diff --git a/matlab/bvar_toolbox.m b/matlab/bvar_toolbox.m index 9131ae5fe..3271edcee 100644 --- a/matlab/bvar_toolbox.m +++ b/matlab/bvar_toolbox.m @@ -1,41 +1,49 @@ 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_