bvarw: BVAR with normal-inverse-Wishart Prior.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

Estimate a Bayesian VAR with normal-inverse-Wishart prior.

Usage

bvar_obj <- new(bvarw)

Details

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

Author(s)

Keith O'Hara

References

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

See Also

forecast.bvarw, IRF.bvarw, plot.bvarw.

Examples

## 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)

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