set_prior_minnesota: set up Minnesota Prior
In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description Usage Arguments Value Author(s) References See Also

set up Minnesota Prior

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set_prior_minnesota(mydata, factordata = NULL, no_factors = 0, nolags,
  intercept = TRUE, lambda1 = 1, lambda2 = 1, lambda3 = 1,
  lambda4 = 2)

`mydata`	data
`factordata`	data for factor models
`no_factors`	number of factors (not yet implemented)
`nolags`	number of lags (not yet implemented)
`intercept`	whether the model has an intercept
`lambda1`	hyperparameter 1
`lambda2`	hyperparameter 2
`lambda3`	hyperparameter 3
`lambda4`	hyperparameter 4

returns an S3 object of the class ""minnesota"

Joerg Rieger

K. Rao Kadiyala and Sune Karlsson, Numerical Methods for Estimation and Inference in Bayesian VAR-Models, Journal of Applied Econometrics 12(2), 99-132

Gary Koop and Dimitris Korobilis (2010), Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, Foundations and Trends in Econometrics 3(4), 267-358

Thomas Doan, Robert Litterman, Christopher A. Sims (1984), Forecasting and conditional projection using realistic prior distributions, Econometric Reviews 3(1), 1-100

Other priors: set_prior_cnw, set_prior_ssvs, set_prior_uninformative

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