11014
Comment:
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11104
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Deletions are marked like this. | Additions are marked like this. |
Line 7: | Line 7: |
|| mu |||| msstart_setup.m |||| |||| coefficients_prior_hyperparameters |||| ~- if freq is not monthly or quarterly, this option must be set -~ |||| || | || mu |||| msstart_setup.m |||| |||| coefficients_prior_hyperparameters (mu set automatically, option not used) |||| ~- if freq is not monthly or quarterly, this option must be set -~ |||| || |
Line 13: | Line 13: |
|| 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-~ |||| || |
|| vlist |||| msstart_setup.m |||| 36 ||||vlist (vlist set automatically, option not used) |||| |||| || || varlist |||| msstart_setup.m |||| 37 ||||varlist (varlist set automatically, option not used) ||||~- name of variables -~|||| || |
Line 17: | Line 16: |
|| lags |||| msstart_setup.m |||| 97 ||||nlags |||| ~- Prior: number of lags-~ |||| || || indxc0Pres |||| msstart_setup.m |||| 98 ||||cross_restrictions ||||~- '''1''': cross-A0-and-A+ restrictions <<BR>> '''0''': idfile_const is all we have-~ |||| 0 || || Rform |||| msstart_setup.m |||| 100 ||||contemp_reduced_form |||| ~-'''1''': contemporaneous recursive reduced form <<BR>> '''0''': restricted (non-recursive) form -~|||| 0 || || Pseudo |||| msstart_setup.m |||| 101 ||||real_pseudo_forecast |||| ~-'''1''': Pseudo forecasts <<BR>> '''0''': real time forecasts-~ |||| 0 || || indxPrior |||| msstart_setup.m |||| 102 ||||bayesian_prior |||| ~-'''1''': Bayesian prior <<BR>> '''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.<<BR>> '''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.-~ ||||50^2^ || ||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+.-~ ||||50^2^ || ||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 <<BR>> '''1''': flat prior where all alpha's are 1.0 in Dirichlet.-~ ||||0 || |
|| indxDummy |||| msstart_setup.m |||| 105 ||||bayesian_prior |||| ~-'''1''': Bayesian prior <<BR>> '''0''': no prior-~ |||| 1 || || |||| in .m files in subfolders |||| ||||cross_restrictions ||||~- '''1''': cross-A0-and-A+ restrictions <<BR>> '''0''': idfile_const is all we have-~ |||| 0 || || ||||szemldata_a_setup.m||||25||||nstates (not used) ||||~-Number of states-~ ||||2 || || ||||szemldata_a_setup.m||||22||||eq_indices (not used) ||||~-Rows corresponds to equations-~ |||| || || ||||szemldata_a_setup.m||||26||||indxScaleStates (not used) ||||~- '''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.<<BR>> '''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 || || ||||szemldata_a_setup.m||||30||||alpha (not used)||||~-Alpha value for squared time-varying structural shock lambda.-~ ||||1.0 || || ||||szemldata_a_setup.m||||31||||beta (not used)||||~-Beta value for squared time-varying structural shock lambda.-~ ||||1.0 || || ||||szemldata_a_setup.m||||32||||gsig2_lmd (not used)||||~-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^ || || ||||szemldata_a_setup.m||||34||||gsig2_lmdm (not used)||||~-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^ || || ||||szemldata_a_setup.m||||36||||q_diag (not used)||||~-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 || || ||||szemldata_a_setup.m||||42||||flat_prior (not used)||||~-'''0''': diagonal of transition matrix has some duration <<BR>> '''1''': flat prior where all alpha's are 1.0 in Dirichlet.-~ ||||0 || || |||| msstart2.m |||| ||||restriction_fname |||| ~-file for restriction on time variations-~ |||| || || |||| msstart2.m |||| ||||nlags |||| ~- Prior: number of lags-~ |||| 1 || || |||| msstart2.m |||| ||||contemp_reduced_form |||| ~-'''1''': contemporaneous recursive reduced form <<BR>> '''0''': restricted (non-recursive) form -~|||| 0 || || |||| msstart2.m |||| ||||real_pseudo_forecast |||| ~-'''1''': Pseudo forecasts <<BR>> '''0''': real time forecasts-~ |||| 0 || || |||| msstart2.m |||| ||||dummy_obs |||| ~-Dummy observations -~|||| 0 || |
Table Commands:
Variable |
File |
Line number |
Option name |
