HMC.jl

This repo contains code to estimate the implementation of the Hidden Markov Chain model. Code was written against julia 1.0

Getting Started

To download the needed packages do the following

Start julia
Enter the Pkg manager prompt by pressing ]
Enter activate . to activate project
Enter instantiate to download needed packages

From now one start julia with the project flag from the root directory,
julia --project=. to load the needed packages.

File Structure

code contains scripts to run stuff. Some of these are softlinked into the project root directory to
make it easier to run on the cluster
src contains the code for the module Hmc.jl which contains all the functions used in the estimation
test contains unit test code
data contains the data for the project
— raw contains the raw inflation data
— output contains output files from the estimation scripts
thoughts contains latex code outline various procedures
slurmscripts contains the slurm shell files to run the commands on the cluster

Data

The estimation code outputs the results from each Gibbs draw for the various parameters in the model.
If 1000 samples are drawn in the estimation for each date then the csv files will have 1000 lines for the
samples drawn for date range estimated. Each line starts with the end date of the estimation. For each
of these csv’s there is also a second csv with the mean of the samples for each date. In this csv there is
exactly one line for each date. These csv’s will have _summary as suffix.
The directory structure should make clear what’s being estimated

filtered_forecasts_x.csv are the 1-12 month ahead forecasts for inflation for the estimation ending on the given date
filtered_means_x.csv are the means for the three states for the estimation ending on the given date
filtered_variances_x.csv are the variances for the three states for the estimation ending on the given date
filtered_state_probs_x.csv are the state probabilities for the three states for the last date of the estimation ending on the given date
filtered_trans_probs_x.csv are the transition probabilities for the three states for the estimation ending on the given date. These are outputted by A[:] to transform the matrix to a vector and need to be reshaped in column major order (default in Julia and Matlab but not Python)
smoothed_state_probs_x.csv are the state probabilities for the three states for each date of the sample from the last estimation

Code

run_hmm.jl is the main script which estimates the HMM model. It takes a command line argument
to determine which inflation series to use in the estimation. Call the script as either
julia --project=. -p <number of cores to use> run_hmm.jl official or
julia --project=. -p <number of cores to use> run_hmm.jl alter

aggregate.jl is a secondary script that calculates aggregate statistics