157 lines
7.6 KiB
Matlab
157 lines
7.6 KiB
Matlab
%function []= msstart_setup(options_)
|
|
|
|
% Copyright (C) 2011-2017 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
|
|
% ** 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
|
|
error('The declared sample is longer than the available data')
|
|
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:length(options_.varobs)]; % 1: U; 4: PCE inflation.
|
|
options_.ms.varlist=cellstr(options_.varobs');
|
|
options_.ms.log_var = sort(varlist_indices(options_.ms.vlistlog,char(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);
|
|
%options_.ms.restriction_fname='ftd_upperchol3v'; %Only used by msstart2.m.
|
|
ylab = options_.ms.varlist;
|
|
xlab = options_.ms.varlist;
|
|
|
|
%----------------
|
|
nvar = length(options_.varobs); % number of endogenous variables
|
|
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))
|
|
skipline()
|
|
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
|
|
skipline()
|
|
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;
|
|
%options_.forecast = 4; % number of years for forecasting
|
|
if options_.forecast<1
|
|
error('To be safe, the number of forecast years should be at least 1')
|
|
end
|
|
forelabel = [num2str(yrEnd) ':' 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
|
|
E2yrqm = [yrEnd+options_.forecast qmEnd]; % end at the last month (quarter) of a calendar year after the sample
|
|
[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)
|
|
nayr = 4; %options_.forecast; % number of years before forecasting for plotting.
|
|
|
|
|
|
%------- 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 = options_.ms.coefficients_prior_hyperparameters;
|
|
|
|
% 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
|
|
nbuffer = 1000; % a block or buffer of draws (buffer) that is saved to the disk (not memory)
|
|
ndraws1=1*nbuffer; % 1st part of Monte Carlo draws
|
|
ndraws2=10*ndraws1; % 2nd part of Monte Carlo draws
|
|
% seednumber = options_.DynareRandomStreams.seed; %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
|
|
%<<<<<<<<<<<<<<<<<<<
|