The properties

endogenous

list of endogenous variables

Help for svar/endogenous is inherited from superclass abstvar

exogenous

list of exogenous variables

Help for svar/exogenous is inherited from superclass abstvar

parameters

list of parameters including var and non-var parameters

Help for svar/parameters is inherited from superclass abstvar

nonvar_parameters

list of non-var parameters e.g. auxiliary params, transition probabilities, etc.

Help for svar/nonvar_parameters is inherited from superclass abstvar

constant

boolean to specify whether the model has a constant term or not

Help for svar/constant is inherited from superclass abstvar

debug

for debugging purposes

Help for svar/debug is inherited from superclass abstvar

markov_chains

structure of markov chains

Help for svar/markov_chains is inherited from superclass abstvar

is_time_varying_trans_prob

boolean to specify whether we are in presence of a time-varying transition probability model

Help for svar/is_time_varying_trans_prob is inherited from superclass abstvar

is_switching

boolean specifying whether the model is switching or not

Help for svar/is_switching is inherited from superclass abstvar

nlags

number of lags in the VAR

Help for svar/nlags is inherited from superclass abstvar

nx

number of exogenous variables including the constant term

Help for svar/nx is inherited from superclass abstvar

nvars

number of endogenous variables

Help for svar/nvars is inherited from superclass abstvar

nparams

number of parameters

Help for svar/nparams is inherited from superclass abstvar

nregs

number of regimes

Help for svar/nregs is inherited from superclass abstvar

The methods

autocov

Compute the autocovariances (and the auto-correlation) of endogenous variables given the parameter values
[C,R,retcode] = autocov(self);
[C,R,retcode] = autocov(self, params);
[C,R,retcode] = autocov(self, params, max_periods);
Args:
self (var object): var object params (cell of struct): struct containing var model related parameters (default: []) max_periods (integer): maximum number of period to calculate auto-covariance (default: 5)

Returns:
:

C [4-dimensional array]: auto-covariance where dimensions correspond to

1,2: covariance

3: time lags

4: Number of parameters

R [4-dimensional array]: auto-correlation with same dimensions

codify

codify: transforms expressions such as a3(v1,v2,… into a3(2,3,… This can be used to facilitate the setting of priors on individual parameters of the VAR to estimate.
str=codify(self,str)

str=codify(self,str,doCode)
Args:

self (var object): var object

str (cellstr|string): string to transform. The string has one of the following forms:

a3(v1,v2,…: svar and proxy_svar parameters

b3(v1,v2,…: rfvar and prfvar parameters

c(v1,v2,… : deterministic terms

s(v1,v2,… : variance and covariance terms

doCode (true|{false}):

if false, return expression with parentheses e.g. a3(2,3)

if true, return expression with underscores e.g. a3_2_3

Returns:

str : transformed string

Example:
str=codify(psv,'a2(FFR,ygap)=0')

str=codify(psv,'c(FFR,ygap,mpcoef,2)=0',true)

str=codify(psv,'s(FFR,ygap,mpcoef,2)=0',true)
Note

The function does not check whether the resulting parameter is actually a parameter in the model

The function also codifies expressions and not just individual parameters

Help for svar/codify is inherited from superclass abstvar

estimate

Estimates VAR parameters using frequentist/Bayesian interpretation
var = estimate(var);
var = estimate(var, data);
var = estimate(var, data, data_range);
var = estimate(var, data, data_range, prior);
var = estimate(var, data, data_range, prior, restrictions);
var = estimate(var, data, data_range, prior, restrictions,optimizer);
var = estimate(var, data, data_range, prior, restrictions,optimizer,is_fixed_regime);
Args:
var (var object): var object

data (struct or ts obect): data for estimation

data_range (serial): (optional) date_range

prior (struct): priors for parameters

If no prior is given, maximum likehood estimators (frequentist) are set for parameters

With priors, posterior mode (Bayesian) values are set for parameters. There are three types of priors that can be applied individually or simultaneously. The prior structure can have fields :

var (struct) : (possibly modified) content of prior template

nonvar (struct): priors on individual parameters, which could be the VAR parameters, the transition probabilities or the parameters entering endogenous transition probabilities.

endogenous (function handle) : priors on the behavior of the system. e.g. a prior on some nonlinear function of the parameters.

