The RATS Software Forum

Hello,

Do you suggest a robustness test for the TVP VAR models?? how to integrate it with the codes??

regards,

Do you suggest an alternative approach for choosing the lag in the TVP-VAR models? How to calculate BIC or AIC for this model?

Dear estima team,

How to calculate the marginal likelihood in order to choose the optimum lag for the TVP-VAR model??

looking forward for your feedback,

Dear Tom, I checked the form and I could not find codes example of how to calculate Geweke relative numerical efficiency measure; may you please give a hit of how to calculate it for "PIRES" as an example so we can calculate the IF??

Is the null hypothesis in Geweke test in the previous procedure the following: the two parts of the chain are asymptotically independent?? Rejecting the null means a bad estimation. What is the point of taking the inverse of Geweke test as Primiceri (2005) in his paper (on pg. 29 in the unpublished ...

dear Tom,

is calculating the autocorrelation between the draws as a test of how well Markov Chain mixes is equivalent to the autocorrelation in PiRes series?

Dear Tom,

I am getting the following error message:

## SX20. Expected , Here
>>>>@gewekecd pires(i)<<<<
## SX21. A END or } Here is Unneeded or Unexpected

Dear Tom, Thank you for posting the new procedure. There are a few points, I am following Primiceri (2005) original paper, which is replicated on https://estima.com/forum/viewtopic.php?f=5&t=781 and at the moment I am using the same data posted with the example. On pg. 29 of the non-published co...

Dear Tom, at the moment, i switched back to version 7.3 may you please correct the following sentence and answer the question, My output parameters that I got from using the Gibbs sampling in order to compute the posterior distribution of the TVP-VAR parameters are in a matrix form. however, my inpu...

Hello, I checked (Nakajima, 2011) and the author is using Geweke's statistic for checking the convergence of the mcmc in the TVP-VAR, is it available on the RATS?? what I am looking for is a sensitivity or test for the model. Nakajima, J. (2011). "Time-varying parameter VAR model with stochasti...