computes MCMC convergence diagnostics for TVP VAR
[results]=tvp_var_diagnos(res,obj,arg1,...,argn)
* res = a tvp var results tlist
* obj = a string, the name of the examined field in the tvp var
* arg1,...,argn = optional arguemnts that can be
- 'nautcorr=x' where x is the order of the autocorrelation
- 'nautcorr=x' where x is the order of the autocorrelation 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 number of draws that are aggregated before performing the correlations
- 'q=x' where x is the quantile of the quantity of interest in Raftery test (default: 0.025)
- 'r=x' where x is the level of precision desired in Raftery test (default: 0.025)
- 's=x' where x is the required probability of attaining the required accuracy r (default: 0.95)
- 'noprint' if the user does not want to print the results
* results = a results tlist with:
- results('meth') = 'tvp var convergence diagnostics'
- results('object') = the type of results that is diagnosed
- results('auto order') = the autocorrelation order of the autocorrelation diagnostic
- results('autocorrelation') = autocorrelation estimates
- results('Geweke tests') = results tlist from the Geweke's convergence diagnostics
- results('Raftery tests') = results tlist from the Raftery and Lewis convergence diagnostics
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) tvpvar_diagnos(res,'At') // Provides MCMC convergence diagnoses on Primeceri (2005) TVP VAR for the coefficients of the // contemporaneous endogenous variables of the structural transformation of the VAR | ![]() | ![]() |