KK_code_priors: Set conjugate N-IW priors as in matlab code of...
In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Set conjugate N-IW priors as in matlab code of Koops-Korobilis

1	KK_code_priors(Y_in, Z_in = NULL, constant = TRUE, p = 4)

`Y_in`	multivariate time series
`Z_in`	exogeneous variables
`constant`	logical, default is TRUE, whether the constant should be included
`p`	number of lags

Set conjugate N-IW priors as in matlab code of Koops-Korobilis. Mainly for testing.

priors list containing Phi_prior [k x m], Omega_prior [k x k], S_prior [m x m], v_prior [1x1], where k = mp+d

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data(Yraw)
priors <- KK_code_priors(Yraw, p = 4)
model <- bvar_conjugate0(priors = priors, keep = 100)

bdemeshev/bvarr documentation built on May 12, 2019, 3:40 a.m.

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