1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
|
%function []= msstart_setup(options_)
% Copyright (C) 2011-2012 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:size(options_.varobs,1)]; % 1: U; 4: PCE inflation.
options_.ms.varlist=cellstr(options_.varobs);
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);
%options_.ms.restriction_fname='ftd_upperchol3v'; %Only used by msstart2.m.
ylab = options_.ms.varlist;
xlab = options_.ms.varlist;
%----------------
nvar = size(options_.varobs,1); % 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
%<<<<<<<<<<<<<<<<<<<
|
