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| || {{{upper_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| upper_cholesky |||| upper_cholesky || || {{{lower_cholesky}}} || {{{<<integer>>}}} |||| |||| 0 |||| lower_cholesky |||| lower_cholesky || |
NB: The Previous Dynare Option Names specified below can be found on MarkovSwitchingOptions.
Create Init File Mex Function
Create Init File Syntax (from switch_dw/state_space/sbvar/create_init_file.c):
create_init_file <matlab filename> <markov filename> <file tag>
Standalone Argument (no flags) |
Dynare Option and Argument |
Previous Dynare Option Name |
Comments |
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<matlab filename> |
None. Set automatically in sz_prd.m |
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|
matlab file name |
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<markov filename> |
markov_file |
<<string>> |
markov_file |
Markov file name |
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<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 Functions
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 |
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estimate |
-- |
-- |
estimate_msmodel |
|
estimate_msmodel |
produces estimation - posterior mode or maximum likelihood |
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simulate |
-- |
-- |
print_draws |
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print_draws |
produces simulation run |
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probabilities |
-- |
-- |
compute_probabilities |
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compute_probabilities |
produces smoothed or filtered probabilities |
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mdd |
-- |
-- |
compute_mdd |
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compute_mdd |
produces marginal data density from posterior draws |
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forecast |
-- |
-- |
forecast |
<<integer>> |
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produces mean forecast |
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ir |
-- |
-- |
irf |
<<integer>> |
|
produces impulse responses for a given set of parameters |
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ir |
-- |
-- |
bayesian_irf |
<<integer>> |
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produces banded impulse responses |
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historical |
-- |
-- |
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produces historical decomposition |
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smoothedshocks |
-- |
-- |
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produces smoothed shocks |
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smoothedstates |
-- |
-- |
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produces smoothed states |
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seed |
<<integer>> |
0 (i.e. random) |
set by set_dynare_seed() in .mod file |
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|
seed value for random number generation |
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General Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):
Standalone Flag 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 |
-- |
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input files are in specified directory |
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do |
<<string>> |
./ |
not supported |
-- |
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output files are in specified directory |
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fs |
<<string>> |
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specification file name |
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fp |
<<string>> |
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parameter file name |
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ph |
<<string>> |
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header for the parameters |
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pho |
<<string>> |
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parameter header used for output |
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MLE |
<<string>> |
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Determines if estimation finds the posterior mode or maximum likelihood. If ph or is not present, determines whether the input parameter header is "MLE: " or "Posterior mode: ". |
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fo |
<<string>> |
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output file name |
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ft |
<<string>> |
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The input file tag. Is used to create input filenames if the fs or fp options are not present. |
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fto |
<<string>> |
associated with ft |
output_file_tag |
<<string>> |
output_file_tag |
|
The output file tag. Used to create output filenames. |
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Estimation Options (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Standalone Flag and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
Comments |
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ft* |
<<string>> |
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The input file tag. Is used to create input filenames |
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fs |
<<string>> |
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mode_file |
<<string>> |
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Model specification file to initialize the model with |
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seed* |
<<integer>> |
0 (random) |
set by set_dynare_seed() in .mod file |
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Seed for random number generation initialization |
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random |
<<integer>> |
5 |
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Number of random draws to make at each stage of the estimation process |
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random_max |
<<integer>> |
20 |
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Maximum number of random stages allowed |
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random_tol_obj |
<<double>> |
0.1 |
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Convergence criterion for objective function |
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random_tol_parms |
