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SWZ: adding two additional examples for 3 and 4 Markov Switching states

time-shift
Michel Juillard 2010-08-09 11:23:46 +02:00
parent d6fdf8fc7f
commit c92f0f8f09
2 changed files with 44 additions and 0 deletions
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22
tests/swz/test_ms_variances_3.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
svar_identification;
lower_cholesky;
end;
markov_switching(chain=1,number_of_states=3,duration=2.5);
svar(variances, chain=1);
ms_sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4,draws_nbr_modified_harmonic_mean=10000);

22
tests/swz/test_ms_variances_4.mod Normal file
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// same as test_upper_cholesky.mod, but with reordered variables. Results must be the same.
addpath '../../matlab/swz';
var R Pie Y;
model;
Y = 0;
Pie = 0;
R = 0;
end;
varobs Y Pie R;
svar_identification;
lower_cholesky;
end;
markov_switching(chain=1,number_of_states=4,duration=2.5);
svar(variances, chain=1);
ms_sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4,draws_nbr_modified_harmonic_mean=10000);