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| || '''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)}}} || || || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{t}}} || {{{<<string>>}}} || || not supported || || filemname tag || || {{{outtag}}} || {{{<<string>>}}} || || not supported || || filemname tag -- supersedes {{{t}}} and {{{ft}}} || || {{{pf}}} || {{{<<string>>}}} || {{{simulation_<tag>.out}}} || not supported || || posterior draws fileanme || || {{{pt}}} || {{{<<integer>>}}} || {{{3}}} || {{{options_.ms.mdd_proposal_type(1)}}} || || proposal type ({{{1}}}=gaussian, {{{2}}}=power, {{{3}}}=truncated power, {{{4}}}=step, {{{5}}}=truncated gaussian) || || {{{d}}} || {{{<<integer>>}}} || {{{100,000}}} || {{{options_.ms.mdd_proposal_draws}}} || || number proposal draws || || {{{use_mode}}} || -- || {{{on}}} || || || use posterior mode as center || || {{{use_mean}}} || -- || {{{off}}} || {{{options_.ms.mdd_use_mean_center}}} || || use posterior mean as center || || {{{of}}} || {{{<<string>>}}} || {{{mdd_<tag>.out}}} || not supported || || output filename || || {{{l}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.mdd_proposal_type(2)}}} || || Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform. || || {{{h}}} || {{{<<float>>}}} || {{{0.1}}} || {{{options_.ms.mdd_proposal_type(2)}}} || || Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. || || {{{graph}}} || -- || {{{off}}} || not supproted || || 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 || |
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| || {{{use_mean}}} || {{{<<intger>>}}} || {{{0}}} || {{{options_.ms.mdd_use_mean_center}}} || || || |
|
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| || {{{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.|| |
|| {{{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. || |
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| || {{{nodate}}} || {{{<<boolean>>}}} || {{{off}}} || not supported || -- || 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.|| | || {{{nodate}}} || {{{<<boolean>>}}} || {{{off}}} || not supported || -- || 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.|| |
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| || {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{error_bands}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{percentiles}}} || {{{<<vector>>}}} || || || || || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || || |
|| {{{horizon}}} || {{{<<integer>>}}} || {{12}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || forecast horizon || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{filtered}}} in {{{irf}}} || || {{{error_bands}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{error_bands}}} in {{{irf}}} || || {{{percentiles}}} || {{{<<vector>>}}} || || || || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} || |
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| || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || || || {{{regimes}}} || {{{<<integer>>}}} || {{{0}}} || || || || |
|| {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || {{{<<boolean>>}}} || {{{0}}} || || || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regime}}} in {{{irf}}} || || {{{flat}}} || {{{<<boolean>>}}} || {{{0}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || |
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 |
t |
<<string>> |
|
not supported |
|
filemname tag |
outtag |
<<string>> |
|
not supported |
|
filemname tag -- supersedes t and ft |
pf |
<<string>> |
simulation_<tag>.out |
not supported |
|
posterior draws fileanme |
pt |
<<integer>> |
3 |
options_.ms.mdd_proposal_type(1) |
|
proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian) |
d |
<<integer>> |
100,000 |
options_.ms.mdd_proposal_draws |
|
number proposal draws |
use_mode |
-- |
on |
|
|
use posterior mode as center |
use_mean |
-- |
off |
options_.ms.mdd_use_mean_center |
|
use posterior mean as center |
of |
<<string>> |
mdd_<tag>.out |
not supported |
|
output filename |
l |
<<float>> |
0.1 |
options_.ms.mdd_proposal_type(2) |
|
Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform. |
h |
<<float>> |
0.1 |
options_.ms.mdd_proposal_type(2) |
|
Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. |
graph |
-- |
off |
not supproted |
|
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. |
-- |
off |
|
|
Prints the matrices posterior and proposal |
|
u |
<<float>> |
0.9 |
options_.ms.mdd_proposal_type(3) |
|
|
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 switch_dw/state_space/sbvar/sbvar_impulse_responses.c, mex/sources/ms-sbvar/mex_ms_irf.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
see general options |
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 switch_dw/state_space/sbvar/sbvar_forecast.c, mex/sources/ms-sbvar/mex_ms_forecast.cc):
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
1st Argument |
<<string>> |
|
M_.fname |
see general options |
see general options |
free_parameters |
<<vector>> |
|
|
-- |
|
horizon |
<<integer>> |
|
options_.ms.forecast |
passed by forecast=<<int>> |
forecast horizon |
data |
<<integer>> |
|
|
|
the number of data points included in the output |
error_bands |
<<boolean>> |
1 |
|
|
See error_bands in irf |
percentiles |
<<vector>> |
if error_bands, [3 0.16 0.50 0.84] else [1 0.50] |
|
|
See percentiles in irf |
parameter_uncertainty |
<<integer>> |
|
|
|
See parameter_uncertainty in irf |
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
See thin in irf |
regimes |
<<integer>> |
0 |
|
|
See regimes in irf |
regime |
<<integer>> |
0 |
|
|
See regime in irf |
mean |
<<boolean>> |
0 |
|
|
produces mean forecast |
flat |
<<boolean>> |
off |
not supported |
-- |
See flat in irf |
nodate |
<<boolean>> |
off |
not supported |
-- |
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. |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
filtered |
<<integer>> |
0 |
|
|
|
Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c, 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 |
see general options |
free_parameters |
<<vector>> |
|
|
|
|
horizon |
<<integer>> |
|
options_.ms.variance_decomposition |
passed by variance_decomposition=<<int>> |
forecast horizon |
filtered |
<<integer>> |
0 |
|
|
See filtered in irf |
error_bands |
<<integer>> |
0 |
|
|
See error_bands in irf |
percentiles |
<<vector>> |
|
|
|
See percentiles in irf |
parameter_uncertainty |
<<integer>> |
|
|
|
See parameter_uncertainty in irf |
shocks |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
See thin in irf |
regimes |
<<boolean>> |
0 |
|
|
See regimes in irf |
regime |
<<integer>> |
0 |
|
|
See regime in irf |
flat |
<<boolean>> |
0 |
not supported |
-- |
See flat in irf |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
<<integer>> |
0 |
|
|
|
mean |
<<integer>> |
1 |
|
|
|