3676
Comment:
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8892
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Deletions are marked like this. | Additions are marked like this. |
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|| 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 <<BR>> '''0''': idfile_const is all we have |||| 0 || || Rform |||| msstart_setup.m |||| 100 ||||? |||| '''1''': contemporaneous recursive reduced form <<BR>> '''0''': restricted (non-recursive) form |||| 0 || || Pseudo |||| msstart_setup.m |||| 101 ||||? |||| '''1''': Pseudo forecasts <<BR>> '''0''': real time forecasts |||| 0 || || indxPrior |||| msstart_setup.m |||| 102 ||||? |||| '''1''': Bayesian prior <<BR>> '''0''': no prior |||| 1 || || ndobs |||| msstart_setup.m |||| 104 ||||? |||| Dummy observations |||| 0 || |
|| 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-~ |||| 1 || || 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 || |
Line 21: | Line 21: |
||indxEqnTv_m||||szemldata_a_setup.m||||22||||?||||~-Rows corresponds to equations-~ |||| || | ||indxEqnTv_m||||szemldata_a_setup.m||||22||||eq_indices||||~-Rows corresponds to equations-~ |||| || |
Line 25: | Line 25: |
||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 <<BR>> '''1''': flat prior where all alpha's are 1.0 in Dirichlet.-~ ||||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 || ||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; <<BR>> '''0''': no randomness in parameters-~||||1|| ||IndxOvR||||msstart2.m||||31||||IndxOvR||||~-'''1''': distributions for other variables of interest; <<BR>> '''0''': no distribution. <<BR>> 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+; <<BR>>'''0''': no such draws.<<BR>> 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+; <<BR>> '''0''': no error bands for A+.-~||||1|| ||IndxImf||||msstart2.m||||39||||IndxImf||||~-Used only if IndxAp=1. <<BR>> '''1''': generate draws of impulse responses; <<BR>> '''0''': no such draws (thus no effect from Imfband)-~||||1|| ||Imfband||||msstart2.m||||41||||Imfband||||~-Used only if IndxAp=1.<<BR>> '''1''': error bands for impulse responses; <<BR>>'''0''': no error bands-~||||1|| ||IndxFore||||msstart2.m||||42||||IndxFore||||~-Used only if IndxAp=1.<<BR>> '''1''': generate draws of forecasts; <<BR>>'''0''': no such draws (thus no effect from Foreband)-~||||0|| ||Foreband||||msstart2.m||||43||||Foreband||||~-Used only if IndxAp=1. <<BR>>'''1''': error bands for out-of-sample forecasts; <<BR>>'''0''': no error bands-~||||0|| ||indxGforehat||||msstart2.m||||45||||indxGforehat||||~-Used only if IndxAp=1. <<BR>> '''1''': plot unconditoinal forecasts; <<BR>> '''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. <<BR>> '''1''': plot ML impulse responses; <<BR>>'''0''': no plot-~||||1|| ||indxEstima||||msstart2.m||||54||||indxEstima||||~-Used only if IndxAp=1. <<BR>> '''1''': ML estimation; <<BR>> '''0''': no estimation and data only-~||||1|| ||indxgDLS||||msstart2.m||||71||||indxgDLS||||~-Hard conditions directly on variables. Used only if IndxAp=1. <<BR>> '''1''': graph point forecast on variables; <<BR>> '''0''': disable-~||||1|| ||nconstr1||||msstart2.m||||72||||nconstr1||||~-Hard conditions directly on variables. Number of the 1st set of constraints-~||||1|| ||nconstr2||||msstart2.m||||73||||nconstr2||||~-Hard conditions directly on variables. Number of the 2nd set of constraints-~|||||| ||nconstr||||msstart2.m||||74||||nconstr||||~-Hard conditions directly on variables. <<BR>> q: 4 years -- 4*12 months. <<BR>> 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. <<BR>> '''1''': condition on ms shocks; <<BR>> '''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. <<BR>> 1-by-nCms vector;<<BR>> '''1''': tightening; <<BR>> '''0''': loosen-~|||||| ||TLnumber||||msstart2.m||||92||||TLnumber||||~-Conditions directly on future shocks. Used only if IndxAp=1. <<BR>> 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 <<BR>> Note that each condition corresponds to variable-~||||0|| ||banact||||msstart2.m||||122||||banact||||~-Soft conditions on variables. <<BR>> '''1''': use infor on actual; <<BR>>'''0''': preset without infor on actual-~||||1|| |
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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 |
1 |
|||||
lags |
msstart_setup.m |
97 |
nlags |
Prior: number of lags |
|
|||||
indxc0Pres |
msstart_setup.m |
98 |
cross_restrictions |
1: cross-A0-and-A+ restrictions |
0 |
|||||
Rform |
msstart_setup.m |
100 |
contemp_reduced_form |
1: contemporaneous recursive reduced form |
0 |
|||||
Pseudo |
msstart_setup.m |
101 |
real_pseudo_forecast |
1: Pseudo forecasts |
0 |
|||||
indxPrior |
msstart_setup.m |
102 |
bayesian_prior |
1: Bayesian 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. |
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 |
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 |
|||||
nconstr1 |
msstart2.m |
72 |
nconstr1 |
Hard conditions directly on variables. Number of the 1st set of constraints |
1 |
|||||
nconstr2 |
msstart2.m |
73 |
nconstr2 |
Hard conditions directly on variables. Number of the 2nd set of constraints |
||||||
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 |