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
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

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 as well as 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.


Impulse Response Functions (from switch_dw/state_space/sbvar/sbvar_impulse_response.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

filtered

--

off

Uses filtered probabilities at the end of the sample as initial conditions for regime probabilities. The default behavior is to us the ergodic distribution for the initial conditions. This flag only applies if neither -regimes nor -regime is specified.

horizon

<<integer>>

12

--

--

forecast

The number of periods to compute the impulse response 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 impulse responses as if each regime were permanent.

regime

<<integer>>

off

Produces impulse responses as if <<integer>> regime were permanent.

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.