The RATS Software Forum

Respected Sir


I am using Structural VAR model with Monte Carlo Integration to derive my results. My question is: whether I need to do "diagnostic testings" in this case.

if yes, then which tests need to be applied?.

Regards

Diagnostic tests of what? If you're doing some form of Gibbs sampling, you would want to do standard diagnostics on the chain to see if has a reasonable degree of "forgetfulness". If you're talking about diagnostic tests for the model itself, that's not what MC integration is designed to do.

Yes I am talking of about diagnostic tests for the model itself.

I explained to my supervisor that in case of MC integration, diagnostic tests for the model is not required. She asked me to support my argument with some reference . Sir,

Can you please suggest me some paper or book so that I can support the point that "in case of MC integration, diagnostic tests for the model is not required".

Thanks and Regards

sanjeev wrote:Yes I am talking of about diagnostic tests for the model itself.

I explained to my supervisor that in case of MC integration, diagnostic tests for the model is not required. She asked me to support my argument with some reference . Sir,

Can you please suggest me some paper or book so that I can support the point that "in case of MC integration, diagnostic tests for the model is not required".

Thanks and Regards

I can't because that's a complete misinterpretation of what I said. If the model is wrong, MC integration isn't some magic bullet that fixes it---you're just doing simulation analysis around a flawed model. Formal hypothesis testing using MC Bayesian analysis is extremely difficult and requires that you are able to do MC analysis on a range of alternative models. You should do the testing based upon ML estimation and LR tests. If the LR test on CVMODEL strongly rejects your model, fix the model.

Yes Sir, I have already applied LR test based on ML estimation, that did not reject my model.


I just want to know whether I now need to do diagnostic testing i.e. test for autocorrelation and test for hetroscendasticity ???

Thanks and Regards

If you used a reasonable procedure for picking lag length, there probably is no reason to test for residual autocorrelation, though it certainly doesn't hurt. Generally, you don't test a VAR for heteroscedasticity simply because there isn't much that you can do about it if you find it.