Example of user-specified priors for Bayesian VAR
Posted: Sat Mar 29, 2014 10:37 am
Does anyone have an example on this? Bayesian VAR with user-provided priors (Prior type Litterman/Minnesota).
From the user's guide "Coefficient means. Fill in the edit box with the name of a vector in the workfile containing a prior mean for the coefficients. Coefficient covariance. If desired, you may provide the name of a matrix containing a prior covariance for the coefficients."
Looking to see how this is implemented in practice.
Thanks!
From the user's guide "Coefficient means. Fill in the edit box with the name of a vector in the workfile containing a prior mean for the coefficients. Coefficient covariance. If desired, you may provide the name of a matrix containing a prior covariance for the coefficients."
Looking to see how this is implemented in practice.
Thanks!