specify_prior_bsvar_t | R Documentation |
The class PriorBSVART presents a prior specification for the bsvar model with t-distributed structural shocks.
bsvars::PriorBSVAR
-> PriorBSVART
A
an NxK
matrix, the mean of the normal prior distribution
for the parameter matrix A
.
A_V_inv
a KxK
precision matrix of the normal prior
distribution for each of the row of the parameter matrix A
. This
precision matrix is equation invariant.
B_V_inv
an NxN
precision matrix of the generalised-normal
prior distribution for the structural matrix B
. This precision
matrix is equation invariant.
B_nu
a positive integer greater of equal than N
, a shape
parameter of the generalised-normal prior distribution for the structural
matrix B
.
hyper_nu_B
a positive scalar, the shape parameter of the inverted-gamma 2 prior
for the overall shrinkage parameter for matrix B
.
hyper_a_B
a positive scalar, the shape parameter of the gamma prior
for the second-level hierarchy for the overall shrinkage parameter for matrix B
.
hyper_s_BB
a positive scalar, the scale parameter of the inverted-gamma 2 prior
for the third-level of hierarchy for overall shrinkage parameter for matrix B
.
hyper_nu_BB
a positive scalar, the shape parameter of the inverted-gamma 2 prior
for the third-level of hierarchy for overall shrinkage parameter for matrix B
.
hyper_nu_A
a positive scalar, the shape parameter of the inverted-gamma 2 prior
for the overall shrinkage parameter for matrix A
.
hyper_a_A
a positive scalar, the shape parameter of the gamma prior
for the second-level hierarchy for the overall shrinkage parameter for matrix A
.
hyper_s_AA
a positive scalar, the scale parameter of the inverted-gamma 2 prior
for the third-level of hierarchy for overall shrinkage parameter for matrix A
.
hyper_nu_AA
a positive scalar, the shape parameter of the inverted-gamma 2 prior
for the third-level of hierarchy for overall shrinkage parameter for matrix A
.
clone()
The objects of this class are cloneable with this method.
specify_prior_bsvar_t$clone(deep = FALSE)
deep
Whether to make a deep clone.
prior = specify_prior_bsvar_t$new(N = 3, p = 1) # specify the prior
prior$A # show autoregressive prior mean
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