Working with a BTCVAR
Procs
To get posterior draws from the BTVCVAR object (to generate trace plots, for example), click on . To generates inefficiency factors, click on . NAs are given if sample autocorrelation does not fall below 0.05 in the first 100 lags.
Other procs produce coefficient estimates, relative numerical efficiencies (RNEs), effective sample sizes (ESSs), and residuals.
Residuals
To view an estimate of the error matrix in the form of a graph, go to or click on the button in the VAR toolbar. Go to to see the same information in a table. Click on for an estimate of the observation covariance matrix.
Impulse Response
To generate impulse responses, go to or click on the button in the VAR toolbar. This will open the BTVCVAR version of the dialog.
The tab has two sections: and . The former is identical to that used by the standard VAR model. The latter is specific to the BTVCVAR.
Impulse responses are generated based on VAR coefficients at the dates entered in the field. Impulse dates must fall within the data sample period.
The remaining display options are identical to those used in estimation.
Forecasting
To generate forecasts, go to or click on the button in the VAR toolbar.
If is selected, a standard VAR is assumed over the forecast period. Forecasts are generated based on VAR coefficients taken from the period prior to the start of the forecast period.
Forecast display options are identical to those used in estimation.