Top Level Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

estimate

estimate_msmodel

produces estimation - posterior mode or maximum likelihood

simulate

print_draws

produces simulation run

probabilities

compute_probabilities

produces smoothed or filtered probabilities

mdd

compute_mdd

produces marginal data density from posterior draws

forecast

produces forecast

ir

produces impulse responses

historical

produces historical decomposition

smoothedshocks

produces smoothed shocks

smoothedstates

produces smoothed states

seed

0 (i.e. random)

seed value for random number generation

General Options (from switch_dw/state_space/sbvar/dw_sbvar_command_line.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

di

<<directory>>

./

not supported

input files are in specified directory

do

<<directory>>

./

not supported

output files are in specified directory

fs

<<filename>>

specification file name

fp

<<filename>>

parameter file name

ph

<<header>>

header for the parameters

pho

<<header>>

parameter header used for output

MLE

<<header>>

Determines if estimation finds the posterior mode or maximum likelihood. If ph or is not present, determines whether the input parameter header is "MLE: " or "Posterior mode: ".

fo

<<filename>>

output file name

ft

<<tag>>

The input file tag. Is used to create input filenames if the fs or fp options are not present.

fto

<<tag>>

associated with ft

output_file_tag

The output file tag. Used to create output filenames.


Estimation Options (from switch_dw/state_space/sbvar/sbvar_estimate.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

cb

<<double>>

1.0e-03

convergence criterion starting value

ce

<<double>>

1.0e-06

convergence criterion ending value

ci

<<double>>

0.1

convergence criterion increment value

ib

<<integer>>

50

maximum interations starting value

ii

<<double>>

2.0

maximum interations increment value

mb

<<integer>>

100

maximum block iterations


Simulation Options (from switch_dw/state_space/sbvar/sbvar_simulate.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

ndraws

<<integer>>

1000

n_draws

Number of draws to save

burnin

<<integer>>

0.1*ndraws

draws_nbr_burn_in

Number of burn-in draws

thin

<<integer>>

1

thinning_factor

Thinning factor. Total number of draws made is thin*ndraws+burnin

mh

<<integer>>

30000

Tuning period for Metropolis-Hasting draws

flat

--

off

Produce flat output file and header

nofree

--

off

Do not produce free parameters file

nd1

--

off

Normalize diagonal of A0 to one (flat output only)


Probabilities Options (from switch_dw/state_space/sbvar/sbvar_probabilities.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

filtered

--

off

Compute filtered probabilities

smoothed

--

on if neither filtered nor real_time_smoothed is passed

Compute smoothed probabilities

real_time_smoothed

--

off

Compute smoothed probabilities based on time t information for 0 <= t <= nobs


Marginal Data Density Options (from switch_dw/switching/dw_mdd_switch.c):

Standalone Flag

Argument

Standalone Default

Dynare Option Name

Comments

t

<<string>>

filemname tag

ft

<<string>>

filemname tag -- supersedes t

outtag

<<string>>

filemname tag -- supersedes t and ft

pf

<<string>>

simulation_<tag>.out

posterior draws fileanme

pt

<<integer>>

2

proposal type (1=gaussian, 2=power, 3=truncated power, 4=step, 5=truncated gaussian)

d

<<integer>>

100,000

number proposal draws

use_mode

--

on

use posterior mode as center

use_mean

--

off

use posterior mean as center

of

<<string>>

mdd_<tag>.out

output filename

l

<<double>>

0.1

Lower cutoff for in terms of probability. Used by truncated power, truncated gaussian, step, and uniform.

h

<<double>>

0.9

Upper cutoff for in terms of probability. Used by power, truncated power, truncated gaussian, step, and uniform.

grahp

--

off

Produce output suitable for graphing the marginal cummulative densities of the radius of the posterior and elliptical distributions. The marginal data density is not computed.

print

--

off

Prints the matrices posterior and proposal

DynareWiki: MarkovSwitchingOptionsNew (last edited 2011-03-02 10:36:11 by HoutanBastani)