estimate_tvp_primiceri: Estimate TVP model on multivariate time series

In bdemeshev/torro:

Description

estimate_tvp_primiceri returns an estimated TVP model a la Primiceri

Usage

estimate_tvp_primiceri(y, p = 12, nrep = 1000, nburn = 1000, ...)

Arguments

y	multivariate time series
p	number of lags
nrep	number of MCMC draws excluding burn-in
nburn	number of burn-in MCMC draws
...	furhter arguments passed to bvar.sv.tvp

Details

Just a wrapper for bvar.sv.tvp function from bvarsv package. ACHTUNG: probably we need to scale series for this model!

Value

estimated TVP model

Examples

data(rus_macro)
y_small <- rus_macro[, c("cpi", "employment", "m2")]
y_small_scaled <- scale_to(y_small)
primiceri_model <- estimate_tvp_primiceri(y_small_scaled, p = 1)

bdemeshev/torro documentation built on May 21, 2019, 8:36 a.m.