Example
We demonstrate the EViews implementation of BTVCVAR using a data set from Chan and Jeliazkov (2009). Open the EViews workfile “cj09.wf1” containing the series GDP (output growth), UNEMP (unemployment rate), INTEREST (interest rate), and INFLATION (inflation rate). Set the workfile sample to 1948Q4 2009Q4 to match the sample used by the code accompanying the paper. Next, run
var myvar.btvcvar(nu1=7, nu2=6, size=20000, burn=1000, usemean) 1 1 gdp unemp interest inflation
in the command window. EViews will indicate the progress of the sampler in the bottom left corner of the window.
Once complete, double click on MYVAR to view the estimation output.
Estimation output for the BTVCVAR is presented as a spool object. A summary is provided at the top, followed by graphs showing the evolution of coefficients over time for each equation.
To change display options, click on the button in the VAR toolbar and go to the tab. As an example, to show shaded 30% credibility bands, check the box next to and enter 0.3 for . Click . The estimation output will update to look like this:
Note that changing display options will not prompt the posterior simulator to run if posterior draws are already available.
