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| Deletions are marked like this. | Additions are marked like this. |
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| || {{{append}}} || -- || overwrites existing files || not supported || -- || Append simulation and info to existing files if they exist and use last parameter draw as initial value.|| | || {{{append}}} || -- || {{{off}}} || not supported || -- || Append simulation and info to existing files if they exist and use last parameter draw as initial value.|| |
| Line 126: | Line 126: |
| || {{{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.|| | || {{{append}}} || -- || {{{off}}} || || || 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 132: | Line 132: |
| || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || {{{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}}} || <<BR>> '''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''' || || {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.filtered_probabilities}}} || || filtered probabilities are computed || || {{{smoothed}}} || -- || {{{on}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed on if {{{filtered}}} and {{{real_time_smoothed}}} are not passed|| || {{{real_time_smoothed}}} || -- || {{{off}}} || {{{options_.ms.real_time_smoothed_probabilities}}} || || smoothed probabilities are computed based on time {{{t}}} information are computed for {{{0 <= t <= nobs}}} || <<BR>> '''Impulse Responses''' (from {{{switch_dw/state_space/sbvar/sbvar_impulse_responses.c}}}): |
| Line 142: | Line 142: |
| || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.irf}}} || passed by {{{irf=<<int>>}}}|| forecast horizon || || {{{filtered}}} || -- || {{{off}}} || || || 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}}} || -- || {{{on}}} || || || output error bands. Mex default is {{{on}}}, different than C default || || {{{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_per_parameter}}} || {{{<<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}}} || -- || {{{off}}} || || || Produces forecasts as if each regime were permanent. || || {{{regime}}} || {{{<<integer>>}}} || {{{off}}} || || || Produces forecasts as if {{{regime}}} were permanent || || {{{flat}}} || -- || {{{off}}} || not supported || -- || Assumes that posterior draws is a flat file format || '''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_irf.cc}}} |
|
| Line 144: | Line 157: |
| || {{{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. || || {{{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 || |
|
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| || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || <<BR>> '''Forecast''' (from {{{switch_dw/state_space/sbvar/sbvar_forecast.c}}}, {{{mex/sources/ms-sbvar/mex_ms_forecast.cc}}}): |
|| {{{median}}} || -- || {{{off}}} || || || Set {{{percentiles=[1 0.50]}}}|| <<BR>> '''Forecast''' (from {{{switch_dw/state_space/sbvar/sbvar_forecast.c}}}): |
| Line 162: | Line 165: |
| || {{{free_parameters}}} || {{{<<vector>>}}} || || || -- || || | |
| Line 165: | Line 167: |
| || {{{error_bands}}} || {{{<<boolean>>}}} || {{{1}}} || || || See {{{error_bands}}} in {{{irf}}} || | || {{{error_bands}}} || -- || {{{on}}} || || || See {{{error_bands}}} in {{{irf}}} || |
| Line 168: | Line 170: |
| || {{{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}}} || || || || <<BR>> '''Variance Decomposition''' (from {{{switch_dw/state_space/sbvar/sbvar_variance_decomposition.c}}}, {{{mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc}}}): |
|| {{{shocks_per_parameter}}} || {{{<<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}}} || -- || {{{off}}} || || || produces mean forecast || || {{{flat}}} || -- || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || || {{{nodate}}} || -- || {{{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.|| '''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_forecast.cc}}} || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || See analogous table under {{{irf}}} || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || See analogous table under {{{irf}}} || || {{{median}}} || -- || {{{off}}} || || || See analogous table under {{{irf}}} || <<BR>> '''Variance Decomposition''' (from {{{switch_dw/state_space/sbvar/sbvar_variance_decomposition.c}}}): |
| Line 182: | Line 188: |
| || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || || || {{{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}}} || || {{{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}}} || || || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || ||Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. The default behavior is to us the erogdic distribution for the initial conditions. || |
