BVAR {FAVAR} | R Documentation |
Bayesian Estimation of VAR
Description
Estimate a VAR base on Bayesian method
Usage
BVAR(
data,
plag = 2,
iter = 10000,
burnin = 5000,
prior = list(b0 = 0, vb0 = 0, nu0 = 0, s0 = 0, mn = list(kappa0 = NULL, kappa1 =
NULL)),
ncores = 1
)
Arguments
data |
a |
plag |
a lag order in VAR |
iter |
iterations of the MCMC |
burnin |
the first random draws discarded in MCMC |
prior |
a list whose elements is named. |
ncores |
the number of CPU cores in parallel computations. |
Value
a list:
-
A
, the samples drawn for the coefficients of VAR -
sigma
, the samples drawn for the variance-covariance of the coefficients of VAR -
sumrlt
, a list includevarcoef, varse, q25, q975
which are means, standard errors, 0.25 quantiles and 0.975 quantiles ofA
.