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%function []= msstart_setup(options_)
% ** ONLY UNDER UNIX SYSTEM
%path(path,'/usr2/f1taz14/mymatlab')
%===========================================
% Exordium I
%===========================================
format short g % format
%
%options_.ms.freq = 4; % quarters or months
%options_.ms.initial_year=1959; % beginning of the year
%options_.ms.initial_subperiod=1; % begining of the quarter or month
%options_.ms.final_year=2005; % final year
%options_.ms.final_subperiod=4; % final month or quarter
nData = ( options_ . ms . final_year - options_ . ms . initial_year ) * options_ . ms . freq + ( options_ . ms . final_subperiod - options_ . ms . initial_subperiod + 1 ) ;
% total number of the available data -- this is all you have
%*** Load data and series
%load datainf_argen.prn % the default name for the variable is "options_.ms.data".
%load datacbogdpffr.prn
%options_.ms.data = datacbogdpffr;
%clear datacbogdpffr;
[ nt , ndv ] = size ( options_ . data ) ;
if nt ~= nData
disp ( ' ' )
warning ( sprintf ( ' nt=%d, Caution: not equal to the length in the data' , nt ) ) ;
%disp(sprintf('nt=%d, Caution: not equal to the length in the data',nt));
disp ( ' Press ctrl-c to abort' )
return
end
%--------
%1 CBO output gap -- log(x_t)-log(x_t potential)
%2 GDP deflator -- (P_t/P_{t-1})^4-1.0
%2 FFR/100.
options_ . ms . vlist = [ 1 : size ( options_ . varobs , 1 ) ] ; % 1: U; 4: PCE inflation.
options_ . ms . varlist = cellstr ( options_ . varobs ) ;
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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).
options_ . ms . percent_var = setdiff ( options_ . ms . vlist , options_ . ms . log_var ) ;
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%options_.ms.restriction_fname='ftd_upperchol3v'; %Only used by msstart2.m.
ylab = options_ . ms . varlist ;
xlab = options_ . ms . varlist ;
%----------------
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nvar = size ( options_ . varobs , 1 ) ; % number of endogenous variables
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nlogeno = length ( options_ . ms . log_var ) % number of endogenous variables in options_.ms.log_var
npereno = length ( options_ . ms . percent_var ) % number of endogenous variables in options_.ms.percent_var
if ( nvar ~= ( nlogeno + npereno ) )
disp ( ' ' )
warning ( ' Check xlab, nlogeno or npereno to make sure of endogenous variables in options_.ms.vlist' )
disp ( ' Press ctrl-c to abort' )
return
elseif ( nvar == length ( options_ . ms . vlist ) )
nexo = 1 ; % only constants as an exogenous variable. The default setting.
elseif ( nvar < length ( options_ . ms . vlist ) )
nexo = length ( options_ . ms . vlist ) - nvar + 1 ;
else
disp ( ' ' )
warning ( ' Make sure there are only nvar endogenous variables in options_.ms.vlist' )
disp ( ' Press ctrl-c to abort' )
return
end
%------- A specific sample is considered for estimation -------
yrStart = options_ . ms . initial_year ;
qmStart = options_ . ms . initial_subperiod ;
yrEnd = options_ . ms . final_year ;
qmEnd = options_ . ms . final_subperiod ;
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%options_.forecast = 4; % number of years for forecasting
if options_ . forecast < 1
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error ( ' To be safe, the number of forecast years should be at least 1' )
end
ystr = num2str ( yrEnd ) ;
forelabel = [ ystr ( 3 : 4 ) ' :' num2str ( qmEnd ) ' Forecast' ] ;
nSample = ( yrEnd - yrStart ) * options_ . ms . freq + ( qmEnd - qmStart + 1 ) ;
if qmEnd == options_ . ms . freq
E1yrqm = [ yrEnd + 1 1 ] ; % first year and quarter (month) after the sample
else
E1yrqm = [ yrEnd qmEnd + 1 ] ; % first year and quarter (month) after the sample
end
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E2yrqm = [ yrEnd + options_ . forecast qmEnd ] ; % end at the last month (quarter) of a calendar year after the sample
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[ fdates , nfqm ] = fn_calyrqm ( options_ . ms . freq , E1yrqm , E2yrqm ) ; % forecast dates and number of forecast dates
[ sdates , nsqm ] = fn_calyrqm ( options_ . ms . freq , [ yrStart qmStart ] , [ yrEnd qmEnd ] ) ;
% sdates: dates for the whole sample (including options_.ms.nlags)
if nSample ~= nsqm
warning ( ' Make sure that nSample is consistent with the size of sdates' )
disp ( ' Hit any key to continue, or ctrl-c to abort' )
pause
end
imstp = 4 * options_ . ms . freq ; % <<>> impulse responses (4 years)
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nayr = 4 ; %options_.forecast; % number of years before forecasting for plotting.
