VAR_bayes: Bayesian VAR model implement Bayesian VAR methods

In morner75/bayesVAR: Bayesian Vector Autoregressive model

Bayesian VAR model implement Bayesian VAR methods

Description

Bayesian VAR model implement Bayesian VAR methods

Usage

VAR_bayes(
  data,
  p,
  exos = colnames(data)[ncol(data)],
  N = 1500,
  warmup = 500,
  prior = "Minnetota-Wishart",
  minnesota_par = list(rho = 1, lambdas = c(0.1, 0.5, 2, 100))
)

Arguments

data	time-series data with a xts format
p	a integer, time lags of endogenous variables
exos	a character vector, exogenous variables
N	a integer, the number of iterations
warmup	a integer, the number of iterations to discard before convergence
prior	a character, priors and methods to be used
minnesota_par	a list, parameters in Minnesota prior

Value

posterior of parameters, credible bands of responses in Bayesian VAR model

morner75/bayesVAR documentation built on April 6, 2024, 7:25 a.m.