Choosing a prior mean in BVAR

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pr244
Posts: 3
Joined: Thu Feb 16, 2012 10:35 am

Choosing a prior mean in BVAR

Postby pr244 » Thu Feb 16, 2012 11:28 am

Hi,

is it possible to choose a prior mean different than zero in the Ko-Ko Minnesota and Normal-Wishart priors? I am estimating a VAR in levels and hence would like to adopt the original Litterman prior where the prior mean on each variable's first lag is 1 instead of 0.

Thanks.

EViews Esther
EViews Developer
Posts: 149
Joined: Fri Sep 03, 2010 7:57 am

Re: Choosing a prior mean in BVAR

Postby EViews Esther » Thu Feb 23, 2012 3:30 pm

Please take a look at the latest BVAR addin (note: changes are updated on viewtopic.php?f=23&t=3295). You can now change the prior mean for the coefficient parameter BETA.

pr244
Posts: 3
Joined: Thu Feb 16, 2012 10:35 am

Re: Choosing a prior mean in BVAR

Postby pr244 » Wed Feb 29, 2012 10:31 am

Hi Esther, thanks for your reply.

They way the code is written now it sets the prior mean of all coefficients to beta0. Actually, what I meant is if it would be possible to just change the prior mean on the first own lag of each variable to 1(or to whichever other value, 0.9, 0.8, etc.).


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