Description Usage Arguments Value Author(s) References See Also
set up Minnesota Prior
1 2 3 | 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
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