function []= msstart_setup(options_)
0001 %function []= msstart_setup(options_) 0002 0003 % Copyright (C) 2011 Dynare Team 0004 % 0005 % This file is part of Dynare. 0006 % 0007 % Dynare is free software: you can redistribute it and/or modify 0008 % it under the terms of the GNU General Public License as published by 0009 % the Free Software Foundation, either version 3 of the License, or 0010 % (at your option) any later version. 0011 % 0012 % Dynare is distributed in the hope that it will be useful, 0013 % but WITHOUT ANY WARRANTY; without even the implied warranty of 0014 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 0015 % GNU General Public License for more details. 0016 % 0017 % You should have received a copy of the GNU General Public License 0018 % along with Dynare. If not, see <http://www.gnu.org/licenses/>. 0019 0020 % ** ONLY UNDER UNIX SYSTEM 0021 %path(path,'/usr2/f1taz14/mymatlab') 0022 0023 0024 0025 %=========================================== 0026 % Exordium I 0027 %=========================================== 0028 format short g % format 0029 % 0030 %options_.ms.freq = 4; % quarters or months 0031 %options_.ms.initial_year=1959; % beginning of the year 0032 %options_.ms.initial_subperiod=1; % begining of the quarter or month 0033 %options_.ms.final_year=2005; % final year 0034 %options_.ms.final_subperiod=4; % final month or quarter 0035 nData=(options_.ms.final_year-options_.ms.initial_year)*options_.ms.freq + (options_.ms.final_subperiod-options_.ms.initial_subperiod+1); 0036 % total number of the available data -- this is all you have 0037 0038 %*** Load data and series 0039 %load datainf_argen.prn % the default name for the variable is "options_.ms.data". 0040 %load datacbogdpffr.prn 0041 %options_.ms.data = datacbogdpffr; 0042 %clear datacbogdpffr; 0043 [nt,ndv]=size(options_.data); 0044 if nt~=nData 0045 disp(' ') 0046 warning(sprintf('nt=%d, Caution: not equal to the length in the data',nt)); 0047 %disp(sprintf('nt=%d, Caution: not equal to the length in the data',nt)); 0048 disp('Press ctrl-c to abort') 0049 return 0050 end 0051 %-------- 0052 %1 CBO output gap -- log(x_t)-log(x_t potential) 0053 %2 GDP deflator -- (P_t/P_{t-1})^4-1.0 0054 %2 FFR/100. 0055 options_.ms.vlist = [1:size(options_.varobs,1)]; % 1: U; 4: PCE inflation. 0056 options_.ms.varlist=cellstr(options_.varobs); 0057 options_.ms.log_var = sort(varlist_indices(options_.ms.vlistlog,options_.varobs)); % subset of "options_.ms.vlist. Variables in log level so that differences are in **monthly** growth, unlike R and U which are in annual percent (divided by 100 already). 0058 options_.ms.percent_var =setdiff(options_.ms.vlist,options_.ms.log_var); 0059 %options_.ms.restriction_fname='ftd_upperchol3v'; %Only used by msstart2.m. 0060 ylab = options_.ms.varlist; 0061 xlab = options_.ms.varlist; 0062 0063 %---------------- 0064 nvar = size(options_.varobs,1); % number of endogenous variables 0065 nlogeno = length(options_.ms.log_var); % number of endogenous variables in options_.ms.log_var 0066 npereno = length(options_.ms.percent_var); % number of endogenous variables in options_.ms.percent_var 0067 if (nvar~=(nlogeno+npereno)) 0068 disp(' ') 0069 warning('Check xlab, nlogeno or npereno to make sure of endogenous variables in options_.ms.vlist') 0070 disp('Press ctrl-c to abort') 0071 return 0072 elseif (nvar==length(options_.ms.vlist)) 0073 nexo=1; % only constants as an exogenous variable. The default setting. 