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| == Miscellaneous Commands needed by Matlab to link to the Mex Functions (below) == | = Miscellaneous Commands needed by Matlab to link to the Mex Functions (below) = |
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| || {{{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_compute}}} || {{{<<integer>>}}} ||||~- '''1.''' Use csminwel to estimate the model '''0.''' Will not try to estimate the model -~|||| 1 |||| |||| || |
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| == Mex Functions == | = Mex Functions = == General Options == |
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| '''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 || <<BR>> '''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 == |
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| || 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}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{fp}}} || {{{<<string>>}}} || || {{{options_.ms.mode_file}}} || {{{mode_file}}} || || |
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| || 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 || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{ndraws}}} || {{{<<integer}}} || {{{1000}}} || {{{options_.ms.mh_replic}}} || {{{mh_replic}}} || || |
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| || 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}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || |
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| || 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}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || |
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| || Option || Value || Default || Dynare Option || Preproccessor Option || Comments || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || || {{{<<file_tag>>}}} || || {{{seed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.DynareRandomStreams.seed}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || -- || see general options || |
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| || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.irf}}} || irf || || | || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.irf}}} || passed by {{{irf=<<int>>}}} || || |
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| || 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>>}}} || {{12}} || {{{options_.ms.forecast}}} || forecast || || |
|| '''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>>}}} || || |
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| || Option || Value || Default || Dynare Option || Preproccessor Option || Comments || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || || {{{<<file_tag>>}}} || || {{{seed}}} || {{{<<integer>>}}} || {{{0}}} || {{{options_.DynareRandomStreams.seed}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || 1st Argument || {{{<<string>>}}} || || {{{M_.fname}}} || -- || see general options || |
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| || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || variance_decomposition|| || | || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || || |
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 |
fp |
<<string>> |
|
options_.ms.mode_file |
mode_file |
|
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 |
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 |
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 |
|
|
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 |
-- |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.irf |
passed by irf=<<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 |
|
|
|
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 |
|
|
|