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Hetero_TVP_VAR_stdresid

standard deviations of residuals for a Time varying structural VAR

CALLING SEQUENCE

Hetero_TVP_VAR_stdresid(res_TVP,resid,pvalue,plt)

PARAMETERS

Input

* res_TVP = a 'heteroskedastic tvp var' result tlist produced by a call to Hetero_TVP_VAR

* resid = a vector of integers, collecting the indexes of the residuals whose standard deviations the user wants to graph

* pvalue = a real between 0 and 1, the p-value of the confidence band (1 minus the probability that the standard deviation lies in the confidence band)

 

Output

* nothing: results are graphed on graphic windows

DESCRIPTION

Plots the time-varying standard deviations of residuals from a TVP VAR estimation.

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)


Hetero_TVP_VAR_stdresid(res,1:3,0.32)
// After having estimated Primiceri (2005) tvp-VAR, the standard deviations of the residuals
// are calculated and graphed for the residuals numbered 1 to 3 (that is here all) and a 68%
// confidence band

AUTHOR

Éric Dubois 2015

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