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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: 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.

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
1: flat prior where all alpha's are 1.0 in Dirichlet.

0