bvars: BVAR with Steady-State Prior.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

Estimate a Bayesian VAR with steady-state prior.

Usage

bvar_obj <- new(bvars)

Details

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

Author(s)

Keith O'Hara

References

Villani, Mattias, “Steady-State Priors for Vector Autoregressions,” Journal of Applied Econometrics, 2009, 24 (4), 630–650.

See Also

forecast.bvars, IRF.bvars, plot.bvars.

Examples

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

#

coef_prior <- c(0.9,0.9,0.9)
psi_prior <- matrix(c(3,6,5),nrow=1)

HP1 <- 0.5
HP2 <- 0.5
XiPsi <- 1
gamma = 4

bvar_obj <- new(bvars)

#

bvar_obj$build(bvar_data,TRUE,4)
bvar_obj$prior(coef_prior,HP1,HP2,psi_prior,XiPsi,gamma)
bvar_obj$gibbs(10000,5000)

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.