postARp_phi: Draws the autoregressive parameters of an AR process (AR...

In sectorgap: Consistent Economic Trend Cycle Decomposition

Draws the autoregressive parameters of an AR process (AR parameters only). .

Description

Draws the autoregressive parameters of an AR process (AR parameters only). .

Usage

postARp_phi(Y, phi, phiDistr, sigma, const = NULL, constDistr = NULL)

Arguments

Y	dependent variable
phi	autoregressive coefficient vector
phiDistr	prior distribution of autoregressive coefficient vector
sigma	innovation variance
const	constant
constDistr	prior distribution of constant

Details

See "Chib, Siddhartha. "Bayes regression with autoregressive errors: A Gibbs sampling approach." Journal of econometrics 58.3 (1993): 275-294."

Value

A named vector of drawn parameters.

sectorgap documentation built on May 29, 2024, 10:56 a.m.