Need help on BVAR in Eviews 8

[BGV]

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 the following questions related to BVAR under the Minnesota prior:

1. Is the i_mp an identity matrix with mxp dimension? Thus, to shrink VAR to random walk, the Mu_1 should be set at 1, shouldn't it?

2. Is BVAR estimated with OLS?

3. Is there any way to choose optimally the order of BVAR in EViews?

Thank you in advance!