Diff for "MSSbvarOptions"

Differences between revisions 43 and 44

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
`create_initialization_file`	`<<integer>>`	1. to create init_<output_file_tag>.dat 0. Otherwise	1		create_initialization_file
`mode_compute`	`<<integer>>`	1. Use csminwel to estimate the mode 0. Will not try to estimate the model	1		estimate_msmodel
`mode_file`	`<<string>>`	Mode file to load instead of re-estimating the model
`coefficients_prior_hyperparameters`	`<<vec_value>>`	Sets the hyper parameters for the sbvar (mu in sz_prd.m), this should be a vector of doubles of length 6	[1.0 1.0 0.1 1.2 1.0 1.0]
`adaptive_mh_draws`	`<<integer>>`	Number of draws for the Adaptive MH step
`load_mh_file`	`<<string>>`	Filename of previously computed simulation run, load this instead of simulating the model again.
`freq`	`<<integer>>`	quarters or months	4	q_m	freq
`initial_year`	`<<integer>>`	beginning of the year		yrBin	initial_year
`initial_subperiod`	`<<integer>>`	beginning of the quarter or month	1	qmBin	initial_subperiod
`final_year`	`<<integer>>`	final year		yrFin	final_year
`final_subperiod`	`<<integer>>`	final month or quarter		qmFin	final_subperiod
`datafile`	`<<string>>`	Load data			data_file
`varlist`	`<<vec_value>>`	Names of variables		varlist	varlist
`restriction_fname`	`<<string>>`	file for restriction on time variations		idfile_const	restriction_fname
`nlags`	`<<integer>>`	Number of lags	4	lags	nlags
`cross_restrictions`	`<<integer>>`	1: cross-A0-and-A+ restrictions 0: idfile_const is all we have	0	indxc0Pres	cross_restrictions
`contemp_reduced_form`	`<<integer>>`	1: contemporaneous recursive reduced form 0: restricted (non-recursive) form	0	Rform	comtemp_reduced_form
`bayesian_prior`	`<<integer>>`	1: Bayesian prior 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.	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

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
		`1`		mode_compute
`fp`	`<<string>>`		`options_.ms.mode_file`	mode_file
`ft`	`<<string>>`		`M_.fname`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`random`	`<<integer>>`	`5`	`options_.ms.estimate.random`
`random_max`	`<<integer>>`	`20`	`options_.ms.estimate.random_max`
`random_tol_obj`	`<<float>>`	`0.1`	`options_.ms.estimate.random_tol_obj`
`random_tol_parms`	`<<float>>`	`0.1`	`options_.ms.estimate.random_tol_parms`
`cb`	`<<float>>`	`1e-3`	`options_.ms.estimate.cb`
`ce`	`<<float>>`	`1e-6`	`options_.ms.estimate.ce`
`ci`	`<<float>>`	`0.1`	`options_.ms.estimate.ci`
`ib`	`<<integer>>`	`50`	`options_.ms.estimate.ib`
`ii`	`<<float>>`	`2.0`	`options_.ms.estimate.ii`
`mb`	`<<integer>>`	`100`	`options_.ms.estimate.mb`

Simulation (from switch_dw/state_space/sbvar/sbvar_simulate.c):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
	`<<string>>`	0	`options_.ms.load_mh_file`	load_mh_file
`ft`	`<<string>>`		`M_.fname`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`ndraws`	`<<integer`	`1000`	`options_.ms.mh_replic`	mh_replic
`burnin`	`<<integer>>`	`0.1*ndraws`	`options_.ms.drop`
`thin`	`<<integer>>`	`1`	`options_.ms.thinning_factor`
`mh`	`<<integer>>`	`30000`	`options_.ms.adapative_mh_draws`

Marginal Data Density (from switch_dw/state_space/sbvar/sbvar_mdd.c):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
		`1`	`options_.ms.compute_mdd`	compute_mdd
`ft`	`<<string>>`		`M_.fname`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`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
		`1`	`options_.ms.compute_probabilities`	compute_probabilities
`ft`	`<<string>>`		`M_.fname`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`filtered`	`<<integer>>`	`1`	`options_.ms.filtered_probabilities`
`real_time_smoothed`	`<<integer>>`	`0`	`options_.ms.real_time_smoothed_probabilities`

Impulse Responses (from mex/sources/ms-sbvar/mex_ms_irf.cc):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
1st Argument	`<<string>>`		`M_.fname`		`<<file_tag>>`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`free_parameters`	`<<vector>>`
`horizon`	`<<integer>>`		`options_.ms.irf`	irf
`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`

Forecast (from mex/sources/ms-sbvar/mex_ms_forecast.cc):

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
1st Argument	`<<string>>`		`M_.fname`		`<<file_tag>>`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`free_parameters`	`<<vector>>`
`horizon`	`<<integer>>`		`options_.ms.forecast`	forecast
`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`		`<<file_tag>>`
`seed`	`<<integer>>`	`0`	`options_.DynareRandomStreams.seed`
`free_parameters`	`<<vector>>`
`horizon`	`<<integer>>`		`options_.ms.variance_decomposition`	variance_decomposition
`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`

-  ⇤ ← Revision 43 as of 2011-04-29 13:56:51 → 
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