{1}}} || || || || |
Miscellaneous Commands needed by Matlab to link to the Mex Functions (below)
Dynare Option and Argument |
Comments |
Default |
Matlab Variable Name |
Previous Dynare Option Name |
|||||
mode_compute |
<<integer>> |
1. Use csminwel to estimate the model 0. Will not try to estimate the model |
1 |
|
|
||||
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 |
||||
upper_cholesky |
<<integer>> |
|
0 |
upper_cholesky |
upper_cholesky |
||||
lower_cholesky |
<<integer>> |
|
0 |
lower_cholesky |
lower_cholesky |
||||
Mex Functions
General Options
Top Level Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
estimate |
-- |
-- |
options_.ms.estimate_msmodel |
estimate_msmodel |
produces estimation - posterior mode or maximum likelihood |
simulate |
-- |
-- |
options_.ms.print_draws |
print_draws |
produces simulation run |
mdd |
-- |
-- |
options_.ms.compute_mdd |
compute_mdd |
produces marginal data density from posterior draws |
probabilities |
-- |
-- |
options_.ms.compute_probabilities |
compute_probabilities |
produces smoothed or filtered probabilities |
forecast |
-- |
-- |
options_.ms.forecast |
forecast |
produces mean forecast |
ir |
-- |
-- |
options_.ms.irf |
irf |
produces impulse responses for a given set of parameters |
ir |
-- |
-- |
options_.ms.bayesian_irf |
bayesian_irf |
produces banded impulse responses |
variance_decomposition |
-- |
-- |
options_.ms.variance_decomposition |
variance_decomposition |
produce variance decomposition |
historical |
-- |
-- |
-- |
-- |
produces historical decomposition (not yet implemented) |
seed |
<<integer>> |
0 (i.e. random) |
set by set_dynare_seed() in .mod file |
|
seed value for random number generation |
Options Accepted by All Mex Functions (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
ft |
<<string>> |
-- |
M_.fname |
set automatically using modfile name |
The input file tag. Is used to create input file names if the fs or fp options are not present |
di |
<<string>> |
./ |
not supported |
-- |
input files are in specified directory |
do |
<<string>> |
./ |
not supported |
-- |
output files are in specified directory |
fs |
<<string>> |
|
not supported |
-- |
specification file name |
fp |
<<string>> |
|
not supported |
-- |
parameter file name |
ph |
<<string>> |
|
not supported |
-- |
header for the parameters |
MLE |
<<string>> |
|
not supported |
-- |
Determines if estimation finds the posterior mode or maximum likelihood. If ph or is not present, determines whether the input parameter header is "MLE: " or "Posterior mode: ". |
fto |
<<string>> |
|
not supported |
-- |
The output file tag. Used to create output filenames. |
fo |
<<string>> |
|
not supported |
-- |
output file name |
pho |
<<string>> |
|
not supported |
-- |
parameter header used for output |
Mex Functions and Their Options
Create Init File Syntax (from switch_dw/state_space/sbvar/create_init_file.c):
create_init_file <matlab filename> <markov filename> <file tag>
Standalone Argument (no flags) |
Dynare Option and Argument |
Previous Dynare Option Name |
Comments |
|||
<matlab filename> |
None. Set automatically in sz_prd.m |
|
|
matlab file name |
||
<markov filename> |
markov_file |
<<string>> |
markov_file |
Markov file name |
||
<file tag> |
output_file_tag |
<<string>> |
output_file_tag |
The output file tag |
||
Estimation (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
cb |
<<float>> |
1e-3 |
options_.ms.estimate.cb |
|
convergence criterion starting value |
ce |
<<float>> |
1e-6 |
options_.ms.estimate.ce |
|
convergence criterion ending value |
ci |
<<float>> |
0.1 |
options_.ms.estimate.ci |
|
convergence criterion increment value |
ib |
<<integer>> |
50 |
options_.ms.estimate.ib |
|
maximum interations starting value |
ii |
<<float>> |
2.0 |
options_.ms.estimate.ii |
|
maximum interations increment value |
mb |
<<integer>> |
100 |
options_.ms.estimate.mb |
|
maximum block iterations |
repeat_max |
<<integer>> |
10 |
options_.ms.estimate.repeat_max |
|
maximum number of times to repeat csminwel runs |
repeat_tol_obj |
<<float>> |
0.1 |
options_.ms.estimate.repeat_tol_obj |
|
convergence criterion for objective function |
repeat_tol_parms |
<<float>> |
0.1 |
options_.ms.estimate.repeat_tol_params |
|
convergence criterion for parameter values |
random |
<<integer>> |
5 |
options_.ms.estimate.random |
|
number of large perturbations to make at each stage of the estimation process. |
random_small |
<<integer>> |
5 |
options_.ms.estimate.random_small |
|
number of small perturbations to make after the large perturbations have stopped inproving. |
