post_normal_covar_const {bvartools} | R Documentation |
Posterior Simulation of Error Covariance Coefficients
Description
Produces posterior draws of constant error covariance coefficients.
Usage
post_normal_covar_const(y, u_omega_i, prior_mean, prior_covariance_i)
Arguments
y |
a |
u_omega_i |
matrix of error variances of the measurement equation.
Either a |
prior_mean |
vector of prior means. In case of TVP, this vector is used as initial condition. |
prior_covariance_i |
inverse prior covariance matrix. In case of TVP, this matrix is used as initial condition. |
Details
For the multivariate model A_0 y_t = u_t
with u_t \sim N(0, \Omega_t)
the function produces a draw of the lower triangular part of A_0
similar as in
Primiceri (2005), i.e., using
y_t = Z_t \psi + u_t,
where
Z_{t} = \begin{bmatrix} 0 & \dotsm & \dotsm & 0 \\ -y_{1, t} & 0 & \dotsm & 0 \\ 0 & -y_{[1,2], t} & \ddots & \vdots \\ \vdots & \ddots & \ddots & 0 \\ 0 & \dotsm & 0 & -y_{[1,...,K-1], t} \end{bmatrix}
and y_{[1,...,K-1], t}
denotes the first to (K-1)
th elements of the vector y_t
.
Value
A matrix.
References
Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821–852. doi:10.1111/j.1467-937X.2005.00353.x
Examples
# Load example data
data("e1")
y <- log(t(e1))
# Generate artificial draws of other matrices
u_omega_i <- diag(1, 3)
prior_mean <- matrix(0, 3)
prior_covariance_i <- diag(0, 3)
# Obtain posterior draw
post_normal_covar_const(y, u_omega_i, prior_mean, prior_covariance_i)