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- Sun Jul 19, 2020 2:11 am
- Forum: Estimation
- Topic: User defined Minnesota prior Bayesian VAR (BVAR) in Eviews 10
- Replies: 0
- Views: 6840
User defined Minnesota prior Bayesian VAR (BVAR) in Eviews 10
I want to incorporate spatial information (e.g. the spatial matrix) into the prior information in Bayesian VAR (BVAR). Intuitively, the comovements of the dependent variables in the VAR system are not identical, but neighborhood locations are more influential on average. I want a prior to represent ...