|| '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{horizon}}} || {{{<<integer>>}}} || {{{12}}} || {{{options_.ms.variance_decomposition}}} || passed by {{{variance_decomposition=<<int>>}}} || forecast horizon || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{filtered}}} in {{{irf}}} || || {{{error_bands}}} || -- || {{{on}}} || || || See {{{error_bands}}} in {{{irf}}} || || {{{percentiles}}} || {{{<<vector>>}}} || || || || See {{{percentiles}}} in {{{irf}}} || || {{{parameter_uncertainty}}} || {{{<<integer>>}}} || || || || See {{{parameter_uncertainty}}} in {{{irf}}} || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || || || {{{thin}}} || {{{<<integer>>}}} || {{{1}}} || || || See {{{thin}}} in {{{irf}}} || || {{{regimes}}} || -- || {{{off}}} || || || See {{{regimes}}} in {{{irf}}} || || {{{regime}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{regime}}} in {{{irf}}} || || {{{flat}}} || -- || {{{off}}} || not supported || -- || See {{{flat}}} in {{{irf}}} || || {{{median}}} || {{{<<integer>>}}} || {{{0}}} || || || || || {{{mean}}} || {{{<<integer>>}}} || {{{1}}} || || || || || {{{filtered}}} || {{{<<integer>>}}} || {{{0}}} || || || See {{{filtered}}} in {{{irf}}} || '''Additional functionality provided by''' {{{mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc}}}: || '''Option''' || '''Value''' || '''Default''' || '''Dynare Option''' || '''Preproccessor Option''' || '''Comments''' || || {{{free_parameters}}} || {{{<<vector>>}}} || || || || See analogous table under {{{irf}}} || || {{{simulation_file}}} || {{{<<string>>}}} || {{{simulation_<file_tag>.out}}} || {{{options_.ms.load_mh_file}}} or {{{simulation_<file_tag>.out}}} || || See analogous table under {{{irf}}} || || {{{median}}} || -- || {{{off}}} || || || See analogous table under {{{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>> |
|
|
-- |
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 |
-- |
off |
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>> |
0.9 |
options_.ms.mdd_proposal_type(3) |
|
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 |
|
append |
-- |
off |
|
|
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. |
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 |
-- |
off |
options_.ms.filtered_probabilities |
|
filtered probabilities are computed |
smoothed |
-- |
on |
options_.ms.real_time_smoothed_probabilities |
|
smoothed probabilities are computed on if filtered and real_time_smoothed are not passed |
real_time_smoothed |
-- |
off |
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 Calling structure: mex_ms_irf(<<file_tag>>, <<varargin>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.irf |
passed by irf=<<int>> |
forecast horizon |
filtered |
-- |
off |
|
|
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 |
-- |
on |
|
|
output error bands. Mex default is on, different than C default |
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_per_parameter |
<<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 |
-- |
off |
|
|
Produces forecasts as if each regime were permanent. |
regime |
<<integer>> |
off |
|
|
Produces forecasts as if regime were permanent |
flat |
-- |
off |
not supported |
-- |
Assumes that posterior draws is a flat file format |
Additional functionality provided by mex/sources/ms-sbvar/mex_ms_irf.cc
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
free_parameters |
<<vector>> |
|
|
|
|
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
|
median |
-- |
off |
|
|
Set percentiles=[1 0.50] |
Forecast (from switch_dw/state_space/sbvar/sbvar_forecast.c):
Mex Calling structure: mex_ms_forecast(<<file_tag>>, <<varargin>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.forecast |
passed by forecast=<<int>> |
forecast horizon |
data |
<<integer>> |
0 |
|
|
the number of data points included in the output |
error_bands |
-- |
on |
|
|
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_per_parameter |
<<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 |
-- |
off |
|
|
produces mean forecast |
flat |
-- |
off |
not supported |
-- |
See flat in irf |
nodate |
-- |
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. |
Additional functionality provided by mex/sources/ms-sbvar/mex_ms_forecast.cc
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
free_parameters |
<<vector>> |
|
|
|
See analogous table under irf |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
See analogous table under irf |
median |
-- |
off |
|
|
See analogous table under irf |
Variance Decomposition (from switch_dw/state_space/sbvar/sbvar_variance_decomposition.c):
Mex Calling structure: mex_ms_variance_decomposition(<<file_tag>>, <<varargin>>)
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
horizon |
<<integer>> |
12 |
options_.ms.variance_decomposition |
passed by variance_decomposition=<<int>> |
forecast horizon |
filtered |
<<integer>> |
0 |
|
|
See filtered in irf |
error_bands |
-- |
on |
|
|
See error_bands in irf |
percentiles |
<<vector>> |
|
|
|
See percentiles in irf |
parameter_uncertainty |
<<integer>> |
|
|
|
See parameter_uncertainty in irf |
shocks_per_parameter |
<<integer>> |
10000 or 10 |
options_.ms.shocks_per_parameter & options_.ms.shock_draws |
|
|
thin |
<<integer>> |
1 |
|
|
See thin in irf |
regimes |
-- |
off |
|
|
See regimes in irf |
regime |
<<integer>> |
0 |
|
|
See regime in irf |
flat |
-- |
off |
not supported |
-- |
See flat in irf |
median |
<<integer>> |
0 |
|
|
|
mean |
<<integer>> |
1 |
|
|
|
filtered |
<<integer>> |
0 |
|
|
See filtered in irf |
Additional functionality provided by mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc:
Option |
Value |
Default |
Dynare Option |
Preproccessor Option |
Comments |
free_parameters |
<<vector>> |
|
|
|
See analogous table under irf |
simulation_file |
<<string>> |
simulation_<file_tag>.out |
options_.ms.load_mh_file or simulation_<file_tag>.out |
|
See analogous table under irf |
median |
-- |
off |
|
|
See analogous table under irf |