Comments |
Defaults |
|||||
q_m |
msstart_setup.m |
11 |
freq |
quarters or months |
4 |
|||||
mu |
msstart_setup.m |
|
coefficients_prior_hyperparameters (mu set automatically, option not used) |
if freq is not monthly or quarterly, this option must be set |
|
|||||
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 (vlist set automatically, option not used) |
|
|
|||||
varlist |
msstart_setup.m |
37 |
varlist (varlist set automatically, option not used) |
name of variables |
|
|||||
nfyr |
msstart_setup.m |
70 |
forecast |
number of years for forecasting |
4 |
|||||
indxDummy |
msstart_setup.m |
105 |
bayesian_prior |
1: Bayesian prior |
1 |
|||||
|
in .m files in subfolders |
|
cross_restrictions |
1: cross-A0-and-A+ restrictions |
0 |
|||||
|
szemldata_a_setup.m |
25 |
nstates (not used) |
Number of states |
2 |
|||||
|
szemldata_a_setup.m |
22 |
eq_indices (not used) |
Rows corresponds to equations |
|
|||||
|
szemldata_a_setup.m |
26 |
indxScaleStates (not used) |
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. |
0 |
|||||
|
szemldata_a_setup.m |
30 |
alpha (not used) |
Alpha value for squared time-varying structural shock lambda. |
1.0 |
|||||
|
szemldata_a_setup.m |
31 |
beta (not used) |
Beta value for squared time-varying structural shock lambda. |
1.0 |
|||||
|
szemldata_a_setup.m |
32 |
gsig2_lmd (not used) |
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 |
|||||
|
szemldata_a_setup.m |
34 |
gsig2_lmdm (not used) |
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 |
|||||
|
szemldata_a_setup.m |
36 |
q_diag (not used) |
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 |
|||||
|
szemldata_a_setup.m |
42 |
flat_prior (not used) |
0: diagonal of transition matrix has some duration |
0 |
|||||
|
msstart2.m |
|
restriction_fname |
file for restriction on time variations |
|
|||||
|
msstart2.m |
|
nlags |
Prior: number of lags |
1 |
|||||
|
msstart2.m |
|
contemp_reduced_form |
1: contemporaneous recursive reduced form |
0 |
|||||
|
msstart2.m |
|
real_pseudo_forecast |
1: Pseudo forecasts |
0 |
|||||
|
msstart2.m |
|
dummy_obs |
Dummy observations |
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; |
1 |
|||||
IndxOvR |
msstart2.m |
31 |
IndxOvR |
1: distributions for other variables of interest; |
0 |
|||||
Aband |
msstart2.m |
33 |
Aband |
1: error bands with only A0 and A+ random. |
1 |
|||||
msstart2.m |
34 |
1: generate draws of A+; |
1 |
|||||||
Apband |
msstart2.m |
37 |
Apband |
1: error bands for A+; |
1 |
|||||
msstart2.m |
39 |
Used only if IndxAp=1. |
1 |
|||||||
Imfband |
msstart2.m |
41 |
Imfband |
Used only if IndxAp=1. |
1 |
|||||
msstart2.m |
42 |
Used only if IndxAp=1. |
0 |
|||||||
Foreband |
msstart2.m |
43 |
Foreband |
Used only if IndxAp=1. |
0 |
|||||
indxGforehat |
msstart2.m |
45 |
indxGforehat |
Used only if IndxAp=1. |
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 |
|||||
indxEstima |
msstart2.m |
54 |
indxEstima |
Used only if IndxAp=1. |
1 |
|||||
indxgDLS |
msstart2.m |
71 |
indxgDLS |
Hard conditions directly on variables. Used only if IndxAp=1. |
1 |
|||||
nconstr |
msstart2.m |
74 |
nconstr |
Hard 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. |
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. |
||||||
TLnumber |
msstart2.m |
92 |
TLnumber |
Conditions directly on future shocks. Used only if IndxAp=1. |
||||||
nbancon |
msstart2.m |
120 |
cnum |
Soft conditions on variables. Number of band conditions; when 0, disable this option |
0 |
|||||
banact |
msstart2.m |
122 |
banact |
Soft conditions on variables. |
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, |
1 |
|||||
estimate_msmodel |
sz_prd.m |
30 |
estimate_msmodel |
1 to perform estimation, |
1 |
|||||
compute_mdd |
sz_prd.m |
33 |
compute_mdd |
1 to perform estimation, |
1 |
|||||
compute_probabilities |
sz_prd.m |
36 |
compute_probabilities |
1 to compute probabilites, |
1 |
|||||
print_draws |
sz_prd.m |
39 |
print_draws |
1 to Prints draws of the posterior, |
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 |