<< theilbv VAR estimations tvp_var_diagnos_all >>

Grocer >> VAR estimations > tvp_var_diagnos

tvp_var_diagnos

computes MCMC convergence diagnostics for TVP VAR

CALLING SEQUENCE

[results]=tvp_var_diagnos(res,obj,arg1,...,argn)

PARAMETERS

Input

* 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

 

Output

* 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

DESCRIPTION

Computes MCMC convergence diagnostics for some type of results (At, Bt, S, Q, W or Htstd) from a tvp-var 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)
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

AUTHOR

Éric Dubois 2015

Report an issue
<< theilbv VAR estimations tvp_var_diagnos_all >>