MSSbvarOptions - DynareWiki

NB: Below, an * indicates that the option already exists and is referenced in MarkovSwitchingOptions.

ms_sbvar new/renamed options

Dynare Option Name	Argument	Comments	Default	Matlab Variable Name	Previous Dynare Option Name
`create_initialization_file`*	<<integer>>	1. to create init_<output_file_tag>.dat 0. Otherwise	1		create_initialization_file
`mode_compute`*	<<integer>>	1. Use csminwel to estimate the mode 0. Will not try to estimate the model	1		estimate_msmodel
`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

Create Init File Mex Function

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	Dynare Option Name	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`*	The output file tag

Estimation, Simulation, Probabilities, Marginal Data Densitiy, IRF, Forecast Mex Function

Top Level Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`estimate`	--		`estimate_msmodel`	`estimate_msmodel`	produces estimation - posterior mode or maximum likelihood
`simulate`	--		`print_draws`	`print_draws`	produces simulation run
`probabilities`	--		`compute_probabilities`	`compute_probabilities`	produces smoothed or filtered probabilities
`mdd`	--		`compute_mdd`	`compute_mdd`	produces marginal data density from posterior draws
`forecast`			`forecast`		produces mean forecast
`ir`	`-horizon` <<integer>>		`irf`		produces impulse responses for a given set of parameters
`ir`	`-horizon` <<integer>> `-parameter_uncertainty` `-error_bands`		`bayesian_irf`		produces banded impulse responses
`historical`	--				produces historical decomposition
`smoothedshocks`	--				produces smoothed shocks
`smoothedstates`	--				produces smoothed states
`seed`	<<integer>>	`0` (i.e. random)	set by `set_dynare_seed()` in .mod file		seed value for random number generation

General Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`di`	<<string>>	`./`	not supported		input files are in specified directory
`do`	<<string>>	`./`	not supported		output files are in specified directory
`fs`	<<string>>				specification file name
`fp`	<<string>>				parameter file name
`ph`	<<string>>				header for the parameters
`pho`	<<string>>				parameter header used for output
`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: ".
`fo`	<<string>>				output file name
`ft`	<<string>>				The input file tag. Is used to create input filenames if the `fs` or `fp` options are not present.
`fto`	<<string>>	associated with `ft`	`output_file_tag`	`output_file_tag`	The output file tag. Used to create output filenames.

Estimation Options (from switch_dw/state_space/sbvar/sbvar_estimate.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`cb`	<<double>>	`1.0e-03`			convergence criterion starting value
`ce`	<<double>>	`1.0e-06`			convergence criterion ending value
`ci`	<<double>>	`0.1`			convergence criterion increment value
`ib`	<<integer>>	`50`			maximum interations starting value
`ii`	<<double>>	`2.0`			maximum interations increment value
`mb`	<<integer>>	`100`			maximum block iterations

Simulation Options (from switch_dw/state_space/sbvar/sbvar_simulate.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`ndraws`	<<integer>>	`1000`	`mh_replic`	`mh_replic`	Number of draws to save
`burnin`	<<integer>>	`0.1*ndraws`	`drop`	`draws_nbr_burn_in_1` `draws_nbr_burn_in_2`	The number of samples to drop at the beginning of the sampling period
`thin`	<<integer>>	`1`	`thinning_factor`	`thinning_factor`	Thinning factor. Total number of draws made is `thin*ndraws+burnin`
`mh`	<<integer>>	`30000`	`adaptive_mh_draws`		Tuning period for Metropolis-Hasting draws
`flat`	--	`off`			Produce flat output file and header
`nofree`	--	`off`			Do not produce free parameters file
`nd1`	--	`off`			Normalize diagonal of A0 to one (flat output only)

Probabilities Options (from switch_dw/state_space/sbvar/sbvar_probabilities.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`filtered`	--	`off`			Compute filtered probabilities
`smoothed`	--	`on` if neither `filtered` nor `real_time_smoothed` is passed			Compute smoothed probabilities
`real_time_smoothed`	--	`off`			Compute smoothed probabilities based on time `t` information for `0 <= t <= nobs`

Marginal Data Density Options (from switch_dw/switching/dw_mdd_switch.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Previous Dynare Option Name	Comments
`t`	<<string>>				filemname tag
`ft`	<<string>>				filemname tag -- supersedes `t`
`outtag`	<<string>>				filemname tag -- supersedes `t` and `ft`
`pf`	<<string>>	`simulation_<tag>.out`			posterior draws fileanme
`pt`	<<integer>>	`2`			proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian)
`d`	<<integer>>	`100,000`			number proposal draws
`use_mode`	--	`on`			use posterior mode as center
`use_mean`	--	`off`			use posterior mean as center
`of`	<<string>>	`mdd_<tag>.out`			output filename
`l`	<<double>>	`0.1`			Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform.
`h`	<<double>>	`0.9`			Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform.
`graph`	--	`off`			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

Forecast Options (from switch_dw/state_space/sbvar/sbvar_forecast.c):

Standalone Flag	Argument	Standalone Default	Dynare Option Name	Comments
`t`	<<string>>			filemname tag
`horizon`	<<integer>>	`12`		The number of periods to forecast out for
`percentiles`	<<integer>> <<vector_value>>	`3 0.16 0.50 0.84`		Percentiles to compute. The first parameter after percentiles must be the number of percentiles and the following values are the actual percentiles.
`parameter_uncertainty`	--	`off`		Calculate using parameter uncertainty on top of shock uncertainty
`error_bands`	--	`off`		Calculate error bands using percentiles
`shocks_per_parameter`	<<integer>>	default = 1 if parameter_uncertainty is set and default = 10,000 otherwise		Number of shocks and regime paths to draw for each parameter draw.
`regimes`	--	`off`		Produces forecasts as if each regime were permanent.
`regime`	<<integer>>	`off`		Produces forecasts as if <<integer>> regime were permanent.
`mean`	--	`off`		Produces mean forecast
`data`	<<integer>>	`0`		Include the last <<integer>> periods in the output