Description Usage Details Author(s) References See Also Examples
Estimate a Bayesian VAR with normal-inverse-Wishart prior.
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For technical details of the model, see the accompanying vignette.
Keith O'Hara
Koop, Gary and Dimitris Korobilis, “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Mimeo, 2010.
forecast.bvarw
, IRF.bvarw
, plot.bvarw
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 | ## Not run:
data(BMRVARData)
bvar_data <- data.matrix(USMacroData[,2:4])
#
coef_prior <- c(0.9,0.9,0.9)
XiBeta <- 4
XiSigma <- 1
gamma = 4
bvar_obj <- new(bvarw)
#
bvar_obj$build(bvar_data,TRUE,4)
bvar_obj$prior(coef_prior,XiBeta,XiSigma,gamma)
bvar_obj$gibbs(10000,5000)
IRF(bvar_obj,20,var_names=colnames(bvar_data),save=FALSE)
plot(bvar_obj,var_names=colnames(bvar_data),save=FALSE)
forecast(bvar_obj,shocks=TRUE,var_names=colnames(bvar_data),back_data=10,save=FALSE)
## End(Not run)
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