%%--------------------------------------------------------%%
%%???????????????????TVP-VAR?package?for?estimation?????????????????????%%
%%??This?code?is?modified?from?Primiceri?（2005）and?Nakajima?（2011）?
%%??Function?files?for?MCMC?estimation?of?Time-Varying?Parameter?VAR?model
%%??with?stochastic?volatility
%%??setvar.m????sets?variables?or?options
%%??ssmooth.m???implements?simulation?smoother
%%??svsamp.m????implements?multi-move?sampler?for?SV?model
%%??ftsvar.m????computes?time-series?variance??
%%??fAt.m?fXt.m?fXh.m?finvm.m??functions?for?some?matrices?
%%??fGeweke.m???computes?Geweke?statistics?for?convergence
%%??impulse.m???computes?time-varying?impulse?response


%%--------------------------------------------------------%%


clear?all;
close?all;
tau?=?40;
y=xlsread（‘a(chǎn)wm.xlsx‘）;%?load?data

my?=?y（tau+1:end:）;??

asvar?=?{‘p‘;?‘x‘;?‘i‘};????%?variable?names
nlag?=?2;???????????????????%?#?of?lags

setvar（‘data‘?my?asvar?nlag）;?%?set?data

setvar（‘fastimp‘?1）;
global?m_my??m_nl?m_ns?m_nk?m_fli?m_flSb?m_nimp?m_flfi?...
???????m_iseed?m_dvb0?m_dVb0?m_dva0?m_dVa0?m_dvh0?m_dVh0?m_k
???
tic;

if?isempty（m_fli）?==?1
????m_fli?=?1;
end
if?isempty（m_flSb）?==?1
????m_flSb?=?0;
end
if?isempty（m_nimp）?==?1
????m_nimp?=?12?+?1;
end
if?isempty（m_flfi）?==?1
????m_flfi?=?1;
end
if?isempty（m_iseed）?==?1
????m_iseed?=?1;
end

rand（‘state‘?m_iseed）;
randn（‘state‘?m_iseed）;


%%---?set?variables?---%%

ns?=?m_ns;??%?#?of?time?periods
nk?=?m_nk;??%?#?of?series
nl?=?m_nl;??%?#?of?lags
nb?=?nk?*?（nk*nl?+?m_fli）;??%?#?of?coefficients?in?beta?
na?=?nk?*?（nk-1）?/?2;???????%?#?of?parameters?in?a

if?m_fli?==?1
????vym?=?zeros（1?nk）;
else
????vym?=?mean（m_my）;
end
m_my?=?m_my?-?ones（ns?1）?*?vym;

myh?=?zeros（ns?nk）;
mya?=?zeros（ns?nk）;
amX?=?zeros（nk?nb?ns）;
amXh?=?zeros（nk?na?ns）;
amG2?=?zeros（nk?nk?ns）;
mai?=?zeros（ns?na）;
for?i?=?nl+1?:?ns
????amX（:?:?i）?=?fXt（m_my（i-nl:i-1?:）?m_fli）;
end

mb?=?zeros（ns?nb）;
ma?=?zeros（ns?na）;
mh?=?zeros（ns?nk）;

mSigb?=?eye（nb）?*?0.01;
mSiga?=?eye（na）?*?0.01;
mSigh?=?eye（nk）?*?0.01;

vidb?=?1?:?nb;
if?m_fli?==?1
????vidi?=?（0?:?nk-1）?*?（nk*nl+1）?+?1;
	vidb（vidi）?=?[];
end
[v1?v2]?=?find（triu（reshape（1:nk^2?nk?nk）‘?1））;
vida?=?（v1-1）*nk?+?v2;
%%---?prior?---%%
[BetaVBOLSsigma_u]?=?prior_ols（y（1:tau:）nlag）;
%Find?lower?triangular?matrix?At
C0=chol（sigma_u）;
C0=C0./repmat（diag（C0）1nk）;
C0=inv（C0）‘;
C0=reshape（C0nk*nk1）;
va0?=?zeros（na?1）;
for?i=1:na
????va0（i1）=C0（vida（i））;
end
sigma_OLS=diag（sigma_u）;
if?isempty（m_dvb0）?==?1
??if?m_flSb?==?1
????m_dvb0?=?25;??????????%?Sigma?~?IW（vb0?I*Vb0）
????m_dVb0?=?1e-4;
??else
????m_dvb0?=?40;??????????%?sigb_i^2?~?IG（va0/2?Va0/2）?
????m_dVb0?=?2*1e-4;
??end
elseif?m_flSb?==?0
????m_dvb0?=?m_dvb0*2;
????m_dVb0?=?m_dVb0*2;
end???
if?isempty（m_dva0）?==?1
??m_dva0?=?8;?????????????%?siga_i^2?~?IG（va0/2?Va0/2）
??m_dVa0?=?2*1e-4;??

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----
?????目錄???????????0??2019-11-17?15:43??TVPVAR-master\
?????文件????????1027??2019-11-17?15:43??TVPVAR-master\DataDescription
?????文件????????8522??2019-11-17?15:43??TVPVAR-master\Estinamtion?result.m
?????文件???????11442??2019-11-17?15:43??TVPVAR-master\Forecast?TVPVAR.m
?????文件???????16637??2019-11-17?15:43??TVPVAR-master\awm.xlsx
?????文件?????????657??2019-11-17?15:43??TVPVAR-master\fAt.m
?????文件?????????768??2019-11-17?15:43??TVPVAR-master\fGeweke.m
?????文件?????????534??2019-11-17?15:43??TVPVAR-master\fXh.m
?????文件?????????559??2019-11-17?15:43??TVPVAR-master\fXt.m
?????文件?????????544??2019-11-17?15:43??TVPVAR-master\finvm.m
?????文件?????????872??2019-11-17?15:43??TVPVAR-master\ftsvar.m
?????文件????????1255??2019-11-17?15:43??TVPVAR-master\impulse.m
?????文件?????????357??2019-11-17?15:43??TVPVAR-master\mlag2.m
?????文件?????????304??2019-11-17?15:43??TVPVAR-master\prior_ols.m
?????文件????????2390??2019-11-17?15:43??TVPVAR-master\setvar.m
?????文件????????2871??2019-11-17?15:43??TVPVAR-master\ssmooth.m
?????文件????????5542??2019-11-17?15:43??TVPVAR-master\svsamp.m
?????文件?????????507??2019-11-17?15:43??TVPVAR-master\wish.m