bvarm: BVAR with Minnesota Prior.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

A Bayesian VAR with Minnesota prior.

Usage

bvar_obj <- new(bvarm)

Details

For technical details of the model, see the accompanying vignette.

Author(s)

Keith O'Hara

References

Canova, Fabio, Methods for Applied Macroeconomic Research, Princeton, New Jersey: Princeton University Press, 2007.

Koop, Gary and Dimitris Korobilis, “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Mimeo, 2010.

See Also

forecast.bvarm, IRF.bvarm, plot.bvarm.

Examples

## Not run: 
data(BMRVARData)
bvar_data <- data.matrix(USMacroData[,2:4])

#

coef_prior <- c(0.9,0.9,0.9)

bvar_obj <- new(bvarm)

bvar_obj$build(bvar_data,TRUE,4)
bvar_obj$prior(coef_prior,1,1,0.5,0.5,100.0,1.0)
bvar_obj$gibbs(10000)

IRF(bvar_obj,20,var_names=colnames(USMacroData),save=FALSE)
plot(bvar_obj,var_names=colnames(USMacroData),save=FALSE)
forecast(bvar_obj,shocks=TRUE,var_names=colnames(USMacroData),back_data=10,save=FALSE)

## End(Not run)

kthohr/BMR documentation built on May 20, 2019, 7:04 p.m.