BayesPrior {ConnectednessApproach}

Bayes Prior

Description

Get Bayes prior

Usage

BayesPrior(x, size = NULL, nlag)

Arguments

x

zoo data matrix

size

Sample size used to calculate prior parameters

nlag

Lag length

Value

Get Bayes Prior

Author(s)

David Gabauer

References

Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852.

Examples

data("dy2012")
prior = BayesPrior(dy2012, nlag=1)