Differences between revisions 45 and 46

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: 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

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`
`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`

-  ⇤ ← Revision 45 as of 2011-05-05 09:23:01 → 
  Size: 19497
  Editor: HoutanBastani
  Comment:
+   ← Revision 46 as of 2011-05-05 09:48:08 → ⇥
  Size: 21455
  Editor: HoutanBastani
  Comment:
-Deletions are marked like this.
+Additions are marked like this.
 Line 77:
-|| {{{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}}}                || || ||
+|| {{{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 ||
-Line 92:
+Line 95:
-|| '''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}}}   ||                      ||          ||
+|| '''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) ||