Differences between revisions 51 and 53 (spanning 2 versions)

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>>`			--	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):
Mex Calling structure: create_init_file <matlab filename> <markov filename> <file tag>

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
	`<matlab filename>`	--	None. Set automatically in `sz_prd.m`		matlab file name
	`<markov filename>`	--		`markov_file`	Markov file name
	`<file tag>`	--		`output_file_tag`	output file tag

Estimation (from switch_dw/state_space/sbvar/sbvar_estimate.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

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):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

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):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

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`			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
`append`					Appends proposal draws to those previously made. If the posterior draws have changed in any way, then this option must not be used. The filename for the proposal draws is proposal_t<proposal type>_<tag>.out.
`u`	`<<float>>`	`0.9`	`options_.ms.mdd_proposal_type(3)`

Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):
Mex Calling structure: ms_sbvar_command_line(<<string>>)

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):
Mex Calling structure: mex_ms_irf(<<file_tag>>, <<varargin>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`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):
Mex Calling structure: mex_ms_forecast(<<file_tag>>, <<varargin>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`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):
Mex Calling structure: mex_ms_variance_decomposition(<<file_tag>>, <<varargin>>)

Option	Value	Default	Dynare Option	Preproccessor Option	Comments
`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`

-  ⇤ ← Revision 51 as of 2011-05-05 12:17:33 → 
  Size: 25892
  Editor: HoutanBastani
  Comment:
+   ← Revision 53 as of 2011-05-05 12:35:16 → ⇥
  Size: 26230
  Editor: HoutanBastani
  Comment:
-Deletions are marked like this.
+Additions are marked like this.
 Line 59:
-|| {{{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: ".  ||
+|| {{{MLE}}}      || {{{<<string>>}}} ||               ||                     || --                         || 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: ".  ||
 Line 66:
-'''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):<<BR>><<BR>>
{{{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 ||
+'''Create Init File Syntax''' (from {{{switch_dw/state_space/sbvar/create_init_file.c}}}):
<<BR>>
Mex Calling structure: {{{create_init_file <matlab filename> <markov filename> <file tag>}}}
|| '''Option''' || '''Value'''                || '''Default'''    || '''Dynare Option'''        || '''Preproccessor Option''' || '''Comments''' ||
||              || {{{<matlab filename>}}}    || --               || None. Set automatically in {{{sz_prd.m}}} ||             || matlab file name ||
||              || {{{<markov filename>}}}    || --               ||                            || {{{markov_file}}}          || Markov file name ||
||              || {{{<file tag>}}}           || --               ||                            || {{{output_file_tag}}}      || output file tag  ||
-Line 74:
+Line 75:
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+<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
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+Line 97:
+<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
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+Line 111:
+<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
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+Line 123:
-|| {{{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. ||
+|| {{{h}}}                || {{{<<float>>}}}      || {{{0.1}}}        ||      || || Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform. ||
-Line 120:
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+|| {{{append}}}          ||        ||         ||   || ||  Appends proposal draws to those previously made.  If the posterior draws have changed in any way, then this option must not be used. The filename for the proposal draws is proposal_t<proposal type>_<tag>.out.||
-Line 124:
+Line 131:
+<<BR>>
Mex Calling structure: {{{ms_sbvar_command_line(<<string>>)}}}
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+Line 141:
+<<BR>>
Mex Calling structure: {{{mex_ms_irf(<<file_tag>>, <<varargin>>)}}}
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+Line 144:
-|| 1st Argument                 || {{{<<string>>}}}     ||                    || {{{M_.fname}}}                       || see general options        || see general options  ||
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+<<BR>>
Mex Calling structure: {{{mex_ms_forecast(<<file_tag>>, <<varargin>>)}}}
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-|| 1st Argument                 || {{{<<string>>}}}     ||                   || {{{M_.fname}}}             || see general options || see general options ||
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+<<BR>>
Mex Calling structure: {{{mex_ms_variance_decomposition(<<file_tag>>, <<varargin>>)}}}
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-|| 1st Argument                 || {{{<<string>>}}}     ||                    || {{{M_.fname}}}                               || see general options ||  see general options ||