<< tvp_var_diagnos VAR estimations tvp_var_diagnos_hyperp >>

Grocer >> VAR estimations > tvp_var_diagnos_all

tvp_var_diagnos_all

computes MCMC convergence diagnostics for all TVP VAR parmaeters

CALLING SEQUENCE

[resA,resB,resQ,resW,resQ,resSigma]=tvp_var_diagnos_all(res,arg1,...,argn)

PARAMETERS

Input

* 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

 

Output

* resA, resB, resQ, resW, resQ, resH= diagnostics results tlist for coefficents At, Bt, Q, W, Q and Hstd

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)
tvp_var_diagnos_hyperp(res,20)
// Provides MCMC convergence diagnoses on Primeceri (2005) TVP VAR for all parameters

AUTHOR

Éric Dubois 2015

Report an issue
<< tvp_var_diagnos VAR estimations tvp_var_diagnos_hyperp >>