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Graphic convergence diagnostics for the BMR (Bayesian Macroeconometrics in R) package

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ConvDiag

Graphical convergence diagnostics for BMR

VERSION NOV 25 2015 CHRISTIAN DANNE DANNEC@TCD.IE

DESCRIPTION The function provides some graphic diagnostic tools (trace plots, autocorrelation plots, and density plots) for BVARs of the BMR package by Keith O'Hara, available at http://bayes.squarespace.com/bmr/. You will have to install the packages listed below. In order to use the functions in combination with other packages change the corresponding lines that reads in the object containing the results of the VAR estimation in "trace.R".

CONTENTS example.R: runs an example trace.R: contains the main functions.

USE To run the example code, change the path to where you have saved "trace.R" in the example file. Change "type=c(1,2,3)" in plottrace.*** for the different types of plot functions.

GRAPH TYPES type=1 -> trace plots type=2-> autocorrelation plots type=3 -> density plots (plots the density of the entire MCMC sample against the 1st half and the second half of the sample)

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Graphic convergence diagnostics for the BMR (Bayesian Macroeconometrics in R) package

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