function prt_var(result,vnames,fid) % PURPOSE: Prints vector autoregressive models output %--------------------------------------------------- % USAGE: prt_var(result,vnames,fid) % where: % results = a structure returned by: % var,bvar,rvar,ecm,becm,recm % vnames = optional vector of variable names % fid = (optional) file-id for printing to a file % (defaults to the MATLAB command window) %--------------------------------------------------- % e.g. vnames = strvcat('y1','y2','x1','x2'); % e.g. fid = fopen('var.out','wr'); %--------------------------------------------------- % NOTE: - constant term is added automatically to vnames list % you need only enter VAR variable names plus deterministic % - you may use prt_var(results,[],fid) to print % output to a file with no vnames %--------------------------------------------------- % SEE ALSO: prt, plt %--------------------------------------------------- if nargin < 1; error('wrong # of arguments to prt_var'); end; if nargin > 3; error('wrong # of arguments to prt_var'); end; if ~isstruct(result); error('prt_var requires a VAR model results structure'); end; nflag = 0; if nargin == 1; fid = 1; end; if nargin == 2; nflag = 1; fid = 1; end; if nargin == 3; [vsize junk] = size(vnames); % user may supply a blank argument if vsize > 0 nflag = 1; end; end; % find nobs, nvar (used throughout) nobs = result(1).nobs; neqs = result(1).neqs; nlag = result(1).nlag; k = result(1).nvar; nx = k - neqs*nlag; switch result(1).meth case {'vare','bvar','rvar'} % <====== construct variable names for these models % set up VAR, BVAR variable names used throughout % -------------------------------------------------------- if nflag == 0 % # no variable names supplied Vname = []; lnames = []; l=1; for i=1:neqs; for m=1:nlag; Vname{l} = str2mat(['variable ',num2str(i)]); lnames{l} = str2mat([' lag',num2str(m)]); l = l+1; end; end; for i=l:k if i < k Vname{i} = str2mat(['dvariable ',num2str(i-l+1)]); lnames{i} = ' '; else Vname{i} = 'constant '; lnames{i} = ' '; end; end; end; % end of if nflag == 0 % -------------------------------------------------------- % # the user supplies variable names % -------------------------------------------------------- if (nflag == 1) Vname = []; lnames = []; [namesize namewidth] = size(vnames); if namesize ~= neqs+nx-1 error('wrong # of vnames in prt_var'); end; l=1; for i=1:neqs; for m=1:nlag; Vname{l} = vnames(i,:); lnames{l} = str2mat([' lag',num2str(m)]); l = l+1; end; end; cnt = 1; for i=l:k if i < k Vname{i} = vnames(neqs+cnt,:); lnames{i} = ' '; cnt = cnt+1; else Vname{i} = 'constant '; lnames{i} = ' '; end; end; end; % end of if nflag == 1 case {'ecm','becm','recm'} % <====== construct variable names for these models % -------------------------------------------------------- % # no variable names supplied % -------------------------------------------------------- if nflag == 0 Vname = []; lnames = []; l=1; for i=1:neqs; for m=1:nlag; Vname{l} = str2mat(['variable ',num2str(i)]); lnames{l} = str2mat([' lag',num2str(m)]); l = l+1; end; end; for i=l:k if i < k Vname{i} = str2mat(['ec term ',num2str(i-l+1)]); lnames{i} = ' '; else Vname{i} = 'constant '; lnames{i} = ' '; end; end; end; % end of if nflag == 0 % -------------------------------------------------------- % # the user supplies variable names % -------------------------------------------------------- if (nflag == 1) Vname = []; lnames = []; l=1; for i=1:neqs; for m=1:nlag; Vname{l} = vnames(i,:); lnames{l} = str2mat([' lag',num2str(m)]); l = l+1; end; end; cnt = 1; for i=l:k if i < k Vname{i} = str2mat(['ec term ',vnames(cnt,:)]); lnames{i} = ' '; cnt = cnt+1; else Vname{i} = 'constant '; lnames{i} = ' '; end; end; end; % end of if nflag == 1 end; % end of switch % column headers used throughout vstring = 'Variable'; lstring = 'Lag'; bstring = 'Coefficient'; tstring = 't-statistic'; pstring = 't-probability'; switch result(1).meth case {'vare'} % <=================== var-model fprintf(fid,'\n ***** Vector Autoregressive Model ***** \n'); for j=1:neqs; if (nflag == 1) fprintf(fid,'Dependent Variable = %16s \n',vnames(j,:)); else