diff --git a/doc/manual.xml b/doc/manual.xml index aa8a43fd3..74e44d1d6 100644 --- a/doc/manual.xml +++ b/doc/manual.xml @@ -3,7 +3,7 @@ Dynare Manual - Version 4.0.4 (draft) + Version 4.0.3.1 (draft) StéphaneAdjemian Université du Mans et CEPREMAP @@ -673,7 +673,7 @@ A = 1-alpha*beta; MODEL_EXPRESSION ; # VARIABLE_NAME = MODEL_EXPRESSION ; - + end; @@ -800,7 +800,7 @@ For models with lags on more than one period, the command for x=1 histval; VARIABLE_NAME = EXPRESSION ; - + end; @@ -1038,7 +1038,7 @@ If the variance of an exogenous variable is set to zero, this variable will appe STOCHASTIC SHOCK STATEMENT - + end; @@ -1164,7 +1164,7 @@ forecast; STOCHASTIC SHOCK STATEMENT - + end; @@ -1337,7 +1337,7 @@ Dynare has special commands for the computation of the static equilibrium of the 3: Chris Sims' solver 4: similar to value 2, except that it deals differently with nearly singular Jacobian - Default value is 2. + Default value is 2. @@ -1394,7 +1394,7 @@ See and . homotopy_setup; - VARIABLE_NAME, EXPRESSION, EXPRESSION; + VARIABLE_NAME, EXPRESSION, EXPRESSION; end; @@ -1465,11 +1465,11 @@ A necessary condition for the uniqueness of a stable equilibrium in the neighbor = INTEGER - Number of periods of the forecast. Default: 40 + Number of periods of the forecast. Default: 40 = DOUBLE - Level of significance for confidence interval. Default: 0.90 + Level of significance for confidence interval. Default: 0.90 @@ -1571,11 +1571,11 @@ The simulated endogenous variables are available in global matrix oo_.e = INTEGER - Order of autocorrelation coefficients to compute and to print. Default: 5 + Order of autocorrelation coefficients to compute and to print. Default: 5 = INTEGER - Number of points dropped at the beginning of simulation before computing the summary statistics. Default: 100 + Number of points dropped at the beginning of simulation before computing the summary statistics. Default: 100 = INTEGER @@ -1583,11 +1583,11 @@ The simulated endogenous variables are available in global matrix oo_.e = INTEGER - Number of points in the grid for the discrete Inverse Fast Fourier Transform used in the HP filter computation. It may be necessary to increase it for highly autocorrelated processes. Default: 512 + Number of points in the grid for the discrete Inverse Fast Fourier Transform used in the HP filter computation. It may be necessary to increase it for highly autocorrelated processes. Default: 512 = INTEGER - Number of periods on which to compute the IRFs. Setting =0, suppresses the plotting of IRF's. Default: 40 + Number of periods on which to compute the IRFs. Setting =0, suppresses the plotting of IRF's. Default: 40 @@ -1623,19 +1623,19 @@ The simulated endogenous variables are available in global matrix oo_.e - Order of Taylor approximation. Acceptable values are 1 and 2. Default: 2 + Order of Taylor approximation. Acceptable values are 1 and 2. Default: 2 = INTEGER - Specifies the number of periods to use in simulations. If =1, no simulation is necessary to compute theoretical moments and IRFs. A number of periods larger than one triggers automatically option . Default: 0 + Specifies the number of periods to use in simulations. If =1, no simulation is necessary to compute theoretical moments and IRFs. A number of periods larger than one triggers automatically option . Default: 0 = DOUBLE - Value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving 1st order problems. Default: 1.000001 + Value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving 1st order problems. Default: 1.000001 = INTEGER - Number of simulated series used to compute the IRFs. Default: 1 if =1, and 50 otherwise + Number of simulated series used to compute the IRFs. Default: 1 if =1, and 50 otherwise @@ -1851,7 +1851,7 @@ varobs C y rr; observation_trends; VARIABLE_NAME(EXPRESSION); - + end; @@ -1910,7 +1910,7 @@ end; , UPPER_BOUND ; - + end; @@ -1957,7 +1957,7 @@ end; ; - + end; @@ -2023,11 +2023,11 @@ Each line corresponds to an estimated parameter and follows this syntax: PRIOR_3RD_PARAMETER - A third parameter of the prior used for generalized beta distribution, generalized gamma and for the uniform distribution. Default: 0 + A third parameter of the prior used for generalized beta distribution, generalized gamma and for the uniform distribution. Default: 0 PRIOR_4TH_PARAMETER - A fourth parameter of the prior used for generalized beta distribution, generalized gamma and for the uniform distribution. Default: 1 + A fourth parameter of the prior used for generalized beta distribution, generalized gamma and for the uniform distribution. Default: 1 SCALE_PARAMETER @@ -2108,7 +2108,7 @@ end; INITIAL_VALUE ; - + end; @@ -2158,7 +2158,7 @@ end; UPPER_BOUND ; - + end; @@ -2180,77 +2180,209 @@ end; estimation - computes estimation. + computes estimation estimation - (OPTIONS) - ; + (OPTION, OPTION) + VARIABLE_NAME; -OPTIONS - - datafile = - FILENAME: the datafile (a .m file, a .mat file or a .xls file) -xls_sheet = NAME: the name of the sheet with the data in an Excel file -xls_range = RANGE: the range with the data in an Excel file -nobs = INTEGER: the number of observations to