Could someone tell me where (if …) are stored the parameters in the matrix “phi” of the bottom of p.1 of the manual on “bvar_a_la_sims” (Y = X"phi" + U)? I would like to compare them to those obtained using the implementations in EViews and the MSBVAR package of R, which in principle should produce the same results …
BVAR is Bayesian estimation, so the result of the estimation is not a point matrix for Phi, but a probability distribution over matrices (the so-called posterior distribution).
The parameters of this distribution are computed when one calls for example the “bvar_density” function, but they are not stored.
Here is a solution: after a call to “bvar_density”, run the following command:
[ny, nx, posterior, prior] = bvar_toolbox(nlags);
where “nlags” is the number of lags that you want for the BVAR.
Then the “posterior” variable will be a structure with the following fields:
- df: degrees of freedom of the inverse-Wishart distribution/*:m]
- S: matrix parameter for the inverse-Wishart distribution/*:m]
- XXi: first component of the VCV of the matrix-normal distribution (the other one being drawn from the inverse-Wishart)/*:m]
- PhiHat: mean of the matrix-normal distribution/*:m]
Also note that there is a bug in the BVAR code when only one lag is requested, see dynare.org/DynareWiki/KnownBugs . This bug has been fixed in the unstable snapshot and will be fixed in the next stable release.