Checking for Convergence in a MS-BVAR

BVAR
1

Hello:

How do you check for convergence of the MCMC sampler in a MS-BVAR using the Dynare code? Is there a convergence criterion that appears in the results?

Thank you in advance.

2

As far as I can see, there is no convergence diagnostics produced. You would need to produce them yourself. You could e.g. do this by calling raftery_lewis.m on the draws.

3

Hi Johannes,

Thank you for your answer. I wanted to make sure I wasn’t missing anything.

Is it possible to call raftery_lewis.m in the MS-BVAR Dynare code (i.e., the mod file that specifies the estimation and simulation of the MS-BVAR)? Or do I need to gather the draws and then run a separate file calling the function? I assume only the latter is true.

I attached my MS-BVAR Dynare code for reference.

RecursiveMSBVAR.mod (1.2 KB)

MacroData400.mat (21.1 KB)