mcmc.szbsvar: Gibbs sampler for coefficients of a B-SVAR model

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

Description

Draws a posterior sample of the reduced form coefficients for a Bayesian SVAR model

Usage

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mcmc.szbsvar(varobj, A0.posterior)

Arguments

varobj

A B-SVAR object created by szbsvar

A0.posterior

A posterior sample object generated by gibbs.A0

Details

This function draws the parameters from the Bayesian SVAR model described by Waggoner and Zha (2003). The details can be found in szbsvar. The draws are done for the SVAR model and then translated into the reduced form parameters.

Value

A list of the class "mcmc.bsvar.posterior" with the following components:

A0.posterior

m x m x N2 array of the posterior matrices A(0).

B.sample

N2 x ncoef matrix of the reduced form coefficients for the SVAR.

Author(s)

Patrick T. Brandt

References

Waggoner, Daniel F. and Tao A. Zha. 2003. "A Gibbs sampler for structural vector autoregressions" Journal of Economic Dynamics \& Control. 28:349–366.

See Also

szbsvar

Examples

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## Not run: 
varobj <- szbsvar(Y, p, z = NULL, lambda0, lambda1, lambda3, lambda4,
                  lambda5, mu5, mu6, ident, qm = 4)
posterior <- mcmc.szbsvar(varobj, N1, N2)

## End(Not run)

MSBVAR documentation built on May 30, 2017, 1:23 a.m.

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