Variable

File

Line number

Option name

Comments

Defaults

q_m

msstart_setup.m

11

freq

quarters or months

4

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

msstart_setup.m

36

vlist (vlist set automatically, option not used)

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
0: no prior

1

in .m files in subfolders

cross_restrictions

1: cross-A0-and-A+ restrictions
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.
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.

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
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
0: restricted (non-recursive) form

0

msstart2.m

real_pseudo_forecast

1: Pseudo forecasts
0: real time forecasts

0

msstart2.m

dummy_obs

Dummy observations

0

msstart2.m

nCsk

conditional directly on shoocks

0

msstart2.m

nstd (not used)

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

6

msstart2.m

ninv (not used)

the number of bins for grouping, say, impulse responses

1000

msstart2.m

Indxcol (not used)

a vector of random columns in which MC draws are made

size of the number of variables

msstart2.m

IndxParR (not used)

1: parameters random;
0: no randomness in parameters

1

msstart2.m

IndxOvR (not used)

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

0

msstart2.m

Aband (not used)

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

1

msstart2.m

IndxAp (not used)

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

msstart2.m

Apband (not used)

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

1

msstart2.m

IndxImf (not used)

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

1

msstart2.m

Imfband (not used)

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

1

msstart2.m

IndxFore (not used)

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

0

msstart2.m

Foreband (not used)

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

0

indxGforehat

msstart2.m

45

indxGforhat

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

1

msstart2.m

46

rnum (not used)

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

number of variables

msstart2.m

47

cnum (not used)

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

msstart2.m

74

nconstr (not used)

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

nconstr1+nconstr2

msstart2.m

76

nconstr (not used)

Hard conditions directly on variables. 6*nconstr1

0

options.ms.eq_ms

msstart2.m

77

eq_ms (option not used, but assigned)

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

msstart2.m

78

PorR (not used)

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

msstart2.m

91

TLindx (not used)

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

msstart2.m

92

TLnumber (not used)

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

msstart2.m

120

cnum (not used)

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

sz_prd.m

output_file_tag (not used)

tag for output files

test_2v

sz_prd.m

create_initialization_file (not used)

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

1

sz_prd.m

estimate_msmodel (not used)

1 to perform estimation,
0 otherwise

1

sz_prd.m

compute_mdd (not used)

1 to perform estimation,
0 otherwise

1

sz_prd.m

compute_probabilities (not used)

1 to compute probabilites,
0 otherwise

1

sz_prd.m

print_draws (not used)

1 to Prints draws of the posterior,
0 otherwise

1

sz_prd.m

n_draws (not used)

Number of draws from the posterior

1000

sz_prd.m

thinning_factor (not used)

Thinning Factor

1

sz_prd.m

markov_file (not used)

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

specification_2v2c.dat

sz_prd.m

mhm_file (not used)

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

MHM_input.dat

sz_prd.m

proposal_draws (not used)

Proposal draws for the Markov specification file

100000

generateMHM_input.m

draws_nbr_burn_in_1 (not used)

?

30000

generateMHM_input.m

draws_nbr_burn_in_2 (not used)

?

10000

generateMHM_input.m

draws_nbr_mean_var_estimate (not used)

?

200000

generateMHM_input.m

draws_nbr_modified_harmonic_mean (not used)

?

1000000

generateMHM_input.m

thinning_factor (not used)

?

1

generateMHM_input.m

dirichlet_scale (not used)

?

3

opt1

generateMHM_input.m

?

to be hardcoded (maybe not used)

1.0

opt2

generateMHM_input.m

?

to be hardcoded (maybe not used)

1.5

opt3

generateMHM_input.m

?

to be hardcoded (maybe not used)

2.0