ftvar: bayesian estimation of threshold VAR

In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description

bayesian estimation of threshold VAR

Usage

ftvar(mydata, factordata, priorObj, thMax, thVar, nreps, burnin, nthin,
  stabletest, alpha, beta, tau2, c2, li_prvar, priorm)

Arguments

mydata	data
factordata	data to extract the factors from
priorObj	S3 object of the prior
thMax	maximum delay of threshold variable
thVar	the threshold variable
nreps	total number of mcmc draws
burnin	number of burn-in draws
nthin	thinning parameter
stabletest	test for stability
alpha, beta	prior on the variance of the measurement equation
tau2	variance of the coefficients in the measurement equation (only used if priorm=2)
c2	factor for the variance of the coefficients (only used if priorm=2)
li_prvar	prior on variance of coefficients (only used if priorm = 1)
priorm	Selects the prior on the measurement equation, 1=Normal-Gamma Prior and 2=SSVS prior.

joergrieger/bvar documentation built on July 3, 2020, 5:34 p.m.