Wald test in Bayesian VAR?

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huugh
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Joined: Fri Feb 08, 2013 4:04 am

Wald test in Bayesian VAR?

Postby huugh » Wed Sep 25, 2013 11:45 pm

Hi,
is it possible to do Wald test in Bayesian VAR (the option under View-Lag structure says it is unavailable) manually?
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EViews Gareth
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Re: Wald test in Bayesian VAR?

Postby EViews Gareth » Thu Sep 26, 2013 7:57 am

It is not built in. (I'm not sure of the validity of Wald tests under a Bayesian VAR anyway...)
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huugh
Posts: 14
Joined: Fri Feb 08, 2013 4:04 am

Re: Wald test in Bayesian VAR?

Postby huugh » Mon Sep 30, 2013 1:35 am

Maybe it is not the best thing. Sure I would appreciate for instance Bayes factors (see http://en.wikipedia.org/wiki/Bayes_factor) but I assume you do not plan to implement this either.

So, is there a way to do the Wald test manually? I.e. is there a covariance matrix available?
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