restrictions : linear and nonlinear restrictions on parameters.
optimizer (char|function_handle|cell|{fmincon}) : optimization procedure. Used with optimization is required. e.g. markov switching. This can be the name of a standard matlab optimizer or RISE optimization routine or a user-defined optimization procedure available of the matlab search path. If the optimzer is provided as a cell, then the first element of the cell is the name of the optimizer or its handle and the remaining entries in the cell are options to the user-defined optimization routine. A user-defined optimization function must have the following syntax
[xfinal,ffinal,exitflag,H]=optimizer(fh,x0,lb,ub,options);
That is, it accepts as inputs:

fh: the function to optimize

x0: a vector column of initial values of the parameters

lb: a vector column of lower bounds

ub: a vector column of upper bounds

options: a structure of options whose fields will be similar to matlab’s optimset

That is, it provides as outputs:

xfinal: the vector of final values

ffinal: the value of fh at xfinal

exitflag: a flag similar to the ones provided by matlab’s optimization functions.

H: an estimate of the Hessian
is_fixed_regime : (true|{false}): if true, the regimes are known in advance. In that case the data should contain time series for a variable called “hist_regimes”
Returns:

var (var object): var object with parameters estimated based on data

See also

posterior_mode

identification

prior template

Help for svar/estimate is inherited from superclass abstvar

filter

filte: Compute the log likelihood of the VAR for the given parameters
[LogLik,Incr,retcode,filtering] = filter(self);

[LogLik,Incr,retcode,filtering] = filter(self, param);
Args:

self (var object): var object

param (cell of struct): (optional) parameter values

Returns:

LogLik : log likelihood values of the VAR

Incr : period-by-period contributions to the likelihood

retcode : flag, 0 if no problem

filtering : structure containing filtration

Note:

Almost everything is automated in RISE, so see estimate or identification .

Help for svar/filter is inherited from superclass abstvar

forecast

FORECAST Generate forecasts for a model object.

Syntax:
[fkst, retcode] = forecast(self)

[fkst, retcode] = forecast(self, histdb)

[fkst, retcode] = forecast(self, histdb, date_start)

[fkst, retcode] = forecast(self, histdb, date_start, params)

[fkst, retcode] = forecast(self, histdb, date_start, params, nsteps)

[fkst, retcode] = forecast(self, histdb, date_start, params, nsteps, …
shock_uncertainty)

[fkst, retcode] = forecast(self, histdb, date_start, params, nsteps, …
shock_uncertainty, Rfunc)

[fkst, retcode] = forecast(self, histdb, date_start, params, nsteps, …
shock_uncertainty, Rfunc, conditions)

Inputs:

self: Model object (VAR|SVAR|BVAR-DSGE|Proxy-SVAR|Panel VAR).

histdb: (Database|empty) Database of historical data. If empty, the estimation data used in the model object is used.

date_start: (rise date|empty) Start date of the forecasts. If empty, the forecasts start right after the end of the sample given in histdb.

params: Matrix of parameter values to update the model object with for every forecast. If empty, the parameterized model is used.

nsteps: (numeric|{12}) Number of forecasting steps.

shock_uncertainty: Flag indicating whether to consider shock uncertainty.

Rfunc: (function handle|empty) Identification function for shocks. If empty, a cholesky identification is assumed.

conditions: Conditions for conditional forecasting (can be empty). The conditions can include endogenous variables, shocks, and “regime”.

Outputs:

fkst: Structure with forecasted variables.

retcode: Return code indicating if there was any issue during forecasting.
0 indicates no issues.

Notes:

If no arguments are provided, default values are assumed for each parameter.

For conditional forecasting, specify conditions including endogenous variables, shocks, and “regime”.

Example:
% Simple unconditional forecast [fkst, retcode] = forecast(myModel, historicalData, rq(2024,1), params, 12);

See also

vartools.forecast, vartools.conditional_forecast

get

get Access/Query time series property values.

VALUE = get(TS,’PropertyName’) returns the value of the specified property of the time series object. An equivalent syntax is

VALUE = TS.PropertyName

get(TS) displays all properties of TS and their values.

historical_decomposition

HISTORICAL_DECOMPOSITION Performs historical decomposition of shocks in a time series model.

This function computes the contributions of various shocks to the historical movements of the variables in a model, using the specified model parameters and shock identification function.

Inputs:

self      - The model object containing all necessary model structures and data.
params    - The parameters of the model used for the decomposition.
Rfunc     - A function handle to identify the shocks.
varargin  - Additional options, including the date range for analysis.

