Hi,
Thank you for your reply!
Just one more question. If I set Mu_1=0 (by default), then are the priors for the first lags of the variables in BVAR set to 0 or are they kept at 1 according to the idea of Minnesota prior?
Please, help, this is somewhat confusing.
Thank you again!
Search found 3 matches
- Fri Sep 20, 2013 4:00 am
- Forum: Estimation
- Topic: i_mp in BVAR
- Replies: 3
- Views: 2656
- Tue Sep 17, 2013 12:22 am
- Forum: Estimation
- Topic: i_mp in BVAR
- Replies: 3
- Views: 2656
i_mp in BVAR
Hi, To estimate bayesian VAR in Eviews 8 under the Minnesota prior one should specify the value of hyperparameter Mu1 for the prior mean of the VAR parameters. In the user guide the following is stated : theta_0=Mu_1*i_mp, but there is nothing said about the definition of i_mp. Is the i_mp an identi...
- Mon Sep 16, 2013 4:36 am
- Forum: Estimation
- Topic: Need help on BVAR in Eviews 8
- Replies: 0
- Views: 1262
Need help on BVAR in Eviews 8
Hi, To estimate bayesian VAR in Eviews 8 under the Minnesota prior one should specify the value of hyperparameter Mu1 for the prior mean of the VAR parameters. In the user guide the following is stated : theta_0=Mu_1*i_mp, but there is nothing said about the definition of i_mp. Please help me with t...