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Hi, Thank you for reply. I did not actually have a subset in mind, just wanted to confirm that all the quarterly indicators - in my application I had 6 indicators - are used in distributing the annual benchmark series. I thought that somehow the program would have shown if all 6 indicators, or just ...

Dear Forum Users, I have a small query on dis-aggregating a low frequency series to a higher frequency series, using indicator variables. More specifically, I have annual real GDP, and I am creating a quarterly real GDP series using quarterly indicators as in the Chow Lin or Litterman methods. In pe...

Thank you very much Gareth. I take this to mean that the default in Eviews is set up exactly as how Litterman described it: a prior mean of zero on all coefficients except the first lag of the dependent variable in each equation, which gets a prior mean of 1.0.

Best wishes,

Tristan

Dear Eviews Users, I have a question on the specification of the prior mean in the Bayesian VAR specification. The Eviews manual advises that: “the prior mean is likely to have most or all of its elements set to zero to lessen the risk of over-fitting, and this implies that should be close to zero”....