Outputs:

hd        - The historical decomposition of each variable in the model, with details on the
            contributions of each shock and other components.
retcode   - Return code that indicates the status of the computation (0 = success).

identification

Parse identification

irf

Compute Impulse-Response Functions for a SVAR model
myirfs = irf(self)

myirfs = irf(self, shock_names)

myirfs = irf(self, shock_names, irf_periods)

myirfs = irf(self, shock_names, irf_periods, params)

myirfs = irf(self, shock_names, irf_periods, params,girf_setup)
Args:

self (svar object): var object

shock_names (empty|cellstr): List of shocks. Note that in each equation there is only one shock. If the list of shocks is not provided, RISE will create names varname_shock where “varname” is the name of an endogenous variable. The list of shocks will follow the order of declaration of the endogenous variables. If the number of shocks provided is less than the number of equations, those shocks will bevlisted first and RISE will create additional names to fill in the missing names.

irf_periods (int|{40}): number of periods to compute IRFs

params (empty|vector|matrix): parameter values of the model. If empty MLE/posterior-mode values are used. When not empty, the number of IRFs computed is equal to the number of columns of params.

girf_setup (struct|{empty}): structure containing information relevant for the computation of generalized impulse response functions. If empty, simple regime-specific impulse responses are computed, else girfs are computed. In that case the relevant information to provide in girf_setup is:

nsims (integer|{300}) : number of simulations for the integration.

Note

Even setting girf_setup=struct() will trigger the computation of girfs. But in that case only the default options will apply.

Returns:

myirfs : (struct) structure containing the IRFs

posterior_mode

Return the posterior mode from the BVAR estimation
dd = posterior_mode(self)
Args:
self (var object): var object

Returns:
:

dd (struct): posterior mode of the parameters

Help for svar/posterior_mode is inherited from superclass abstvar

print_solution

svar/print_solution is a function.: print_solution(obj, varlist)

print_structural_form

INTERNAL FUNCTION

prior_template

prior_template : provides the default settings for priors in Bayesian VARs
prior=prior_template()
Args : None

Returns:

prior (struct) : structure with fields :

L1 (numeric|{0.1}) : Overall tightness

L2 (numeric|{0.5}) : Cross-variable specific variance parameter

L3 (numeric|{1}) : Speed at which lags greater than 1 converge to zero

L4 (numeric|{100}) : tightness on deterministic/exogenous terms

L5 (numeric|{3}) : covariance dummies(omega)

L6 (numeric|{5}) : co-persistence (lambda)

L7 (numeric|{2}) : Own-persistence (mu)

coefprior (numeric scalar|vector|{1}): mean of coefficients on own first lag. This allows you to set the prior mean to whatever value you believe in. e.g. one might believe that, say, the growth rate is stationary and so is less persistent than say, the interest rate or inflation.

type (string): type of prior. one of the following:

‘minnesota’ : Minnesota prior

‘normal-wishart’ or ‘nw’ : Normal Wishart prior

‘indep-normal-wishart’ or ‘inw’ : Independent normal wishart prior

‘jeffrey’ : Jeffrey prior

‘sims-zha’ or ‘sz’: Sims and Zha prior

normal_wishart_eta (numeric|{0.01}) : Prior variance for the normal-wishart prior

independent_normal_wishart_eta (numeric|{0.01}) : prior variance for the independent-normal-wishart prior

Warning

At the moment only the Sims-Zha and (possibly) the Jeffrey prior work. The other priors need some updating.

Help for svar.prior_template is inherited from superclass abstvar

pull_objective

Pulls the objective function to optimize
[ff,lb,ub]=pull_objective(self)
[ff,lb,ub,x0]=pull_objective(self)
[ff,lb,ub,x0,vcov]=pull_objective(self)
[ff,lb,ub,x0,vcov,self]=pull_objective(self)
Args:

self (svar | rfvar): initial model object

Returns:
:

ff [function handle]: for computing “minus log posterior kernel”

lb [d x 1 vector]: lower bound of the parameters to optimize

ub [d x 1 vector]: upper bound of the parameters to optimize

x0 [d x 1 vector]: posterior mode if available

vcov [d x d matrix]: covariance matrix at the posterior mode if available.

self [rise|dsge|svar|rfvar]: updated model object

Note:

The function can be used for :

optimization,

gradient computation,

hessian computation,

posterior simulation

The updated object should be used for doing various exercises (irfs, simulations, etc.) if the posterior mode is not computed.

Using this function is potentially costly, one could alternatively simply use log_posterior_kernel. However, if there are restrictions, they will not be enforced. Nevertheless it is an interesting proposition that should be investigated further.

