Variable

File

Line number

Option name

Comments

Defaults

q_m

msstart_setup.m

11

freq

quarters or months

4

yrBin

msstart_setup.m

12

initial_year

beginning of the year

qmBin

msstart_setup.m

13

initial_subperiod

beginning of the quarter or month

1

yrFin

msstart_setup.m

14

final_year

final year

qmFin

msstart_setup.m

15

final_subperiod

final month or quarter

xdd

msstart_setup.m

22

data

Load data

vlist

msstart_setup.m

36

vlist

varlist

msstart_setup.m

37

varlist

name of variables

idfile_const

msstart_setup.m

40

restriction_fname

file for restriction on time variations

nfyr

msstart_setup.m

70

forecast

number of years for forecasting

4

lags

msstart_setup.m

97

nlags

Prior: number of lags

indxc0Pres

msstart_setup.m

98

cross_restrictions

1: cross-A0-and-A+ restrictions
0: idfile_const is all we have

0

Rform

msstart_setup.m

100

contemp_reduced_form

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

0

Pseudo

msstart_setup.m

101

real_pseudo_forecast

1: Pseudo forecasts
0: real time forecasts

0

indxPrior

msstart_setup.m

102

bayesian_prior

1: Bayesian prior
0: no prior

1

ndobs

msstart_setup.m

104

dummy_obs

Dummy observations

0

nStates

szemldata_a_setup.m

25

nstates

Number of states

2

indxEqnTv_m

szemldata_a_setup.m

22

eq_indices

Rows corresponds to equations

indxScaleStates

szemldata_a_setup.m

26

indxScaleStates

0 (default): no scale adjustment in the prior variance for the number of states so that the prior value is the same as the constant VAR when the parameters in all states are the same.
1: allows a scale adjustment, marking the prior variance bigger by the number of states. Wrong choice because it makes the prior looser as the number of states increases.

0

galp

szemldata_a_setup.m

30

alpha

Alpha value for squared time-varying structural shock lambda.

1.0

gbeta

szemldata_a_setup.m

31

beta

Beta value for squared time-varying structural shock lambda.

1.0

gsig2_lmd

szemldata_a_setup.m

32

gsig2_lmd

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_lmdm

szemldata_a_setup.m

34

gsig2_lmdm

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

q_diag

szemldata_a_setup.m

36

q_diag

Prior mean: 0.95 for monthly data (about 20 months) and 0.85 for quarterly data (about 6.7 quarters). Diagonal q in the transtion matrix and the duration is 1 over (1-q). To allow an absorbing state, we need to have 1 for all off-diagonal elements and x for the diagonal element.

0.85

indxFlatPriorP

szemldata_a_setup.m

42

flat_prior

0: diagonal of transition matrix has some duration
1: flat prior where all alpha's are 1.0 in Dirichlet.

0

nCsk

msstart2.m

24

nCsk

conditional directly on shoocks

0

nstd

msstart2.m

25

nstd

number of standard deviations to cover the range in which distributions are put to bins

6

ninv

msstart2.m

26

ninv

the number of bins for grouping, say, impulse responses

1000

Indxcol

msstart2.m

27

Indxcol

a vector of random columns in which MC draws are made

size of the number of variables

IndxParR

msstart2.m

29

IndxParR

1: parameters random;
0: no randomness in parameters

1

IndxOvR

msstart2.m

31

IndxOvR

1: distributions for other variables of interest;
0: no distribution.
Example: joint distribution of a(1) and a(2). Only for specific purposes

0

Aband

msstart2.m

33

Aband

1: error bands with only A0 and A+ random.

1

IndxAp

msstart2.m

34

IndxAp

1: generate draws of A+;
0: no such draws.
Note: when IndxAp=0, there is no effect from the values of IndxImf, IndxFore,or Apband.

1

Apband

msstart2.m

37

Apband

1: error bands for A+;
0: no error bands for A+.

1

IndxImf

msstart2.m

39

IndxImf

Used only if IndxAp=1.
1: generate draws of impulse responses;
0: no such draws (thus no effect from Imfband)

1

Imfband

msstart2.m

41

Imfband

Used only if IndxAp=1.
1: error bands for impulse responses;
0: no error bands

1

IndxFore

msstart2.m

42

IndxFore

Used only if IndxAp=1.
1: generate draws of forecasts;
0: no such draws (thus no effect from Foreband)

0

Foreband

msstart2.m

43

Foreband

Used only if IndxAp=1.
1: error bands for out-of-sample forecasts;
0: no error bands

