BayesPrior | R Documentation |
Get Bayes prior
BayesPrior(x, size = NULL, nlag)
x |
zoo data matrix |
size |
Sample size used to calculate prior parameters |
nlag |
Lag length |
Get Bayes Prior
David Gabauer
Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852.
data("dy2012")
prior = BayesPrior(dy2012, nlag=1)
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