Dynare Option and 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

upper_cholesky

<<integer>>

0

upper_cholesky

upper_cholesky

lower_cholesky

<<integer>>

0

lower_cholesky

lower_cholesky

Mex Functions

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 (no flags)

Dynare Option and Argument

Previous Dynare Option Name

Comments

<matlab filename>

None. Set automatically in sz_prd.m

matlab file name

<markov filename>

markov_file

<<string>>

markov_file

Markov file name

<file tag>

output_file_tag

<<string>>

output_file_tag

The output file tag


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

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1

mode_compute

fp

<<string>>

options_.ms.mode_file

mode_file

ft

<<string>>

M_.fname

seed

<<integer>>

0

options_.DynareRandomStreams.seed

random

<<integer>>

5

options_.ms.estimate.random

random_max

<<integer>>

20

options_.ms.estimate.random_max

random_tol_obj

<<float>>

0.1

options_.ms.estimate.random_tol_obj

random_tol_parms

<<float>>

0.1

options_.ms.estimate.random_tol_parms

cb

<<float>>

1e-3

options_.ms.estimate.cb

ce

<<float>>

1e-6

options_.ms.estimate.ce

ci

<<float>>

0.1

options_.ms.estimate.ci

ib

<<integer>>

50

options_.ms.estimate.ib

ii

<<float>>

2.0

options_.ms.estimate.ii

mb

<<integer>>

100

options_.ms.estimate.mb


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

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

<<string>>

0

options_.ms.load_mh_file

load_md_file

ft

<<string>>

M_.fname

seed

<<integer>>

0

options_.DynareRandomStreams.seed

ndraws

<<integer

1000

options_.ms.mh_replic

mh_replic

burnin

<<integer>>

0.1*ndraws

options_.ms.drop

thin

<<integer>>

1

options_.ms.thinning_factor

mh

<<integer>>

30000

options_.ms.adapative_mh_draws


Marginal Data Density (from switch_dw/state_space/sbvar/sbvar_mdd.c):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1

options_.ms.compute_mdd

compute_mdd

ft

<<string>>

M_.fname

seed

<<integer>>

0

options_.DynareRandomStreams.seed

d

<<integer>>

100000

options_.ms.mdd_proposal_draws

pt

<<integer>>

2

options_.ms.mdd_proposal_type(1)

l

<<float>>

0.1

options_.ms.mdd_proposal_type(2)

u

<<float>>

0.9

options_.ms.mdd_proposal_type(3)

use_mean

<<intger>>

0

options_.ms.mdd_use_mean_center


Regime Probability (from switch_dw/state_space/sbvar/sbvar_probabilities.c):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1

options_.ms.compute_probabilities

compute_probabilities

ft

<<string>>

M_.fname

seed

<<integer>>

0

options_.DynareRandomStreams.seed

filtered

<<integer>>

1

options_.ms.filtered_probabilities

real_time_smoothed

<<integer>>

0

options_.ms.real_time_smoothed_probabilities


Impulse Responses (from mex/sources/ms-sbvar/mex_ms_irf.cc):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1st Argument

<<string>>

M_.fname

<<file_tag>>

seed

<<integer>>

0

options_.DynareRandomStreams.seed

free_parameters

<<vector>>

horizon

<<integer>>

12

options_.ms.irf

irf

filtered

<<integer>>

0

error_bands

<<integer>>

1

percentiles

<<vector>>

parameter_uncertainty

<<integer>>

shocks

<<integer>>

10000 or 10

options_.ms.shocks_per_parameter & options_.ms.shock_draws

thin

<<integer>>

1

regimes

<<integer>>

0

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

median

<<integer>>

0


Forecast (from mex/sources/ms-sbvar/mex_ms_forecast.cc):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1st Argument

<<string>>

M_.fname

<<file_tag>>

seed

<<integer>>

0

options_.DynareRandomStreams.seed

free_parameters

<<vector>>

horizon

<<integer>>

12

options_.ms.forecast

forecast

filtered

<<integer>>

0

error_bands

<<integer>>

1

percentiles

<<vector>>

parameter_uncertainty

<<integer>>

shocks

<<integer>>

10000 or 10

options_.ms.shocks_per_parameter & options_.ms.shock_draws

thin

<<integer>>

1

regimes

<<integer>>

0

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

median

<<integer>>

0


Variance Decomposition (from mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1st Argument

<<string>>

M_.fname

<<file_tag>>

seed

<<integer>>

0

options_.DynareRandomStreams.seed

free_parameters

<<vector>>

horizon

<<integer>>

12

options_.ms.variance_decomposition

variance_decomposition

filtered

<<integer>>

0

error_bands

<<integer>>

0

percentiles

<<vector>>

parameter_uncertainty

<<integer>>

shocks

<<integer>>

10000 or 10

options_.ms.shocks_per_parameter & options_.ms.shock_draws

thin

<<integer>>

1

regimes

<<integer>>

0

simulation_file

<<string>>

simulation_<file_tag>.out

options_.ms.load_mh_file or simulation_<file_tag>.out

median

<<integer>>

0

mean

<<integer>>

1