computes MCMC convergence diagnostics for TVP VAR hyperparameters
tvp_var_diagnos_hyperp(res,nautocor)
* res = the results typed list from a tvp_var diagnos call
* nautocor = the order of autocorrelation
* nothing: all results are printed on screen and graphed
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 | ![]() | ![]() |