Help for svar/pull_objective is inherited from superclass abstvar

residuals

Computes the residuals given the parameters

Help for svar/residuals is inherited from superclass abstvar

set

Sets options for the VAR XXXXXXXXXXX need to check
var_obj = set(var_obj,varargin);
Args:
var_obj (var object): VAR object varargin: Options to set. Must come in pairs

‘data’: Data for the VAR. Can be either a struct or ts object

‘prior’: Prior to use if BVAR. Available priors are

minnesota

jeffrey

nw

normal-wishart

inw

sz

‘linear_restrictions’: Linear restrictions. For the format, see XXXXXXXXX

Returns:
:

var_obj (var object): New VAR with the given inputs updated.

Help for svar/set is inherited from superclass abstvar

solve

solve – Solves the VAR model.

This function is used to solve a VAR (Vector Autoregressive) model. It takes model parameters, data, and additional inputs, and returns the solution sol, a return code retcode, and a matrix M.

Syntax:

[sol, retcode, M] = solve(self, param, yt)

Inputs:

self [VARModel]: The VAR model object.

param [empty|struct|matrix]: Model parameters. If it is a matrix, then each column corresponds to a particular parameterization. If it is a structure, then it is the solution. If it is empty, the returned solution is computed used the parameter values stored inside the model object.

yt [matrix]: Data needed for endogenous probabilities. If not provided, the first observation from the model’s data is used.

Outputs:

sol [struct]: The solution to the VAR model.

retcode [int]: A return code indicating the success of the solution.

M [matrix]: Parameters for each regime

Example: - Solve the VAR model using provided parameters param and data yt:

`matlab [sol, retcode, M] = solve(varModel, param, yt); `

See also

vartools.solve.

Help for svar/solve is inherited from superclass abstvar

svar

svar : constructor for structural VAR models

Syntax :
mdl=svar(varlist)

mdl=svar(varlist,exog)

mdl=svar(varlist,exog,nlags)

mdl=svar(varlist,exog,nlags,constant)

mdl=svar(varlist,exog,nlags,constant,markov_chains)
Args :

varlist (cellstr): List of endogenous variables

exog (empty|cellstr): List of exogenous variables excluding the constant term

nlags (empty|integer|{4}): Number of lags in the VAR

constant (empty|{true}|false): boolean for including a constant term in the VAR or not

markov_chains (empty|struct): structure containing the following fields:

‘name’: name of the markov process

‘number_of_states’: number of states

‘controlled_parameters’: list of controlled parameters

‘endogenous_probabilities’: definitions of the endogenous probabilities

‘probability_parameters’: parameters entering the time-varying transition probabilities

Returns :

mdl (svar): Constructed SVAR model

Note

For the controlled parameters

The dynamic parameters of a svar model are denoted by “a”

The static parameters or coefficients on exogenous by “c”

for some parameter bd(row,col), e.g. a2(2,3)

d (empty|integer) : when empty, all lags are swept through

row (integer|string) : denotes the row, which can be an integer of a string corresponding to the name of an endogenous variable

col (integer|string) : denotes the row, which can be an integer of a string corresponding to the name of an endogenous variable

transform_var_into_dsge

transform_var_into_dsge : transforms a parameterized VAR into a DSGE model.

SYNTAX

m=transform_var_into_dsge(v)

m=transform_var_into_dsge(v,exogenousValues)

INPUTS

v [rfvar|svar|proxy_var|prfvar]: parameterized VAR object

exogenousValues [empty|struct]: structure containing the values for the exogenous variables. This is because the DSGE does not contain exogenous variables. Therefore the values of the exogenous variables has to be fixed.

OUTPUTS

m [rise]: parameterized DSGE model

NB : At the moment, the routine does not support regime switching models. The feature will be implemented if there is a demand for it.

Help for svar/transform_var_into_dsge is inherited from superclass abstvar

variance_decomposition

Compute the variance decompsition of the VAR
[vd,retcode] = variance_decomposition(self)

[vd,retcode] = variance_decomposition(self,params)

[vd,retcode] = variance_decomposition(self,params,Rfunc)

[vd,retcode] = variance_decomposition(self,params,Rfunc,nperiods)
Args:

self (var object):

params :(optional) parameter values

Rfunc (function handle): (optional) transform parameters into dynamics

nperiods :(optional) periods for decomposition

Returns:

vd (struct): a struct containing the variance decomposition:

infinity (struct):

conditional (struct):

retcode (integer): This passes through the retcode given by Rfunc. Currently (2018/07/19), this output always returns 0.