Compressed using 7-zip The archive contains the following folders/subfolders and files: mic_ABM - Files required to run the ABM - DSGE model comparison │ epsclean.m Utility for improving the formatting of eps files │ mcs_original.m Utility, runs the Hansen (2011) Model Confidence Set procedure │ mic_train_score_comp.py MAIN: Used to run the MIC model comparison │ mlag.m Dependency for the Hansen MCS procedure │ opt_block_length.m Dependency for the Hansen MCS procedure │ output_figures.m MAIN: Generate figures for output (not used) │ output_probabilities.m MAIN: Generate probability distributions │ output_tables.m MAIN: Generate tables for output │ parallel_batch_compare.sh MAIN: Shell script for running mic_train_score_comp.py in parallel │ plot_sim_data.m Utility to plot │ score_convert.py Utility to convert '.pkl' results to matlab format │ setup.py Use to compile MIC toolbox │ ├───logs Run logs for the MIC algorithm │ ├───base │ └───new ├───mic MIC toolbox ├───outputs eps figures and latex tables for paper ├───scores Result of the MIC analysis │ ├───base │ └───new └───sim_dat Simulated data for the model comparison mic_ARCH - Files required to run the univariate ARMA-ARCH monte carlo validation │ bandwidths.txt Cross validated bandwith data (generated by kde_bandwidth.py) │ gen_series.m MAIN: Used to generate the monte carlo (MC) datasets │ kde_bandwidth.py MAIN: Used to cross validate the KDE bandwiths │ kde_train_score.py MAIN: Used to estimate KDE likelihoods on MC data │ mic_train_score.py MAIN: Used to estimate MIC scores on MC data │ outputs.m MAIN: Generate MIC outputs for paper │ outputs_kde.m MAIN: Generate KDE outputs for paper │ parallel_batch_kde.sh MAIN: Shell script for running kde_train_score.py in parallel │ parallel_batch_mic.sh MAIN: Shell script for running mic_train_score.py in parallel │ parallel_kde_bandwidth.sh MAIN: Shell script for running kde_bandwidth.py in parallel │ quantisation diagnostics.py MAIN: Run MIC quantisation diagnostics │ score_convert.py Utility to convert '.pkl' results to matlab format │ setup.py Use to compile MIC toolbox │ ├───data_gen Parameterisations for generating simulations ├───logs Run logs for the MIC algorithm │ ├───train_run_01-Jun-2019_05-37-10 │ ├───train_run_31-May-2019_18-57-12 │ └───train_run_31-May-2019_20-38-06 ├───mic MIC toolbox ├───outputs eps figures and latex tables for paper │ └───scatter ├───scores Result of the MIC analysis │ ├───converted_kde_opt_b │ ├───converted_mic │ ├───kde_opt_b │ └───mic └───sim_dat Simulated data for the model comparison ├───matlab_format └───text_format mic_DSGE - Files required to run the DSGE monte carlo validation, using Smets & Wouters (2007) │ mcs_original.m Utility, runs the Hansen (2011) Model Confidence Set procedure │ mic_train_score_dsge.py MAIN: Used to run the MIC model comparison │ mlag.m Dependency for the Hansen MCS procedure │ opt_block_length.m Dependency for the Hansen MCS procedure │ output_figures.m MAIN: Generate figures for output │ output_tables.m MAIN: Generate tables for output │ parallel_batch_dsge.sh MAIN: Shell script for running mic_train_score_dsge.py in parallel │ quantisation diagnostics.py MAIN: Run MIC quantisation diagnostics │ score_convert.py Utility to convert '.pkl' results to matlab format │ setup.py Use to compile MIC toolbox │ ├───logs Run logs for the MIC algorithm │ ├───high_L1 │ │ ├───sw_basic │ │ ├───sw_restricted_ar_cons │ │ └───sw_restricted_cons │ ├───low_L3 │ │ ├───sw_basic │ │ ├───sw_restricted_ar_cons │ │ └───sw_restricted_cons │ └───slurm_logs ├───mic MIC toolbox ├───outputs eps figures and latex tables for paper ├───scores Result of the MIC analysis │ ├───high_L1 │ │ ├───sw_basic │ │ ├───sw_basic_converted │ │ ├───sw_restricted_ar_cons │ │ ├───sw_restricted_ar_cons_converted │ │ ├───sw_restricted_cons │ │ └───sw_restricted_cons_converted │ └───low_L3 │ ├───sw_basic │ ├───sw_basic_converted │ ├───sw_restricted_ar_cons │ ├───sw_restricted_ar_cons_converted │ ├───sw_restricted_cons │ └───sw_restricted_cons_converted └───sim_dat Simulated data for the model comparison ├───sw_basic ├───sw_restricted_ar_cons └───sw_restricted_cons mic_VAR - Files required to run the VAR(2) monte carlo validation │ gen_series.m