NB: The Previous Dynare Option Names specified below can be found on 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 <<BR>> 0: idfile_const is all we have

0

indxc0Pres

cross_restrictions

contemp_reduced_form

<<integer>>

1: contemporaneous recursive reduced form <<BR>> 0: restricted (non-recursive) form

0

Rform

comtemp_reduced_form

bayesian_prior

<<integer>>

1: Bayesian prior <<BR>> 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):<<BR>><<BR>> create_init_file <matlab filename> <markov filename> <file tag>

Standalone Argument

Dynare Option Name

Previous Dynare Option Name

Comments

<matlab filename>

None. Set automatically in sz_prd.m

matlab file name

<markov filename>

markov_file

markov_file

Markov file name

<file tag>

output_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 and Argument

Standalone Default

Dynare Option and Argument

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

<<integer>>

produces mean forecast

ir

--

--

irf

<<integer>>

produces impulse responses for a given set of parameters

ir

--

--

bayesian_irf

<<integer>>

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 and Argument

Standalone Default

Dynare Option and Argument

Previous Dynare Option Name

Standalone Flag set by other MS Dynare Option named

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

<<string>>

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 and Argument

Standalone Default

Dynare Option and Argument

Previous Dynare Option Name

Standalone Flag set by other MS Dynare Option named

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 and Argument

Standalone Default

Dynare Option and Argument

Previous Dynare Option Name

Standalone Flag set by other MS Dynare Option named

Comments

ndraws

<<integer>>

1000

mh_replic

<<integer>>

mh_replic

Number of draws to save

burnin

<<integer>>

0.1*ndraws

drop

<<integer>>

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

<<integer>>

thinning_factor

Thinning factor. Total number of draws made is thin*ndraws+burnin

mh

<<integer>>

30000

adaptive_mh_draws

<<integer>>

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 and Argument

Standalone Default

Dynare Option and Argument

Previous Dynare Option Name

Standalone Flag set by other MS Dynare Option named

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 and Argument

Standalone Default

Dynare Option and Argument

Previous Dynare Option Name

Standalone Flag set by other MS Dynare Option named

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 and Argument

Standalone Default

Dynare Option and Argument

Standalone Flag set by other MS Dynare Option named

Comments

t

<<string>>

filemname tag

horizon

<<integer>>

12

--

--

forecast

The number of periods to forecast out for

percentiles

[<<integer>> <<double>>]

3  0.16  0.50  0.84 if error_bands set
1  0.50 otherwise

[<<integer>> <<vector_value>>]

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>>

1 if parameter_uncertainty is set and 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

thin

<<integer>>

1

Thinning factor. Only 1/thin of the draws in posterior draws file are used.

flat

--

free file format

Assumes that posterior draws is a flat file format.

nodate

--

off

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.