Manual to accompany MATLAB package for Bayesian VAR models
نویسندگان
چکیده
2 VAR models 4 2.1 Analytical results for VAR models . . . . . . . . . . . . . . . . . . . . 4 2.1.1 The Diffuse Prior . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1.2 The Natural Conjugate Prior . . . . . . . . . . . . . . . . . . . 5 2.1.3 The Minnesota Prior . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Estimation of VARs using the Gibbs sampler . . . . . . . . . . . . . 6 2.2.1 The Independent Normal-Wishart Prior-Posterior algorithm . 6 2.2.2 Stochastic Search Variable Selection in VAR models . . . . . 7 2.2.3 Flexible Variable Selection in VAR models . . . . . . . . . . . 9
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