MAIN: Used to generate the monte carlo (MC) datasets │ mic_train_score_multivar.py MAIN: Used to estimate multivariate MIC scores on MC data │ mic_train_score_univar.py MAIN: Used to estimate univariate MIC scores on MC data │ outputs.m MAIN: Generate outputs for paper │ parallel_batch_multivar.sh MAIN: Shell script for running mic_train_score_multivar.py in parallel │ parallel_batch_univar.sh MAIN: Shell script for running mic_train_score_univar.py in parallel │ quantisation diagnostics.py MAIN: Run MIC quantisation diagnostics │ score_convert.py Utility to convert '.pkl' results to matlab format │ setup.py Use to compile MIC toolbox │ ├───data_gen Parameterisations for generating simulations ├───logs Run logs for the MIC algorithm │ ├───train_run_15-Sep-2018_15-04-27 │ ├───train_run_15-Sep-2018_20-27-41 │ ├───train_run_16-Sep-2018_10-30-11 │ ├───train_run_16-Sep-2018_15-48-28 │ ├───train_run_17-Sep-2018_09-47-32 │ └───train_run_17-Sep-2018_14-35-43 ├───mic MIC toolbox ├───outputs eps figures and latex tables for paper │ └───scatter ├───scores Result of the MIC analysis │ ├───multivar │ ├───multivar_converted │ ├───univar │ └───univar_converted └───sim_dat Simulated data for the model comparison ├───matlab_format └───text_format simulation - Files required to run the simulation of the Caiani et. al. (2016) model. ├───caiani_et_al │ │ benchmark_export.jar Java archive containing the ABM code (Exported from JMAB) │ │ parallel_batch_abm.sh MAIN: Shell script for running parallel_benchmark_sfc.py in parallel │ │ parallel_benchmark_sfc.py MAIN: Python wrapper for the Java ABM simulation │ │ parametrise_sfc.py MAIN: Python script used to parametrise the ABM │ │ sim_data_export.m MAIN: Matlab export of simulation data │ │ │ ├───benchmark_export_lib Java dependencies for benchmark_export.jar │ ├───logs Run logs for the ABM simulations │ │ ├───Benchmark_0 │ │ ├───Sensitivity_1 │ │ ├───Sensitivity_2 │ │ ├───Sensitivity_3 │ │ ├───Sensitivity_4 │ │ ├───Sensitivity_5 │ │ ├───Sensitivity_6 │ │ ├───Sensitivity_7 │ │ └───Sensitivity_8 │ ├───Model Model parameterisations (XML files) │ │ ├───abm_0 │ │ ├───abm_1 │ │ ├───abm_2 │ │ ├───abm_3 │ │ ├───abm_4 │ │ ├───abm_5 │ │ ├───abm_6 │ │ ├───abm_7 │ │ └───abm_8 │ ├───setup Base setup files for parameterising the ABM │ └───simData Raw simulated data from the ABM simulation │ ├───Benchmark_0 │ ├───Sensitivity_1 │ ├───Sensitivity_2 │ ├───Sensitivity_3 │ ├───Sensitivity_4 │ ├───Sensitivity_5 │ ├───Sensitivity_6 │ ├───Sensitivity_7 │ └───Sensitivity_8 │ ├───smets_wouters - Files required to estimate and simulate the Smets & Wouters (2007) model. │ │ sim_data_export_dsge_test.m MAIN: Matlab export of simulation data for mic_DSGE │ │ sim_data_export_sw_abm_compare.m MAIN: Matlab export of simulation data for mic_ABM │ │ sw_source.zip Archive, contains the raw dynare code │ │ usmodel_data.mat US data, original period │ │ usmodel_data_new.mat US data, crisis period │ │ │ ├───parameterisations Parameterisations for generating simulations │ ├───sw_basic estimation/simulation of benchmark model │ │ │ main.m MAIN: Run estimation/simulation │ │ ├───dynareParallelLogFiles │ │ ├───logs │ │ ├───simulations │ │ └───sw_estimate │ │ main.m │ ├───sw_basic_new_data estimation/simulation of benchmark model on crisis data │ │ │ main.m MAIN: Run estimation/simulation │ │ ├───dynareParallelLogFiles │ │ ├───logs │ │ ├───simulations │ │ └───sw_estimate │ ├───sw_restricted_ar_cons estimation/simulation of consumption + shock restricted model │ │ │ main.m MAIN: Run estimation/simulation │ │ ├───dynareParallelLogFiles │ │ ├───logs │ │ ├───simulations │ │ └───sw_estimate │ └───sw_restricted_cons estimation/simulation of consumption restricted model │ │ main.m MAIN: Run estimation/simulation │ ├───dynareParallelLogFiles │ ├───logs │ ├───simulations │ └───sw_estimate │ └───var_sw_data - Files required to estimate and simulate a VAR on the Smets & Wouters (2007) data rng_seed.mat RNG seed usmodel_data.mat US data, original period usmodel_data_new.mat US data, crisis period var_est.m MAIN: Run estimation/simulation VAR_stats_dataset_usmodel_data.txt Table of VAR estimates, original period VAR_stats_dataset_usmodel_data_new.txt Table of VAR estimates, crisis period