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%------- Prior, etc. -------
%options_.ms.nlags = 4; % number of options_.ms.nlags
%options_.ms.cross_restrictions = 0; % 1: cross-A0-and-A+ restrictions; 0: options_.ms.restriction_fname is all we have
% Example for indxOres==1: restrictions of the form P(t) = P(t-1).
%options_.ms.contemp_reduced_form = 0; % 1: contemporaneous recursive reduced form; 0: restricted (non-recursive) form
%options_.ms.real_pseudo_forecast = 0; % 1: options_.ms.real_pseudo_forecast forecasts; 0: real time forecasts
%options_.ms.bayesian_prior = 1; % 1: Bayesian prior; 0: no prior
indxDummy = options_ . ms . bayesian_prior ; % 1: add dummy observations to the data; 0: no dummy added.
%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.
%if indxDummy
% options_.ms.dummy_obs=nvar+1; % number of dummy observations
%else
% options_.ms.dummy_obs=0; % no dummy observations
%end
%=== The following mu is effective only if options_.ms.bayesian_prior==1.
mu = zeros ( 6 , 1 ) ; % hyperparameters
mu = zeros ( 6 , 1 ) ; % hyperparameters
mu ( 1 ) = 0.57 ;
mu ( 2 ) = 0.13 ;
mu ( 3 ) = 0.1 ;
mu ( 4 ) = 1.5 ; %1.4 or 1.5, faster decay, produces much better inflation forecast.
mu ( 5 ) = 5 ; %10;
mu ( 6 ) = 5 ; %10;
% mu(1): overall tightness and also for A0;
% mu(2): relative tightness for A+;
% mu(3): relative tightness for the constant term;
% mu(4): tightness on lag decay; (1)
% mu(5): weight on nvar sums of coeffs dummy observations (unit roots);
% mu(6): weight on single dummy initial observation including constant
% (cointegration, unit roots, and stationarity);
%
%
hpmsmd = [ 0.0 ; 0.0 ] ;
indxmsmdeqn = [ 0 ; 0 ; 0 ; 0 ] ; %This option disenable using this in fn_rnrprior_covres_dobs.m
tdf = 3 ; % degrees of freedom for t-dist for initial draw of the MC loop
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nbuffer = 1000 ; % a block or buffer of draws (buffer) that is saved to the disk (not memory)
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ndraws1 = 1 * nbuffer ; % 1st part of Monte Carlo draws
ndraws2 = 10 * ndraws1 % 2nd part of Monte Carlo draws
seednumber = 0 ; %7910; %472534; % if 0, random state at each clock time
% good one 420 for [29 45], [29 54]
if seednumber
randn ( ' state' , seednumber ) ;
rand ( ' state' , seednumber ) ;
else
randn ( ' state' , fix ( 100 * sum ( clock ) ) ) ;
rand ( ' state' , fix ( 100 * sum ( clock ) ) ) ;
end
% nstarts=1 % number of starting points
% imndraws = nstarts*ndraws2; % total draws for impulse responses or forecasts
%<<<<<<<<<<<<<<<<<<<