<<double>> |
0.1 |
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Convergence criterion for parameter values |
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cb |
<<double>> |
1.0e-03 |
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convergence criterion starting value |
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ce |
<<double>> |
1.0e-06 |
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convergence criterion ending value |
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ci |
<<double>> |
0.1 |
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convergence criterion increment value |
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ib |
<<integer>> |
50 |
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maximum interations starting value |
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ii |
<<double>> |
2.0 |
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maximum interations increment value |
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mb |
<<integer>> |
100 |
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maximum block iterations |
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Simulation Options (from switch_dw/state_space/sbvar/sbvar_simulate.c):
Standalone Flag and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
Comments |
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ft* |
<<string>> |
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The input file tag. Is used to create input filenames |
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seed* |
<<integer>> |
0 (random) |
set by set_dynare_seed() in .mod file |
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Seed for random number generation initialization |
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ndraws* |
<<integer>> |
1000 |
mh_replic |
<<integer>> |
mh_replic |
|
Number of draws to save |
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burnin* |
<<integer>> |
0.1*ndraws |
drop |
<<integer>> |
draws_nbr_burn_in_1 draws_nbr_burn_in_2 |
|
The number of samples to drop at the beginning of the sampling period |
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thin* |
<<integer>> |
1 |
thinning_factor |
<<integer>> |
thinning_factor |
|
Thinning factor. Total number of draws made is thin*ndraws+burnin |
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mh* |
<<integer>> |
30000 |
adaptive_mh_draws |
<<integer>> |
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Tuning period for Metropolis-Hasting draws |
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flat |
-- |
off |
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Produce flat output file and header |
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nofree |
-- |
off |
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Do not produce free parameters file |
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nd1 |
-- |
off |
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Normalize diagonal of A0 to one (flat output only) |
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Probabilities Options (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Standalone Flag and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
Comments |
||||||
filtered |
-- |
on |
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Compute filtered probabilities |
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smoothed |
-- |
on if neither filtered nor real_time_smoothed is passed |
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Compute smoothed probabilities |
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real_time_smoothed* |
-- |
off |
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Compute smoothed probabilities based on time t information for 0 <= t <= nobs |
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Marginal Data Density Options (from switch_dw/switching/dw_mdd_switch.c):
Standalone Flag and Argument |
Standalone Default |
Dynare Option and Argument |
Previous Dynare Option Name |
Standalone Flag set by other MS Dynare Option named |
Comments |
||||||
ft* |
<<string>> |
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filemname tag -- supersedes t |
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pf |
<<string>> |
simulation_<tag>.out |
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posterior draws fileanme |
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pt |
<<integer>> |
2 |
mdd_proposal_type |
<<vector>>[type, lcut, hcut] |
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proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian), mdd_proposal_type=[type, lower_cutoff, high_cutoff] |
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d* |
<<integer>> |
100,000 |
mdd_proposal_draws |
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number proposal draws |
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use_mode |
-- |
on |
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use posterior mode as center |
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use_mean* |
-- |
off |
mdd_use_mean_center |
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use posterior mean as center |
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of |
<<string>> |
mdd_<tag>.out |
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output filename |
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l* |
<<double>> |
0.1 |
see proposal_type |
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Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform. |
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h* |
<<double>> |
0.9 |
see proposal_type |
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Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. |
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graph |
-- |
off |
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Produce output suitable for graphing the marginal cummulative densities of the radius of the posterior and elliptical distributions. The marginal data density is not computed. |
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-- |
off |
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Prints the matrices posterior and proposal |
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Miscellaneous Commands needed in Matlab file that links to the aforementioned Mex Functions
Dynare Option and Argument |
Comments |
Default |
Matlab Variable Name |
Previous Dynare Option Name |
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create_initialization_file |
<<integer>> |
