Wald test in Bayesian VAR?
Posted: Wed Sep 25, 2013 11:45 pm
by huugh
Hi,
is it possible to do Wald test in Bayesian VAR (the option under View-Lag structure says it is unavailable) manually?
Re: Wald test in Bayesian VAR?
Posted: Thu Sep 26, 2013 7:57 am
by EViews Gareth
It is not built in. (I'm not sure of the validity of Wald tests under a Bayesian VAR anyway...)
Re: Wald test in Bayesian VAR?
Posted: Mon Sep 30, 2013 1:35 am
by huugh
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?