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I have data on bond yields (192 time series observations with i = 1,2,..18 monthly maturities) and estimated the following code: ' Compute factor loadings across maturities vector(18) tau group fm for !i=1 to 18 if !i=1 then tau(!i)=1 else if !i<=9 then tau(!i)=(!i-1)*3 else if !i<=11 then tau(!i)=(...

Hello.
At the moment with EViews11, with the Giannone-Lenza-Primiceri prior, the available option is to optimize only lambda1 and lambda3? how to optimize the rest of the priors?

Thanks, Gareth. Makes more sense now.

Hi Gareth, Let me come back to this topic. On equation 44.22, page 807 of the Eviews11 manual to obtain the covariance terms of a normal wishart, how come the C1 hyperparameter is not found in the three equations? Should H_inverse of NW = C1*I (identity with dimension k), and not as presented in tha...

What does S scale and V scale mean in the dialog box?

Or, should i take the inverse of C3 to obtain prior variance of Mu1?

C3 is the degrees of freedom parameter. Is that too high to be a prior variance for mu1?

is it because of the H kronecker product Sigma for the prior in beta in equation (44.18)?

what do you mean by "replaced"? In what sense? please elaborate. thank you

hello. when running a normal wishart bayesian var, why is it not possible anymore in EViews11 to set prior for Lambda1?

Sorry forgot to also ask. What was your burn-in percentage? Thanks.

Also, how many MCMC draws were set for the independent normal-Wishart? Thanks.

Hello.
Is there a command in EViews for me to know how long does EViews completes the execution of the commands within a program file? Thank you.

Hi Gareth,

In the EViews blog, what was the maximum number of iterations used to optimize the hyperparameters in the estimation of the GLP prior?

If that is the case, how are the columns D differ from the columns labeled DC? When you say uses dummy observations, you are referring to both sum of coefficients and initial observations dummy variables?

Thanks.