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MSVAR_stderr

Markvov Switching 2nd order moments

CALLING SEQUENCE

res=MSVAR_stderr(res,hdelta)

PARAMETERS

Input

* res = a results tlist from a Markov switching estimation

* hdelta = a scalar, the increment used to calculate the hessian matrix

 

Output

* res = the initial results tlist with the following fields updated:

  - res('stderr') = the (np x 1) vector of coefficients standard errors

  - res('tstat') = the (np x 1) vector of associated t-stats

  - res('pvalue') = the (np x 1) vector of associated p-values

  - res('covbeta') = the (np x np) variance-covariance matrix of the parameters

  - res('corbeta') = the (np x np) correlation matrix of the parameters

  - res('ptrans_tstat') = the (M x 1) vector of t-stats for the transition probabilities

  - res('beta_id_tstat') = the (1 x n_x*K*M) vector of t-stats for switching parameters

  - res('beta_co_tstat') = the (1 x n_z*K) vector of t-stats for non switching parameters

  - res('sigma_tstat') = the (M*M_V x M) matrix of t-stats for the variance-covariance matrix of the residuals

  - res('ptrans_pvalue') = the (M x M) matrix of t-stats for transition probabilities

  - res('beta_id_pvalue') = the (1 x n_x*K*M) vector of t-stats for switching parameters

  - res('beta_co_pvalue') = the (1 x n_z*K) vector of t-stats for non switching parameters

  - res('sigma_pvalue') = the (M*M_V x M) matrix of t-stats for the variance-covariance matrix of the residuals

DESCRIPTION

From a MSVAR estimation, compute hessian, gradians, stdev, tstat, pvalues and print parameters, adapted courtesy of Thierry Roncalli (1995). This is the function used in function ms_estimate to perform these calculations, but it can also be used if the results of a ms estimation does not provide statisfactory results.

EXAMPLE

load(GROCERDIR+'\macros\grocer\db\us_revu.dat')
bounds('1967m4','2004m2')
nb_states=2
switch_var=2
var_opt=3
r=ms_vares('cte',3,'100*(log(us_revu)-lagts(2,log(us_revu)))',nb_states,switch_var,var_opt,'prt=initial;final','transf=stud')
r=MSVAR_stderr(r,1e-3)
 
// In this example, the second order moments are re-estimated using a larger increment than the one used to estimate the ms_var model (1e-5).

AUTHOR

Eric Dubois 2006

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