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Grocer >> VAR estimations > tvp_var_diagnos_hyperp

tvp_var_diagnos_hyperp

computes MCMC convergence diagnostics for TVP VAR hyperparameters

CALLING SEQUENCE

tvp_var_diagnos_hyperp(res,nautocor)

PARAMETERS

Input

* res = the results typed list from a tvp_var diagnos call

* nautocor = the order of autocorrelation

 

Output

* nothing: all results are printed on screen and graphed

DESCRIPTION

Prints the results of tvp_var diagnostics for matrices Q, S, W and Sigma(t) and plots the corresponding results.

EXAMPLE

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 the hyperparameters

AUTHOR

Éric Dubois 2015

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