1. to create init_<output_file_tag>.dat 0. Otherwise |
1 |
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create_initialization_file |
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mode_compute |
<<integer>> |
1. Use csminwel to estimate the mode 0. Will not try to estimate the model |
1 |
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estimate_msmodel |
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mode_file |
<<string>> |
Mode file to load instead of re-estimating the model |
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|
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coefficients_prior_hyperparameters |
<<vec_value>> |
Sets the hyper parameters for the sbvar (mu in sz_prd.m), this should be a vector of doubles of length 6 |
[1.0 1.0 0.1 1.2 1.0 1.0] |
|
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adaptive_mh_draws |
<<integer>> |
Number of draws for the Adaptive MH step |
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|
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load_mh_file |
<<string>> |
Filename of previously computed simulation run, load this instead of simulating the model again. |
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freq |
<<integer>> |
quarters or months |
4 |
q_m |
freq |
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initial_year |
<<integer>> |
beginning of the year |
|
yrBin |
initial_year |
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initial_subperiod |
<<integer>> |
beginning of the quarter or month |
1 |
qmBin |
initial_subperiod |
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final_year |
<<integer>> |
final year |
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yrFin |
final_year |
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final_subperiod |
<<integer>> |
final month or quarter |
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qmFin |
final_subperiod |
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datafile |
<<string>> |
Load data |
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data_file |
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varlist |
<<vec_value>> |
Names of variables |
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varlist |
varlist |
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restriction_fname |
<<string>> |
file for restriction on time variations |
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idfile_const |
restriction_fname |
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nlags |
<<integer>> |
Number of lags |
4 |
lags |
nlags |
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cross_restrictions |
<<integer>> |
1: cross-A0-and-A+ restrictions |
0 |
indxc0Pres |
cross_restrictions |
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contemp_reduced_form |
<<integer>> |
1: contemporaneous recursive reduced form |
0 |
Rform |
comtemp_reduced_form |
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bayesian_prior |
<<integer>> |
1: Bayesian prior |
1 |
indxPrior |
bayesian_prior |
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alpha |
<<double>> |
Alpha value for squared time-varying structural shock lambda. |
1.0 |
galp |
alpha |
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beta |
<<double>> |
Beta value for squared time-varying structural shock lambda. |
1.0 |
gbeta |
beta |
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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 |
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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 |
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upper_cholesky |
<<integer>> |
|
0 |
upper_cholesky |
upper_cholesky |
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lower_cholesky |
<<integer>> |
|
0 |
lower_cholesky |
lower_cholesky |
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MEX Functions General Options
Argument Name |
Value Type |
Default |
Description |
Files |
'free_parameters' |
<vector> |
|
Vector of free parameters to initialize the model with. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'horizon' |
<<integer> |
12 |
If this argument exists, then the forecast horizon is given by the passed integer. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'filtered' |
|
off |
Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. The default behavior is to us the erogdic distribution for the initial conditions. This flag only applies if neither 'regimes' nor 'regime' is specified. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'error_bands' |
<integer> 0 or 1 |
1 |
Output error bands. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'percentiles' |
<vector_value>> |
[0.16 0.50 0.84] |
Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles. default |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'parameter_uncertainty' |
<integer> 0 or 1 |
0=off |
Apply parameter uncertainty when computing error bands or median. When set, will default shocks = 1, (Default = 0, off ) |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'shocks' or 'shocks_per_parameter' |
<integer> |
1 if 'parameter_uncertainty', 10000 otherwise |
Number of regime paths to draw for each parameter draw. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'thin' |
<integer> |
1 |
Thinning factor. Only 1/thin of the draws in posterior draws file are used. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'regimes' |
|
off=0 |
Produces forecasts as if each regime were permanent. |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'regime' |
<integer> |
|
Produces forecasts/irf/vd as if regime were permanent. Regime numbers are zero based. (default = off) |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'simulation_file' |
<string> |
|
Name of the file containing the model's simulated free values |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'number_observations' |
<integer> |
0 |
If this argument exists, then the number of data points included in the output is given by the passed integer int the forecast/vd output. |
'mex_ms_forecast', 'mex_ms_variance_decomposition' |
'median' |
|
off |
Shortcut to setting 'percentiles',[.5] |
'mex_ms_forecast', 'mex_ms_variance_decomposition', 'mex_ms_irf' |
'mean' |
|
off |
Compute the mean |
'mex_ms_variance_decomposition' |
'seed' |
<integer> |
0 (random) |
Set the seed for the random number generator |
mex_ms_convert_free_parameters (from mex/sources/ms-sbvar/mex_ms_convert_free_parameters): Converts a vector of free parameters for a given model to the posterior matrices, with Q being the grand transition matrix.
