%%%%%%%%%%%%%%% description of key files %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
abbreviations:
Ps = standard prior;
Pql = quasi-likelihood prior,
st st = steady state,
theta_endo, theta_exo, theta_stst = groupings of DSGE model parameters, see paper
IRFs: impulse responses
marg lik = marginal likelihood
%%%%%%%%%%%%%%% SETTINGS and DATA
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varspec.m
contains the main settings, such as:
mspec: model
mspec_ref: either [] for Ps, or NaN for Pql
nlagsc: # VAR lags in quasi-lik (Pql only)
nobsdrat: T* in quasi-lik (Pql only), expressed as ratio of actual sample
mprior: prior choice
stime = determines actual sample used in estimation
nblocks, nsim: # blocks for MCMC, # draws for each block
most other settings are self-explanatory
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pathspec.m
specifies path for reading data, saving stuff, etc
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startdsswfed.m
links to other directories containing subrutines
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loaddata.m
loads data (data6.txt) and contains a description of the series
%%%%%%%%%%%%%%% MAIN FILES: PRIOR
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mhpriostst.m
generates prior for st st parameters (theta_stst) -- using (very fast) MCMC.
you need to run this first for both Ps and Pql
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prio.m
generates prior for theta_endo in the standard way (drawing from independent marginals). also very fast.
you need to run this next for both Ps and Pql
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mhprio.m
generates prior for theta_exo using quasi-lik -- using MCMC. takes some time
you need to run this first for Pql only.
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priosplice.m
splices draws for theta_endo, theta_exo, theta_stst together, so we have one vector of DSGE parameters.
in doing so rules out indeterminacy draws
need to run this before computing wIRFs, marg lik
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margdenprio.m
computes marg lik for prior (eg, integrating constant), need to run this before computing marg lik for DSGE model
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priomom.m
computes and tabulates prior moments for DSGE parameters
%%%%%%%%%%%%%%% MAIN FILES: POSTERIOR
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mhvarsim.m
maximizes posterior and runs MCMC.
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margdensim.m
computes marg lik for DSGE model
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mom.m
computes and tabulates posterior moments for DSGE parameters
%%%%%%%%%%%%%%% IRFs and MOMENTS
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Wprioirfs.m
computes IRFs associated with either prior or posterior draws for DSGE parameters
(in spite of 'prio' in name, does both prior and posterior draws)
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priostats.m
computes moments (variances, autocorrelations, cross-correlations)
associated with either prior or posterior draws for DSGE parameters
(in spite of 'prio' in name, does both prior and posterior draws)
%%%%%%%%%%%%%%% DSGE ESTIMATION
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dsgesolv.m
solves DSGE model using gensys.m (See Sims 2002)
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measur.m
measurement equation
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dsgelh.m
measurement equation
DSGE model likelihood, using kalman filter