random_small_ndraws |
<<integer>> |
1 |
options_.ms.estimate.random_small_ndraws |
|
number of consecutive posterior draws to make when producing a small perturbation |
random_max |
<<integer>> |
20 |
options_.ms.estimate.random_max |
|
maximum number of stages allowed |
random_tol_obj |
<<float>> |
0.1 |
options_.ms.estimate.random_tol_obj |
|
convergence criterion for objective function |
random_tol_parms |
<<float>> |
0.1 |
options_.ms.estimate.random_tol_parms |
|
convergence criterion for parameter values |
Simulation (from switch_dw/state_space/sbvar/sbvar_simulate.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
ndraws |
<<integer |
1000 |
options_.ms.mh_replic |
mh_replic |
Number of draws to save |
burnin |
<<integer>> |
0.1*ndraws |
options_.ms.drop |
|
Number of burn-in draws |
thin |
<<integer>> |
1 |
options_.ms.thinning_factor |
|
Thinning factor. Total number of draws made is thin*ndraws + burnin |
append |
-- |
overwrites existing files |
not supported |
-- |
Append simulation and info to existing files if they exist and use last parameter draw as initial value. |
mh |
<<integer>> |
30000 |
options_.ms.adapative_mh_draws |
|
Tuning period for Metropolis-Hasting draws |
flat |
-- |
off |
not supported |
-- |
Produce flat output file and header file |
nofree |
-- |
off |
not supported |
-- |
Do not produce free parameters file |
nd1 |
-- |
off |
not supported |
-- |
Normalize diagonal of A0 to one (flat output only) |
Marginal Data Density (from switch_dw/state_space/sbvar/sbvar_mdd.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
d |
<<integer>> |
100000 |
options_.ms.mdd_proposal_draws |
|
|
pt |
<<integer>> |
2 |
options_.ms.mdd_proposal_type(1) |
|
|
l |
<<float>> |
0.1 |
options_.ms.mdd_proposal_type(2) |
|
|
u |
<<float>> |
0.9 |
options_.ms.mdd_proposal_type(3) |
|
|
use_mean |
<<intger>> |
0 |
options_.ms.mdd_use_mean_center |
|
|
Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
filtered |
<<integer>> |
1 |
options_.ms.filtered_probabilities |
|
filtered probabilities are computed |
smoothed |
<<integer>> |
0 |
options_.ms.real_time_smoothed_probabilities |
|
smoothed probabilities are computed |
real_time_smoothed |
<<integer>> |
0 |
options_.ms.real_time_smoothed_probabilities |
|
smoothed probabilities are computed based on time t information are computed for 0 <= t <= nobs |
Impulse Responses (from mex/sources/ms-sbvar/mex_ms_irf.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
-- |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.irf |
passed by irf=<<int>> |
forecast horizon |
filtered |
<<boolean>> |
0 |
|
|
Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. This flag only applies if neither regimes nor regime is specified. |
error_bands |
<<boolean>> |
1 |
|
|
Output error bands |
percentiles |
<<vector>> |
if error_bands, [3 0.16 0.50 0.84] else [1 0.50] |
|
|
Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. |
parameter_uncertainty |
<<integer>> |
|
|
|
Apply parameter uncertainty when computing error bands or median. |
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
Thinning factor. Only 1/thin of the draws in posterior draws file are used. |
regimes |
<<boolean>> |
0 |
|
|
Produces forecasts as if each regime were permanent. |
regime |
<<integer>> |
off |
|
|
Produces forecasts as if regime were permanent |
flat |
<<boolean>> |
off |
not supported |
-- |
Assumes that posterior draws is a flat file format |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
Forecast (from mex/sources/ms-sbvar/mex_ms_forecast.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
|
see general options |
free_parameters |
<<vector>> |
|
|
-- |
|
horizon |
<<integer>> |
|
options_.ms.forecast |
passed by forecast=<<int>> |
|
filtered |
<<integer>> |
0 |
|
|
|
error_bands |
<<integer>> |
1 |
|
|
|
percentiles |
<<vector>> |
|
|
|
|
parameter_uncertainty |
<<integer>> |
|
|
|
|
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
|
regimes |
<<integer>> |
0 |
|
|
|
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
Variance Decomposition (from mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
-- |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.variance_decomposition |
passed by variance_decomposition=<<int>> |
|
filtered |
<<integer>> |
0 |
|
|
|
error_bands |
<<integer>> |
0 |
|
|
|
percentiles |
<<vector>> |
|
|
|
|
parameter_uncertainty |
<<integer>> |
|
|
|
|
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
|
regimes |
<<integer>> |
0 |
|
|
|
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
mean |
<<integer>> |
1 |
|
|
|