0074 elseif (nvar<length(options_.ms.vlist)) 0075 nexo=length(options_.ms.vlist)-nvar+1; 0076 else 0077 disp(' ') 0078 warning('Make sure there are only nvar endogenous variables in options_.ms.vlist') 0079 disp('Press ctrl-c to abort') 0080 return 0081 end 0082 0083 0084 %------- A specific sample is considered for estimation ------- 0085 yrStart=options_.ms.initial_year; 0086 qmStart=options_.ms.initial_subperiod; 0087 yrEnd=options_.ms.final_year; 0088 qmEnd=options_.ms.final_subperiod; 0089 %options_.forecast = 4; % number of years for forecasting 0090 if options_.forecast<1 0091 error('To be safe, the number of forecast years should be at least 1') 0092 end 0093 forelabel = [num2str(yrEnd) ':' num2str(qmEnd) ' Forecast']; 0094 0095 nSample=(yrEnd-yrStart)*options_.ms.freq + (qmEnd-qmStart+1); 0096 if qmEnd==options_.ms.freq 0097 E1yrqm = [yrEnd+1 1]; % first year and quarter (month) after the sample 0098 else 0099 E1yrqm = [yrEnd qmEnd+1]; % first year and quarter (month) after the sample 0100 end 0101 E2yrqm = [yrEnd+options_.forecast qmEnd]; % end at the last month (quarter) of a calendar year after the sample 0102 [fdates,nfqm]=fn_calyrqm(options_.ms.freq,E1yrqm,E2yrqm); % forecast dates and number of forecast dates 0103 [sdates,nsqm] = fn_calyrqm(options_.ms.freq,[yrStart qmStart],[yrEnd qmEnd]); 0104 % sdates: dates for the whole sample (including options_.ms.nlags) 0105 if nSample~=nsqm 0106 warning('Make sure that nSample is consistent with the size of sdates') 0107 disp('Hit any key to continue, or ctrl-c to abort') 0108 pause 0109 end 0110 imstp = 4*options_.ms.freq; % <<>> impulse responses (4 years) 0111 nayr = 4; %options_.forecast; % number of years before forecasting for plotting. 0112 0113 0114 %------- Prior, etc. ------- 0115 %options_.ms.nlags = 4; % number of options_.ms.nlags 0116 %options_.ms.cross_restrictions = 0; % 1: cross-A0-and-A+ restrictions; 0: options_.ms.restriction_fname is all we have 0117 % Example for indxOres==1: restrictions of the form P(t) = P(t-1). 0118 %options_.ms.contemp_reduced_form = 0; % 1: contemporaneous recursive reduced form; 0: restricted (non-recursive) form 0119 %options_.ms.real_pseudo_forecast = 0; % 1: options_.ms.real_pseudo_forecast forecasts; 0: real time forecasts 0120 %options_.ms.bayesian_prior = 1; % 1: Bayesian prior; 0: no prior 0121 indxDummy = options_.ms.bayesian_prior; % 1: add dummy observations to the data; 0: no dummy added. 0122 %options_.ms.dummy_obs = 0; % No dummy observations for xtx, phi, fss, xdatae, etc. Dummy observations are used as an explicit prior in fn_rnrprior_covres_dobs.m. 0123 %if indxDummy 0124 % options_.ms.dummy_obs=nvar+1; % number of dummy observations 0125 %else 0126 % options_.ms.dummy_obs=0; % no dummy observations 0127 %end 0128 %=== The following mu is effective only if options_.ms.bayesian_prior==1. 0129 0130 mu = options_.ms.coefficients_prior_hyperparameters; 0131 0132 % mu(1): overall tightness and also for A0; 0133 % mu(2): relative tightness for A+; 0134 % mu(3): relative tightness for the constant term; 0135 % mu(4): tightness on lag decay; (1) 0136 % mu(5): weight on nvar sums of coeffs dummy observations (unit roots); 0137 % mu(6): weight on single dummy initial observation including constant 0138 % (cointegration, unit roots, and stationarity); 0139 % 0140 % 0141 hpmsmd = [0.0; 0.0]; 0142 indxmsmdeqn = [0; 0; 0; 0]; %This option disenable using this in fn_rnrprior_covres_dobs.m 0143 0144 0145 tdf = 3; % degrees of freedom for t-dist for initial draw of the MC loop 0146 nbuffer = 1000; % a block or buffer of draws (buffer) that is saved to the disk (not memory) 0147 ndraws1=1*nbuffer; % 1st part of Monte Carlo draws 0148 ndraws2=10*ndraws1; % 2nd part of Monte Carlo draws 0149 % seednumber = options_.DynareRandomStreams.seed; %7910; %472534; % if 0, random state at each clock time 0150 % % good one 420 for [29 45], [29 54] 0151 % if seednumber 0152 % randn('state',seednumber); 0153 % rand('state',seednumber); 0154 % else 0155 % randn('state',fix(100*sum(clock))); 0156 % rand('state',fix(100*sum(clock))); 0157 % end 0158 % nstarts=1 % number of starting points 0159 % imndraws = nstarts*ndraws2; % total draws for impulse responses or forecasts 0160 %<<<<<<<<<<<<<<<<<<< 0161 0162 0163 0164 0165