decay.spec: Lag decay specification check
In MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models

Description Usage Arguments Details Value Author(s) References See Also Examples

Provides a quick way to visualize the lag decay specification in a BVAR model for given parameters by computing the variance of the prior VAR coefficients across various lags.

1	decay.spec(qm, p, lambda)

`qm`	Periodicity parameter: either 4 or 12 for quarterly or monthly data.
`p`	Number of lags
`lambda`	Lag decay parameter [>0], which is `lambda3` in the Sims-Zha BVAR specification in `szbvar`

Computes the relative decay in the prior variance of the VAR prior across the lags from 1 to p. Useful for visualizing the rate of decay or how tight the prior becomes at higher order lags.

A time series of length p of the prior variances for each lag.

Patrick T. Brandt

Sims, C.A. and Tao Zha. 1998. "Bayesian Methods for Dynamic Multivariate Models." International Economic Review. 39(4):949-968.

szbvar

# Harmonic lag decay example
harmonic <- decay.spec(4, 6, 1)

# Quadratic lag decay example
quadratic <- decay.spec(4, 6, 2)

plot(cbind(harmonic,quadratic))