0

indxGforehat

msstart2.m

45

indxGforehat

Used only if IndxAp=1.
1: plot unconditoinal forecasts;
0: no such plot

1

rnum

msstart2.m

46

rnum

Used only if IndxAp=1. Number of rows in the graph

number of variables

cnum

msstart2.m

47

cnum

Used only if IndxAp=1. Number of columns in the graph

1

indxGimfhat

msstart2.m

53

indxGimfhat

Used only if IndxAp=1.
1: plot ML impulse responses;
0: no plot

1

indxEstima

msstart2.m

54

indxEstima

Used only if IndxAp=1.
1: ML estimation;
0: no estimation and data only

1

indxgDLS

msstart2.m

71

indxgDLS

Hard conditions directly on variables. Used only if IndxAp=1.
1: graph point forecast on variables;
0: disable

1

nconstr

msstart2.m

74

nconstr

Hard conditions directly on variables.
q: 4 years -- 4*12 months.
When 0, no conditions directly on variables

nconstr1+nconstr2

nconstr

msstart2.m

76

nconstr

Hard conditions directly on variables. 6*nconstr1

0

eq_ms

msstart2.m

77

eq_ms

Hard conditions directly on variables. Location of MS equation; if [], all shocks

PorR

msstart2.m

78

PorR

The variable conditioned. 1: Pcm; 3: FFR; 4: CPI

Cms

msstart2.m

87

Cms

Conditions directly on future shocks. Used only if IndxAp=1.
1: condition on ms shocks;
0: disable this and "fidcnderr.m" gives unconditional forecasts if nconstr = 0 as well

0

nCms

msstart2.m

89

nCms

Conditions directly on future shocks. Used only if IndxAp=1. Number of the stance of policy; 0 if no tightening or loosening

0

eq_Cms

msstart2.m

90

eq_Cms

Conditions directly on future shocks. Used only if IndxAp=1. Location of MS shocks

1

TLindx

msstart2.m

91

TLindx

Conditions directly on future shocks. Used only if IndxAp=1.
1-by-nCms vector;
1: tightening;
0: loosen

TLnumber

msstart2.m

92

TLnumber

Conditions directly on future shocks. Used only if IndxAp=1.
1-by-nCms vector; cut-off point for MS shocks

nbancon

msstart2.m

120

cnum

Soft conditions on variables. Number of band conditions; when 0, disable this option
Note that each condition corresponds to variable

0

banact

msstart2.m

122

banact

Soft conditions on variables.
1: use infor on actual;
0: preset without infor on actual

1

output_file_tag

sz_prd.m

24

output_file_tag

tag for output files

test_2v

create_initialization_file

sz_prd.m

27

create_initialization_file

1 to create init_<output_file_tag>.dat,
0 otherwise

1

estimate_msmodel

sz_prd.m

30

estimate_msmodel

1 to perform estimation,
0 otherwise

1

compute_mdd

sz_prd.m

33

compute_mdd

1 to perform estimation,
0 otherwise

1

compute_probabilities

sz_prd.m

36

compute_probabilities

1 to compute probabilites,
0 otherwise

1

print_draws

sz_prd.m

39

print_draws

1 to Prints draws of the posterior,
0 otherwise

1

n_draws

sz_prd.m

40

n_draws

Number of draws from the posterior

1000

thinning_factor

sz_prd.m

41

thinning_factor

Thinning Factor

1

markov_file

sz_prd.m

46

markov_file

File should be specified by the user. If not specified, it will use the Sims, Waggoner, and Tao's specification

specification_2v2c.dat

mhm_file

sz_prd.m

52

mhm_file

File should be specified by the user. If not specified, it will use the Sims, Waggoner, and Tao's specification

MHM_input.dat

proposal_draws

sz_prd.m

53

proposal_draws

Proposal draws for the Markov specification file

100000

firstMetrop

generateMHM_input.m

8

draws_nbr_burn_in_1

?

30000

scondMetrop

generateMHM_input.m

15

draws_nbr_burn_in_2

?

10000

ndrawsmv

generateMHM_input.m

21

draws_nbr_mean_var_estimate

?

200000

ndrawsmhm

generateMHM_input.m

27

draws_nbr_modified_harmonic_mean

?

1000000

tfmhm

generateMHM_input.m

33

thinning_factor

?

1

svd

generateMHM_input.m

40

dirichlet_scale

?

3

opt1

generateMHM_input.m

44

?

to be hardcoded (maybe not used)

1.0

opt2

generateMHM_input.m

46

?

to be hardcoded (maybe not used)

1.5

opt3

generateMHM_input.m

48

?

to be hardcoded (maybe not used)

2.0