Description Usage Arguments References
Estimate a latent-threshold VAR model using a single-move Gibbs sampler as in Nakajima and West (2013)
1 2 3 4 |
y |
A TxK matrix with the data |
p |
number of lags |
Intercept |
Logical flag whether the model contains an intercept |
nreps |
number of total mcmc draws |
burnin |
number of burn-in draws |
dvb0, dVb0 |
prior on volatility of betas |
dva0, dVa0 |
prior on volatiltiy of covariances |
dvh0, dVh0 |
prior on volatility of variances |
dm0, ds0 |
prior on intercept |
da0 |
prior on phi for covariances |
db0 |
prior on phi for betas |
dg0, dG0 |
prior on parameters for stochastic volatility |
dk0 |
latent threshold prior |
nKnots |
number of blocks in the stochastic volatility sampler |
Nakajima, J. and M. West (2013) Bayesian Analysis of Latent Threshold Dynamic Models; Journal of Business & Economic Statistics 31 (2), 151-164
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