set_prior_minnesota: set up Minnesota Prior

Description Usage Arguments Value Author(s) References See Also

View source: R/prior.r

Description

set up Minnesota Prior

Usage

1
2
3
set_prior_minnesota(mydata, factordata = NULL, no_factors = 0, nolags,
  intercept = TRUE, lambda1 = 1, lambda2 = 1, lambda3 = 1,
  lambda4 = 2)

Arguments

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

Value

returns an S3 object of the class ""minnesota"

Author(s)

Joerg Rieger

References

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

See Also

Other priors: set_prior_cnw, set_prior_ssvs, set_prior_uninformative


joergrieger/bvars documentation built on July 6, 2020, 11:51 a.m.