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- Fri Sep 16, 2016 11:33 am
- Forum: Programming
- Topic: BVAR (litterman) Specifying different priors to different variables
- Replies: 2
- Views: 5347
BVAR (litterman) Specifying different priors to different variables
Dear all, I am running a simple 3 variable VAR (gdp, interest rate, and inflation). How do I specify different mu1, l1, l2 for different variables under litterman prior? If three variables all share the same priors then the code would be: var mod.bvar(prior=lit, mu1=1, l1=0.20, l2=0.99) 1 2 GDP INTE...