Outputs relative numerical efficiencies (RNEs) of the draws of the parameters in a BTVCVAR model.
Generates three matrix objects (one per parameter block) containing RNEs. The RNE of the draws of a parameter is the reciprocal of their inefficiency factor. Values near one are desirable. RNEs much smaller than one indicate slow mixing. An NA is returned if sample autocorrelation does not taper off sufficiently quickly (i.e., if sample autocorrelation does not fall below 0.05 in the first 100 lags).
The RNE can be interpreted as the ratio of the numerical variance of the sample mean computed using hypothetical IID draws and the numerical variance of the sample mean computed using MCMC draws. It measures the extent of efficiency loss for using MCMC instead of vanilla Monte Carlo for sample generation.
The RNE, inefficiency factor, and effective sample size (ESS) convey the same information and only differ in interpretation.
Syntax
var_name.makerne c_rne_name s_rne_name q_rne_name
Names for the output matrices can be passed in as arguments. RNE matrix names are entered in the order: coefficients (C), observation covariance (S), then process covariance (Q). Untitled matrices are returned if no names are given.
Example
var var1.btvcvar 1 1 gdp inflation
var1.makerne
The first line declares and estimates a BTVCVAR with two variables. Estimation requires posterior simulation as the posterior distribution is not known analytically. The second line computes and outputs inefficiency factors of the draws obtained.
Cross-references