minor changes

Changed the arguments of IC (information criteria), from BVAR to Sigma and E; so to accommodate the use of IC to other estimators. Minor bugs corrected.
ccantore · May 3, 2021 · 003973b · 003973b
1 parent 6f03277
commit 003973b
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Showing 5 changed files with 23 additions and 11 deletions.
diff --git a/v4.2/IC.m b/v4.2/IC.m
@@ -1,4 +1,4 @@
-function [AIC, HQIC, BIC] = IC(var, T, K)
+function [AIC, HQIC, BIC] = IC(S, E, T, K)
 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 % 'IC' computes various information criteria
 
@@ -13,8 +13,9 @@
 % Revised, 9/11/2019
 % Revised, 9/11/2020
 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
-S   = var.Sigma_ols; iS  = inv(S);
-E   = var.e_ols;
+% E   = var.e_ols;
+% S   = var.Sigma_ols; 
+iS  = inv(S);
 N   = size(S,1);
 llf = - (T * N / 2) * (1 + log(2 * pi)) - T / 2 * log(det(S));
 llf = llf - 1 /2 * trace( iS * E' * E);

diff --git a/v4.2/bvar_.m b/v4.2/bvar_.m
@@ -268,7 +268,7 @@
         end
     end
     %======================================================================
-    % Conjugate/Hierachical prior options
+    % Conjugate/Hierachical MN-IW prior options
     %======================================================================
     if (isfield(options,'priors')==1 && strcmp(options.priors.name,'Conjugate')==1) || (isfield(options,'priors')==1 && strcmp(options.priors.name,'conjugate')==1) || ...
        (isfield(options,'prior')==1 && strcmp(options.prior.name,'Conjugate')==1) || (isfield(options,'prior')==1 && strcmp(options.prior.name,'conjugate')==1)
@@ -341,7 +341,7 @@
                 end
             else
                 warning(['You did not provide the degrees of freedom for the Residual Covariance. ' ...
-                    'Assume ny+1.'])
+                    'Assume N+1 degrees of freedom.'])
                 prior.Sigma.df = ny + nexogenous + timetrend + 1;
                 while prior.Sigma.df/2 <= ny-1 % too few df
                     prior.Sigma.df =  prior.Sigma.df +1;
@@ -623,7 +623,7 @@
 try
     posterior_int = matrictint(posterior.S, posterior.df, posterior.XXi);
 catch
-    warning('I could not compute the likelihood');
+    warning('I could not compute the marginal likelihood');
     posterior_int = nan;
 end
 
@@ -874,7 +874,7 @@
 BVAR.Phi_ols    = varols.B;
 BVAR.e_ols      = varols.u;
 BVAR.Sigma_ols  = 1/(nobs-nk)*varols.u'*varols.u;
-[BVAR.InfoCrit.AIC, BVAR.InfoCrit.HQIC, BVAR.InfoCrit.BIC] = IC(BVAR, nobs, nk);
+[BVAR.InfoCrit.AIC, BVAR.InfoCrit.HQIC, BVAR.InfoCrit.BIC] = IC(BVAR.Sigma_ols, BVAR.e_ols, nobs, nk);
 % the model with the lowest IC is preferred
 
 % OLS irf

diff --git a/v4.2/fevd.m b/v4.2/fevd.m
@@ -1,10 +1,17 @@
 function FEVD = fevd(hor,Phi,Sigma,Omega)
 
-% computes the forecast error variance decomposition
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+% computes the forecast error variance decomposition using the VAR
+% representation
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
 N           = size(Sigma,1);
 [m , k]     = size(Phi);
-lags        = (m-1)/k;
+if rem(m, n)==0
+    lags = m/k;
+else
+    lags = floor((m-1)/k);
+end
 
 if nargin < 4
     Omega = eye(N);

diff --git a/v4.2/hamfilter.m b/v4.2/hamfilter.m
@@ -27,7 +27,7 @@
         error('nameplot size shold be the same as the column of Y')
     end
 else
-    for v = 1 : size(Y,2)
+    for v = 1 : size(X,2)
         eval(['titleplot{'   num2str(v) '} =  ''Var' num2str(v) ''';'])
     end
 end

diff --git a/v4.2/iresponse.m b/v4.2/iresponse.m
@@ -26,7 +26,11 @@
 % ir          = zeros(N,hor,N); % variables, horizon, shock
 ir          = zeros(N,hor,size(Omega,2)); % variables, horizon, shock/exogenous variable
 [m , n]     = size(alpha);
-lags        = floor((m-1)/n);
+if rem(m, n)==0
+    lags = m/n;
+else
+    lags = floor((m-1)/n);
+end
 [Q]         = chol(Sigma,'lower');
 
 % units