Thinning Factor for Constant Coefficient SBVAR

BVAR
1

Hello,

I am trying to estimate a simple constant coefficient SBVAR using the sbvar command. The code is up and running.

I was able to change the number of draws and burn-in via editing the master code.

However, is there anyway to thin the number of draws in the Gibbs sampling algorithm?

Thanks in advance!

2

constantSBVAR.mod (403 Bytes)

Code attached.

3

The data file is missing to run your code.

4

Sorry about that! Hopefully it uploads this time.

USmacroData400.mat (6.8 KB)

5

You would need to modify ms_mardd accordingly. But the question is for which statistic would you need the thinned draws?

6

That is correct.

Which variable would I need to look for in the ms_mardd program?

Also, which of the codes generates the IRFs for the sbvar command?

7

Hello,

Are there any updates?

8

As far as I can see, the Gibbs part is only used to compute the marginal data density. The IRFs are governed by msstart2