[A0,Aplus,Zeta,Q] = mex_ms_convert_free_parameters('file_tag', free_parameters)
|
Parameters |
Type/Dimensions |
Description |
Inputs |
file_tag |
<string> |
The file tag name used for a particular model |
free_parameters |
<vector> |
Free Parameters from estimation or simulation of the particular model |
|
Output |
A0 |
<matrix> (nregimes x nvar x nvar) |
Contemporaneous Coefficient Matrix |
Aplus |
<matrix> (nregimes x (nvar x nlag + nconstant) x nvar) |
Lagged Coefficient Matrix |
|
Zeta |
<matrix> (nregimes x nvar x nvar) |
Shock Coefficient Matrix |
|
Q |
<matrix> (nregimes x nregimes) |
Grand Transition Matrix |
|
mex_ms_irf (from mex/sources/ms-sbvar/mex_ms_irf.cc): Produce the impulse response for a given model and given options. The output matrix will be of dimensions [nregimes x num_percentiles x horizon x (nvar*nvar)]
[irf] = mex_ms_irf('file_tag', varargin)
|
Parameters |
Type/Dimensions |
Description |
Inputs |
file_tag |
<string> |
The file tag name used for a particular model |
varargin |
|
Any of the optional arguments |
|
Output |
irf |
<matrix> (nregimes x npercentiles x horizon x (nvar x nvar)) |
The Impulse responses for a given model |
|
matrix (npercentiles x horizon x (nvar x nvar)) |
If 'regimes' was NOT Specified |
|
|
matrix (horizon x (nvar x nvar)) |
If neither 'regimes' was specified and the median was only being reported |
Example Usage:
[irf] = mex_ms_irf('file_tag', 'regimes','error_bands','horizon',20)
size(irf) = [nregimes x 3 x 20 x (nvar x nvar)]
[irf] = mex_ms_irf('file_tag', 'percentiles',[0.5],'horizon',20)
size(irf) = [20 x (nvar x nvar)]
mex_ms_forecast (from mex/sources/ms-sbvar/mex_ms_forecast.cc): Produce the Forecasts for a given model and given options. The output matrix will be of dimensions [nregimes x num_percentiles x horizon x nvar].
[forecast] = mex_ms_forecast('file_tag', varargin)
|
Parameters |
Type/Dimensions |
Description |
Inputs |
file_tag |
<string> |
The file tag name used for a particular model |
varargin |
|
Any of the optional arguments |
|
Output |
forecast |
<matrix> (nregimes x npercentiles x horizon x nvar) |
The forecast for a given model |
|
matrix (npercentiles x horizon x nvar) |
If 'regimes' was NOT Specified |
|
|
matrix (horizon x nvar) |
If neither 'regimes' was specified and the median was only being reported |
Example Usage:
[forecast] = mex_ms_forecast('file_tag', 'regimes','error_bands','horizon',20)
size(forecast) = [nregimes x 3 x 20 x nvar]
[forecast] = mex_ms_forecast('file_tag', 'percentiles',[0.5],'horizon',20)
size(forecast) = [20 x nvar]
mex_ms_variance_decomposition (from mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc): Produce the variance decomposition for a given model and given options. The output matrix will be of dimensions [nregimes x num_percentiles x horizon x (nvar*nvar)]
[vd] = mex_ms_variance_decomposition('file_tag', varargin)
|
Parameters |
Type/Dimensions |
Description |
Inputs |
file_tag |
<string> |
The file tag name used for a particular model |
varargin |
|
Any of the optional arguments |
|
Output |
vd |
<matrix> (nregimes x npercentiles x horizon x (nvar x nvar)) |
The variance decomposition for a given model |
|
matrix (npercentiles x horizon x (nvar x nvar)) |
If 'regimes' was NOT Specified |
|
|
matrix (horizon x (nvar x nvar)) |
If neither 'regimes' was specified and the median was only being reported |
Example Usage:
[vd] = mex_ms_variance_decomposition('file_tag', 'regimes','error_bands','horizon',20)
size(vd) = [nregimes x 3 x 20 x (nvar x nvar)]
[vd] = mex_ms_variance_decomposition('file_tag', 'percentiles',[0.5],'horizon',20)
size(vd) = [20 x (nvar x nvar)]