Differences between revisions 63 and 64
Revision 63 as of 2011-05-05 23:17:48
Size: 26553
Editor: JakeSmith
Comment:
Revision 64 as of 2011-05-05 23:36:10
Size: 26559
Editor: JakeSmith
Comment:
Deletions are marked like this. Additions are marked like this.
Line 188: Line 188:
|| {{{filtered}}} || -- || {{{off}}} ||                               || || See {{{filtered}}} in {{{irf}}} || || {{{filtered}}} || -- || {{{off}}} || {{{options_.ms.vd_filtered}}} || || See {{{filtered}}} in {{{irf}}} ||
Line 192: Line 192:
|| {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.shocks_per_parameter}}} & {{{options_.ms.shock_draws}}} || || See {{{shocks_per_parameter}}} in {{{irf}}} || || {{{shocks_per_parameter}}} || {{{<<integer>>}}} || {{{10000 or 10}}} || {{{options_.ms.vd_shocks_per_parameter}}} & {{{options_.ms.vd_shock_draws}}} || || See {{{shocks_per_parameter}}} 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]

mh_replic

<<integer>>

The number of draws to save when simulating.

10000

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

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>>

--

output_file_tag

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>>

--

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):
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

10000

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

adaptive_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

options_.ms.load_mh_draws

load_mh_file

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

not supported

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 supported

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

not supported

Prints the matrices posterior and proposal

append

--

off

not supported

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 instead of smoothed

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

options_.ms.irf_filtered

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]

options_.ms.percentiles

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.irf_shocks_per_parameter & options_.ms.irf_shock_draws

Number of regime paths to draw for each parameter draw. The default value is 1 if parameter_uncertainty is set and 10,000 otherwise.

thin

<<integer>>

1

options_.ms.irf_thinning_factor

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

not supported

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

options_.ms.forecast_data_obs

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]

options_.ms.percentiles

See percentiles in irf

parameter_uncertainty

<<integer>>

See parameter_uncertainty in irf

shocks_per_parameter

<<integer>>

10000 or 10

options_.ms.forecast_shocks_per_parameter & options_.ms.forecast_shock_draws

See shocks_per_parameter in irf

thin

<<integer>>

1

options_.ms.forecast_thinning_factor

See thin in irf

regimes

<<integer>>

0

See regimes in irf

regime

<<integer>>

0

not supported

See regime in irf

mean

--

off

not supported

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

--

off

options_.ms.vd_filtered

See filtered in irf

error_bands

--

off

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.vd_shocks_per_parameter & options_.ms.vd_shock_draws

See shocks_per_parameter in irf

thin

<<integer>>

1

See thin in irf

regimes

--

off

See regimes in irf

regime

<<integer>>

0

not supported

See regime in irf

flat

--

off

not supported

--

See flat 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

DynareWiki: MSSbvarOptions (last edited 2012-03-08 14:53:45 by HoutanBastani)