be used (default: all observations in the file) -nobs = ([INTEGER_1:INTEGER_2]): runs a recursive estimation and forecast for samples of size ranging of INTEGER_1 to INTEGER_2. Option FORECAST must also be specified. - - first_obs = INTEGER: the number of the first observation to be used (default = 1) - prefilter = 1: the estimation procedure demeans the data (default=0, no prefiltering) - presample = INTEGER: the number of observations to be skipped before evaluating the likelihood (default = 0) - loglinear: computes a log--linear approximation of the model instead of a linear (default) approximation. The data must correspond to the definition of the variables used in the modelx. - nograph: no graphs should be plotted - lik_init: INTEGER: type of initialization of Kalman filter. - - 1 (default): for stationary models, the initial matrix of variance of the error of forecast is set equal to the unconditional variance of the state variables. - 2: for nonstationary models: a wide prior is used with an initial matrix of variance of the error of forecast diagonal with 10 on the diagonal. - - -conf_sig = {INTEGER | DOUBLE}: the level for the confidence intervals reported in the results (default = 0.90) - mh_replic = INTEGER: number of replication for Metropolis Hasting algorithm. For the time being, mh_replic should be larger than 1200 (default = 20000.) - mh_nblocks = INTEGER: number of paralletl chains for Metropolis Hasting algorithm (default = 2). - mh_drop = DOUBLE: the fraction of initially generated parameter vectors to be dropped before using posterior simulations (default = 0.5) - mh_jscale = DOUBLE: the scale to be used for the jumping distribution in MH algorithm. The default value is rarely satisfactory. This option must be tune to obtain, ideally, an accpetation rate of 25% in the Metropolis-Hastings algorithm (default = 0.2). -mh_init_scale=DOUBLE: the scale to be used for drawing the initial value of the Metropolis-Hastings chain (default=2*mh_scale). - -mh_recover attempts to recover a Metropolis simulation that crashed prematurely. Shouldn't be used together with load_mh_file -mode_file=FILENAME: name of the file containing previous value for the mode. When computing the mode, Dynare stores the mode (xparam1) and the hessian (hh) in a file called MODEL NAME_mode. -mode_compute=INTEGER: specifies the optimizer for the mode computation. - - 0: the mode isn't computed. mode_file must be specified - 1: uses Matlab fmincon. - 2: [not available anymore] uses Lester Ingber's Adaptive Simulated Annealing. - 3: uses Matlab fminunc. - 4: (default): uses Chris Sim's csminwel. - 5: uses a routine by Marco Ratto. - 6: uses a simulated annealing - like algorithm. - 7: uses Matlab fminsearch (a simplex based routine). - -mode_check: when mode_check is set, Dynare plots the posterior density for values around the computed mode for each estimated parameter in turn. This is helpful to diagnose problems with the optimizer. -prior_trunc=DOUBLE: probability of extreme values of the prior density that is ignored when computing bounds for the parameters (default=1e-32). -load_mh_file: when load_mh_file is declared, Dynare adds to previous Metropolis-Hastings simulations instead of starting from scratch. Shouldn't be used together with mh_recover. -optim=(fmincon options): can be used to set options for fmincon, the optimizing function of Matlab Optimizaiton toolbox. Use Matlab syntax for these options - (default: ('display','iter','LargeScale','off','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6)) - - - nodiagnostic: doesn't compute the convergence diagnostics for Metropolis (default: diagnostics are computed and displayed). - - -bayesian_irf triggers the computation of the posterior distribution of IRFs. The length of the IRFs are controlled by the irf option -moments_varendo triggers the computation of the posterior distribution of the theoretical moments of the endogenous variables -filtered_vars triggers the computation of the posterior distribution of filtered endogenous variables and shocks -smoother triggers the computation of the posterior distribution of smoothered endogenous variables and shocks -forecast = INTEGER computes the posterior distribution of a forecast on INTEGER periods after the end of the sample used in estimation -tex requests the printing of results and graphs in TeX tables and graphics that can be later directly included in Latex files (not yet implemented) -All options for - +Options + + + = FILENAME + The datafile (a .m file, a .mat file or a .xls file) + + + = NAME + The name of the sheet with the data in an Excel file + + + = RANGE + The range with the data in an Excel file + + + = INTEGER + The number of observations to be used. Default: all observations in the file + + + = [INTEGER_1:INTEGER_2] + Runs a recursive estimation and forecast for samples of size ranging of INTEGER_1 to INTEGER_2. Option must also be specified + + + = INTEGER + The number of the first observation to be used. Default: 1 + + + = INTEGER + A value of 1 means that the estimation procedure will demean the data. Default: 0, i.e. no prefiltering + + + = INTEGER + The number of observations to be skipped before evaluating the likelihood. Default: 0 + + + + Computes a log--linear approximation of the model instead of a linear approximation. The data must correspond to the definition of the variables used in the model. Default: computes a linear approximation + + + + No graphs should be plotted + + + = INTEGER + Type of initialization of Kalman filter: + + 1: for stationary models, the initial matrix of variance of the error of forecast is set equal to the unconditional variance of the state variables + 2: for nonstationary models: a wide prior is used with an initial matrix of variance of the error of forecast diagonal with 10 on the diagonal + + Default value is 1. + + + + = INTEGER + ... + + + = DOUBLE + The level for the confidence intervals reported in the results. Default: 0.90 + + + = INTEGER + Number of replications for Metropolis-Hastings algorithm. For the time being, should be larger than 1200. Default: 20000 + + + = INTEGER + Number of parallel chains for Metropolis-Hastings algorithm. Default: 2 + + + = DOUBLE + The fraction of initially generated parameter vectors to be dropped before using posterior simulations. Default: 0.5 + + + = DOUBLE + The scale to be used for the jumping distribution in Metropolis-Hastings algorithm. The default value is rarely satisfactory. This option must be tuned to obtain, ideally, an acceptation rate of 25% in the Metropolis-Hastings algorithm. Default: 0.2 + + + = DOUBLE + The scale to be used for drawing the initial value of the Metropolis-Hastings chain. Default: 2* + + + + Attempts to recover a Metropolis-Hastings simulation that crashed prematurely. Shouldn't be used together with + + + = INTEGER + ... + + + = FILENAME + Name of the file containing previous value for the mode. When computing the mode, Dynare stores the mode (xparam1) and the hessian (hh) in a file called MODEL_FILENAME_mode.mat + + + = INTEGER + Specifies the optimizer for the mode computation: + + 0: the mode isn't computed. mode_file must be specified + 1: uses Matlab's fmincon + 2: value no longer used + 3: uses Matlab's fminunc + 4: uses Chris Sim's csminwel + 5: uses a routine by Marco Ratto + 6: uses a simulated annealing-like algorithm + 7: uses Matlab's fminsearch (a simplex based routine) + + Default value is 4. + + + + + Tells Dynare to plot the posterior density for values around the computed mode for each estimated parameter in turn. This is helpful to diagnose problems with the optimizer + + + = DOUBLE + Probability of extreme values of the prior density that is ignored when computing bounds for the parameters. Default: 1e-32 + + + + Tells Dynare to add to previous Metropolis-Hastings simulations instead of starting from scratch. Shouldn't be used together with mh_recover + + + = (fmincon options) + Can be used to set options for fmincon, the optimizing function of Matlab Optimizaiton toolbox. Use Matlab's syntax for these options. Default: ('display','iter','LargeScale','off','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6) + + + + Doesn't compute the convergence diagnostics for Metropolis-Hastings. Default: diagnostics are computed and displayed + + + + Triggers the computation of the posterior distribution of IRFs. The length of the IRFs are controlled by the option + + + + Triggers the computation of the posterior distribution of the theoretical moments of the endogenous variables + + + + Triggers the computation of the posterior distribution of filtered endogenous variables and shocks + + + + Triggers the computation of the posterior distribution of smoothered endogenous variables and shocks + + + = INTEGER + Computes the posterior distribution of a forecast on INTEGER periods after the end of the sample used in estimation + + + + Requests the printing of results and graphs in TeX tables and graphics that can be later directly included in LaTeX files (not yet implemented) + + + = INTEGER + ... + + + = INTEGER + ... + + + = [INTEGER_1:INTEGER_2] + ... + + + + ... + + + + ... + + + + ... + + + = INTEGER + See + + + = INTEGER + See + + + = INTEGER + See + + - If no mh_jscale parameter is used in estimated_params, the procedure uses mh_jscale for all parameters. If mh_jscale option isn't set, the procedure uses 0.2 for all parameters. + + If no parameter is used in estimated_params, the procedure uses for all parameters. If option isn't set, the procedure uses 0.2 for all parameters. @@ -2268,7 +2400,7 @@ end; Output After running estimation, the parameters and the variance matrix of the shocks are set to the mode for maximum likelihood estimation or posterior mode computation without Metropolis iterations. -After estimation with Metropolis iterations (option mh_replic > 0 or option load_mh_file set) the parameters and the variance matrix of the shocks are set to the posterior mean. +After estimation with Metropolis iterations (option > 0 or option set) the parameters and the variance matrix of the shocks are set to the posterior mean. Depending on the options, estimation stores results in the following fields of structure oo_: Content of <varname>oo_</varname>