Variable

File

Line number

Option name

Comments

Defaults

q_m

msstart_setup.m

11

quarters or months

yrBin

msstart_setup.m

12

beginning of the year

qmBin

msstart_setup.m

13

beginning of the quarter or month

1

yrFin

msstart_setup.m

14

final year

qmFin

msstart_setup.m

15

final month or quarter

xdd

msstart_setup.m

22

Load data

vlist

msstart_setup.m

36

varlist

msstart_setup.m

37

name of variables

idfile_const

msstart_setup.m

40

file for restriction on time variations

nfyr

msstart_setup.m

70

number of years for forecasting

1

lags

msstart_setup.m

97

Prior: number of lags

indxc0Pres

msstart_setup.m

98

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

0

Rform

msstart_setup.m

100

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

0

Pseudo

msstart_setup.m

101

1: Pseudo forecasts
0: real time forecasts

0

indxPrior

msstart_setup.m

102

1: Bayesian prior
0: no prior

1

ndobs

msstart_setup.m

104

Dummy observations

0

nStates

szemldata_a_setup.m

25

?

Number of states

2

indxEqnTv_m

szemldata_a_setup.m

22

?

Rows corresponds to equations

indxScaleStates

szemldata_a_setup.m

26

?

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 value for squared time-varying structural shock lambda.

1.0

gbeta

szemldata_a_setup.m

31

?

Beta value for squared time-varying structural shock lambda.

1.0

gsig2_lmd

szemldata_a_setup.m

32

?

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.

50^2

gsig2_lmdm

szemldata_a_setup.m

34

?

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+.

50^2

q_diag

szemldata_a_setup.m

36

?

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

?

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

0