nb_tvpsvbvar: Notebook generator: TVP-SV-BVAR

In ooelrich/oscbvar: Stuff for Bayesian vector autoregressions

Description

Generates a notebook for a BVAR model with stochastic variance and time-varying parameters!

Usage

nb_tvpsvbvar(
  data = oscbvar::macrodata[, 1:3],
  agc = list(5, 60, TRUE, 1),
  nrep = 10000,
  nburn = 5000,
  tau = 20
)

Arguments

data	Dataset from which to generate the notebook. Defaults to the macrodata set from the package including only the first three variables.
agc	List of atomic prediction generation controllers. The first element of the list gives the starting time (ie what observation is considered as t = 1), the second element is the minimum window length used for estimation, and the third one is a boolean indicating if the estimation window is rolling or not, the forth indicates which variable is the response variable and it defaults to 1 (GDP).
nrep	Number of MCMC draws (after burn-in)
nburn	Number of burn-in draws
tau	Number of observations to use for training prior.

Details

Uses default settings in bvarsv.

ooelrich/oscbvar documentation built on Sept. 8, 2021, 3:31 p.m.