VARrec_help.txt

# VARrec

This package computes VAR model coefficient estimates recursively
(backward or forward), and presents the results in a plot.

Recursive parameter estimates are a simple descriptive tool for assessing
parameter stability. They are obtained by estimating the model using only
t=1,...,tau observations letting tau vary from some small value to T, the sample
end (forward recursion). Backward recursion starts from the sub-sample t=T,...,
tau and adds sequentially one observation until the first sample period is
reached. Sequences of coefficient estimates are obtained.

This package plots the sequence of all parameter estimates over time with its
'confidence intervals'.

Please ask questions and report bugs on the gretl mailing list if possible.
Alternatively, create an issue ticket on the github repo (see below).
Source code and test script(s) can be found here:
https://github.com/atecon/VARrec


# Public functions

## setupVARrec()
    Initially set up the bundle for the following analysis.

    Parameters:
    endo        - list, Endogenous series
    exo         - list, Exogenous series
    p           - int, Lag length of the VAR in levels
    which       - int, Position of variable in 'endo' to plot
    rectype     - int, If 0 run recursion forward, if 1 then backward
    cilevel     - scalar, Width of the confidence band in std. deviations
    rob         - int, 0=none, 1= HC, 2=HAC robust std. errors
    plotout     - string, Path+filename for storing plot or "display" for
                  immediately showing up on screen
    fsize       - int, Font size for plot
    linew       - scalar, Line width for plot
    verb        - int, 1=Print details, 0=Print no details

    Returns:
    Bundle holding parameters.

## VARrec()
    Function actually executing parameter estimates.

    Parameters:
    self        - bundle, Returned bundle in pointer form by the setupVARrec()
                  function.

    Returns:
    Nothing.


## VARrecplot()
    Function for plotting recursive parameter estimates.

    Parameters:
    self        - bundle, Returned by in pointer form by VARrec() the function


    Return:
    Error code which is zero (FALSE) in case of no error.


# Changelog
0.3 (11-2022)
    - get rid of deprecated `sprintf` command
0.24 (02-2017)
0.23 (10-2016)
   - Minor changes
0.22 (10-2016)
   - Minor changes
   - Added the do_plot function
0.21 (09-2016)
    - Some minor changes w.r.t. to the VARrecplot function
0.2 (09-2016)
   - Add some hint s for the user in case of problems.
   - Allow to manipulate the font size and line width of the plot
0.1 (09-2016)
   - Forward and backward recursive estimates
   - Dummies are allowed. It is pre-tested whether the dummy takes
       only zeros for the currently selected sub-sample or not.