fprintf(fid,'\n Equation %3d \n',j); end; fprintf(fid,'R-squared = %9.4f \n',result(j).rsqr); fprintf(fid,'Rbar-squared = %9.4f \n',result(j).rbar); fprintf(fid,'sige = %9.4f \n',result(j).sige); fprintf(fid,'Q-statistic = %9.4f \n',result(j).boxq); fprintf(fid,'Nobs, Nvars = %6d,%6d \n',nobs,k); fprintf(fid,'******************************************************************\n'); % pull out equation j results bhat = result(j).beta; tstat = result(j).tstat; tprob = result(j).tprob; tmp = [bhat tstat tprob]; % print out results in.cnames = strvcat(bstring,tstring,pstring); rnames = vstring; for i=1:k tmpn{i} = [Vname{i} lnames{i}]; rnames = strvcat(rnames,tmpn{i}); end; in.rnames = rnames; in.fmt = '%16.6f'; in.fid = fid; mprint(tmp,in); % print out Granger-Causality test results fstring = 'F-value'; fpstring = 'Probability'; gin.cnames = strvcat(fstring,fpstring); rnames = vstring; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); else rnames = strvcat(rnames,['Variable ' num2str(i)]); end; tmp(i,:) = [result(j).ftest(i) result(j).fprob(i)]; end; gin.rnames = rnames; gin.fmt = '%16.6f'; gin.fid = fid; fprintf(fid,' ****** Granger Causality Tests *******\n'); mprint(tmp,gin); fprintf(fid,'\n'); end; % end of for j loop over all equations % ==================== end of case var case {'bvar','rvar'} % <=================== bvar/rvar -model fprintf(fid,'\n ***** Bayesian Vector Autoregressive Model ***** \n'); if strcmp(result(1).meth,'bvar') fprintf(fid,'\n ***** Minnesota type Prior ***** \n'); fprintf(fid,'\nPRIOR hyperparameters \n'); fprintf(fid,'tightness = %8.2f \n',result(1).tight); fprintf(fid,'decay = %8.2f \n',result(1).decay); [n1 n2] = size(result(1).weight); if n1 > 1 % print out weight matrix rnames = 'Variable'; cnames = []; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); cnames = strvcat(cnames,vnames(i,:)); else rnames = strvcat(rnames,['Var ' num2str(i)]); cnames = strvcat(cnames,['Var ' num2str(i)]); end; end; tmp = result(1).weight; in.cnames = cnames; in.rnames = rnames; in.fmt = '%8.2f'; in.fid = fid; fprintf(fid,'Weights matrix \n'); mprint(tmp,in); else % print out scalar weight fprintf(fid,'Symmetric weights based on '); fprintf(fid,'%8.2f \n\n',result(1).weight); end; else fprintf(fid,'\n ***** Random-Walk Averaging Prior ***** \n'); fprintf(fid,'\nPRIOR hyperparameters \n'); fprintf(fid,'sig = %8.2f \n',result(1).sig); fprintf(fid,'tau = %8.2f \n',result(1).tau); fprintf(fid,'theta = %8.2f \n',result(1).theta); fprintf(fid,'Weight matrix = \n'); rnames = 'Variable'; cnames = []; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); cnames = strvcat(cnames,vnames(i,:)); else rnames = strvcat(rnames,['Var ' num2str(i)]); cnames = strvcat(cnames,['Var ' num2str(i)]); end; end; tmp = result(1).weight; in.cnames = cnames; in.rnames = rnames; in.fmt = '%8.2f'; in.fid = fid; mprint(tmp,in); end; for j=1:neqs; if (nflag == 1) fprintf(fid,'Dependent Variable = %16s \n',vnames(j,:)); else fprintf(fid,'\n Equation %3d \n',j); end; fprintf(fid,'R-squared = %9.4f \n',result(j).rsqr); fprintf(fid,'Rbar-squared = %9.4f \n',result(j).rbar); fprintf(fid,'sige = %9.4f \n',result(j).sige); fprintf(fid,'Nobs, Nvars = %6d,%6d \n',nobs,k); fprintf(fid,'******************************************************************\n'); bhat = result(j).beta; tstat = result(j).tstat; if strcmp(result(1).meth,'bvar') tprob = result(j).tprob; else tprob = tdis_prb(tstat,nobs); end; tmp = [bhat tstat tprob]; % print out results rnames = vstring; for i=1:k tmpn{i} = [Vname{i} lnames{i}]; rnames = strvcat(rnames,tmpn{i}); end; in.rnames = rnames; in.cnames = strvcat(bstring,tstring,pstring); in.fmt = '%16.6f'; in.fid = fid; mprint(tmp,in); fprintf(fid,'\n'); end; % end of for j loop over all equations % ==================== end of case bvar case {'ecm'} % <===================ecm-model fprintf(fid,'\n ***** Error Correction Model ***** \n'); for j=1:neqs; if (nflag == 1) fprintf(fid,'Dependent Variable = %16s \n',vnames(j,:)); else fprintf(fid,'\n Equation %3d \n',j); end; fprintf(fid,'R-squared = %9.4f \n',result(j).rsqr); fprintf(fid,'Rbar-squared = %9.4f \n',result(j).rbar); fprintf(fid,'sige = %9.4f \n',result(j).sige); fprintf(fid,'Nobs, Nvars = %6d,%6d \n',nobs,k); fprintf(fid,'******************************************************************\n'); bhat = result(j).beta; tstat = result(j).tstat; tprob = result(j).tprob; tmp = [bhat tstat tprob]; % print out results in.cnames = strvcat(bstring,tstring,pstring); rnames = vstring; for i=1:k tmpn{i} = [Vname{i} lnames{i}]; rnames = strvcat(rnames,tmpn{i}); end; in.rnames = rnames; in.fmt = '%16.6f'; in.fid = fid; mprint(tmp,in); % print out Granger-Causality test results fstring = 'F-value'; fpstring = 'Probability'; in.cnames = strvcat(fstring,fpstring); rnames = vstring; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); else rnames = strvcat(rnames,['Variable ' num2str(i)]); end; tmp(i,:) = [result(j).ftest(i) result(j).fprob(i)]; end; in.rnames = rnames; in.fmt = '%16.6f'; in.fid = fid; fprintf(fid,' ****** Granger Causality Tests *******\n'); mprint(tmp,in); end; % end of for j loop over all equations % print out johansen co-integration test results nobs = length(result(1).y); ylevel = zeros(nobs,neqs); for j=1:neqs; ylevel(:,j) = result(j).y; end; cres = johansen(ylevel,0,nlag); if nflag == 1 prt_coint(cres,vnames,fid); else prt_coint(cres,[],fid); end; % end of ecm case case {'becm','recm'} % <=================== becm, recm-model fprintf(fid,'\n ***** Bayesian Error Correction Model ***** \n'); if strcmp(result(1).meth,'becm') fprintf(fid,'\n ***** Minnesota type Prior ***** \n'); fprintf(fid,'\nPRIOR hyperparameters \n'); fprintf(fid,'tightness = %8.2f \n',result(1).tight); fprintf(fid,'decay = %8.2f \n',result(1).decay); [n1 n2] = size(result(1).weight); if n1 > 1 % print out weight matrix rnames = 'Variable'; cnames = []; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); cnames = strvcat(cnames,vnames(i,:)); else rnames = strvcat(rnames,['Var ' num2str(i)]); cnames = strvcat(cnames,['Var ' num2str(i)]); end; end; tmp = result(1).weight; in.rnames = rnames; in.cnames = cnames; in.fmt = '%8.2f'; in.fid = fid; fprintf(fid,'Weights matrix \n'); mprint(tmp,in); else fprintf(fid,'Symmetric weights based on '); fprintf(fid,'%8.2f \n\n',result(1).weight); end; else fprintf(fid,'\n ***** Random-Walk Averaging Prior ***** \n'); fprintf(fid,'\nPRIOR hyperparameters \n'); fprintf(fid,'sig = %8.2f \n',result(1).sig); fprintf(fid,'tau = %8.2f \n',result(1).tau); fprintf(fid,'theta = %8.2f \n',result(1).theta); fprintf(fid,'Weight matrix = \n'); rnames = 'Variable'; cnames = []; tmp = []; for i=1:neqs if nflag == 1 rnames = strvcat(rnames,vnames(i,:)); cnames = strvcat(cnames,vnames(i,:)); else rnames = strvcat(rnames,['Var ' num2str(i)]); cnames = strvcat(cnames,['Var ' num2str(i)]); end; end; tmp = result(1).weight; in.rnames = rnames; in.cnames = cnames; fmt = '%8.2f'; in.fid = fid; mprint(tmp,in); end; for j=1:neqs; if (nflag == 1) fprintf(fid,'Dependent Variable = %16s \n',vnames(j,:)); else fprintf(fid,'\n Equation %3d \n',j); end; fprintf(fid,'R-squared = %9.4f \n',result(j).rsqr); fprintf(fid,'Rbar-squared = %9.4f \n',result(j).rbar); fprintf(fid,'sige = %9.4f \n',result(j).sige); fprintf(fid,'Nobs, Nvars = %6d,%6d \n',nobs,k); fprintf(fid,'******************************************************************\n'); bhat = result(j).beta; tstat = result(j).tstat; if strcmp(result(1).meth,'becm') tprob = result(j).tprob; else tprob = tdis_prb(tstat,nobs); end; tmp = [bhat tstat tprob]; % print out results in.cnames = strvcat(bstring,tstring,pstring); rnames = vstring; for i=1:k tmpn{i} = [Vname{i} lnames{i}]; rnames = strvcat(rnames,tmpn{i}); end; in.rnames = rnames; in.fmt = '%16.6f'; in.fid = fid; mprint(tmp,in); fprintf(fid,'\n'); end; % end of for j loop over all equations % print out johansen co-integration test results nobs = length(result(1).y); ylevel = zeros(nobs,neqs); for j=1:neqs; ylevel(:,j) = result(j).y; end; cres = johansen(ylevel,0,nlag); if nflag == 1 prt_coint(cres,vnames,fid); else prt_coint(cres,[],fid); end; % end of becm/recm case otherwise error('results structure unknown to prt_var'); end;