computes MCMC convergence diagnostics for all TVP VAR parmaeters
[resA,resB,resQ,resW,resQ,resSigma]=tvp_var_diagnos_all(res,arg1,...,argn)
* res = a tvp var results tlist
* arg1,...,argn = optional arguemnts that can be
- 'nautcorr=x' where x is the order of the aurocorrelation tested for the draws
- 'npct_taper=x' where x is the % used to taper the window in t for Geweke's test
- 'n_groups=x' where x is the the number of draws that are aggregated before performing the correlations
- 'noprint' if the user does not want t print the results
* resA, resB, resQ, resW, resQ, resH= diagnostics results tlist for coefficents At, Bt, Q, W, Q and Hstd
stacksize('max') load(GROCERDIR+'\data\primiceri.dat') mkdir(GROCERDIR+'\temp') nlag=2 bounds('1953q3','1963q2') prior=tvpvar_prior0(nlag,4,4,0.01,0.01,0.1,['Inflation';'Unemployment';'rate_3m']) bounds('1963q3','2001q3') res=Hetero_TVP_VAR(nlag,['Inflation';'Unemployment';'rate_3m'],10000,2000,prior,path,2000) tvp_var_diagnos_hyperp(res,20) // Provides MCMC convergence diagnoses on Primeceri (2005) TVP VAR for all parameters | ![]() | ![]() |