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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1616 ac1d8469-bf42-47a9-8791-bf33cf982152
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assia 2008-01-17 16:25:06 +00:00
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matlab/bvar_toolbox.m
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function [ny, nx, posterior, prior, forecast_data] = bvar_toolbox(nlags)
%function [ny, nx, posterior, prior, forecast_data] = bvar_toolbox(nlags)
% bvar_toolbox Routines shared between BVAR methods
% Computes several things for the estimations of a BVAR(nlags)
%
% [ny, nx, posterior, prior, forecast_data] = bvar_toolbox(nlags)
% INPUTS:
% nlags: number of lags
%
% Computes several things for the estimations of a BVAR(nlags):
% ny: number of endogenous variables
% nx: number of exogenous variables (equal to zero, or one if a
% constant term is included)
% posterior: a structure describing the posterior distribution (which is
% normal-Inverse-Wishart)
% Its fields are:
% - df: degrees of freedom of the inverse-Wishart distribution
% - S: matrix parameter for the inverse-Wishart distribution
% - XXi: first component of the VCV of the matrix-normal
% distribution (the other one being drawn from the
% inverse-Wishart)
% - PhiHat: mean of the matrix-normal distribution
% prior: a structure describing the prior distribution
% Its fields are the same than for the posterior
% forecast: a structure containing data useful for forecasting
% Its fields are:
% - initval: a nlags*ny matrix containing the "nlags" last
% observations of the sample (i.e. before options_.nobs)
% - xdata: a matrix containing the future exogenous for
% forecasting, of size options_.forecast*nx (actually only
% contains "1" values for the constant term if nx ~= 0)
% - realized_val: only non-empty if options_.nobs doesn't point
% to the end of sample
% In that case, contains values of endogenous variables after
% options_.nobs and up to the end of the sample
% - realized_xdata: contains values of exogenous variables after
% options_.nobs and up to the end of the sample (actually only
% contains "1" values for the constant term if nx ~= 0)
% OUTPUTS:
% ny: number of endogenous variables
% nx: number of exogenous variables (equal to zero, or one if a
% constant term is included)
% posterior: a structure describing the posterior distribution (which is
% normal-Inverse-Wishart)
% Its fields are:
% - df: degrees of freedom of the inverse-Wishart distribution
% - S: matrix parameter for the inverse-Wishart distribution
% - XXi: first component of the VCV of the matrix-normal
% distribution (the other one being drawn from the
% inverse-Wishart)
% - PhiHat: mean of the matrix-normal distribution
% prior: a structure describing the prior distribution
% Its fields are the same than for the posterior
% forecast_data: a structure containing data useful for forecasting
% Its fields are:
% - initval: a nlags*ny matrix containing the "nlags" last
% observations of the sample (i.e. before options_.nobs)
% - xdata: a matrix containing the future exogenous for
% forecasting, of size options_.forecast*nx (actually only
% contains "1" values for the constant term if nx ~= 0)
% - realized_val: only non-empty if options_.nobs doesn't point
% to the end of sample
% In that case, contains values of endogenous variables after
% options_.nobs and up to the end of the sample
% - realized_xdata: contains values of exogenous variables after
% options_.nobs and up to the end of the sample (actually only
% contains "1" values for the constant term if nx ~= 0)
%
% This function uses the following Dynare options:
% - datafile, first_obs, varobs, xls_sheet, xls_range, nobs, presample
% - bvar_prior_{tau,decay,lambda,mu,omega,flat,train}
% SPECIAL REQUIREMENTS:
% This function uses the following Dynare options:
% - datafile, first_obs, varobs, xls_sheet, xls_range, nobs, presample
% - bvar_prior_{tau,decay,lambda,mu,omega,flat,train}
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
global options_