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]

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

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

historical

--

--

--

--

produces historical decomposition (not yet implemented)

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>>

--

M_.fname

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>>

not supported

--

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):

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

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):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

ndraws

<<integer

1000

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

--

overwrites existing files

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

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):

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

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

filtered

<<integer>>

1

options_.ms.filtered_probabilities

filtered probabilities are computed

smoothed

<<integer>>

0

options_.ms.real_time_smoothed_probabilities

smoothed probabilities are computed

real_time_smoothed

<<integer>>

0

options_.ms.real_time_smoothed_probabilities

smoothed probabilities are computed based on time t information are computed for 0 <= t <= nobs


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

Option

Value

Default

Dynare Option

Preproccessor Option

Comments

1st Argument

<<string>>

M_.fname

--

see general options

free_parameters

<<vector>>

horizon

<<integer>>

12

options_.ms.irf

passed by irf=<<int>>

forecast horizon

filtered

<<boolean>>

0

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

<<boolean>>

1

Output error bands

percentiles

<<vector>>

if error_bands, [3  0.16  0.50  0.84] else [1  0.50]

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

<<integer>>

10000 or 10

options_.ms.shocks_per_parameter & options_.ms.shock_draws

thin

<<integer>>

1

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

regimes

<<boolean>>

0

Produces forecasts as if each regime were permanent.

regime

<<integer>>

off

Produces forecasts as if regime were permanent

flat

<<boolean>>

off

not supported

--

Assumes that posterior draws is a flat file format

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

see general options

free_parameters

<<vector>>

--

horizon

<<integer>>

12

options_.ms.forecast

passed by forecast=<<int>>

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

--

see general options

free_parameters

<<vector>>

horizon

<<integer>>

12

options_.ms.variance_decomposition

passed by variance_decomposition=<<int>>

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