bvar_niwhm {bvhar} | R Documentation |
Fitting Hierarchical Bayesian VAR(p)
Description
This function fits hierarchical BVAR(p) with general Minnesota prior.
Usage
bvar_niwhm(
y,
p,
num_iter = 1000,
num_burn = floor(num_iter/2),
thinning = 1,
bayes_spec = set_bvar(sigma = set_psi(), lambda = set_lambda()),
scale_variance = 0.05,
include_mean = TRUE,
parallel = list(),
verbose = FALSE
)
## S3 method for class 'bvarhm'
print(x, digits = max(3L, getOption("digits") - 3L), ...)
## S3 method for class 'bvarhm'
knit_print(x, ...)
Arguments
y |
Time series data of which columns indicate the variables |
p |
VAR lag |
num_iter |
MCMC iteration number |
num_burn |
Number of burn-in (warm-up). Half of the iteration is the default choice. |
thinning |
Thinning every thinning-th iteration |
bayes_spec |
A BVAR model specification by |
scale_variance |
Proposal distribution scaling constant to adjust an acceptance rate |
include_mean |
Add constant term (Default: |
parallel |
List the same argument of |
verbose |
Print the progress bar in the console. By default, |
x |
|
digits |
digit option to print |
... |
not used |
Details
SSVS prior gives prior to parameters (VAR coefficient) and
(residual covariance).
and for upper triangular matrix ,
Gibbs sampler is used for the estimation. See ssvs_bvar_algo how it works.
Value
bvar_niwhm
returns an object named bvarhm
class.
It is a list with the following components:
- coefficients
Coefficient Matrix
- p
Lag of VAR
- m
Dimension of the data
- obs
Sample size used when training =
totobs
-p
- totobs
Total number of the observation
- call
Matched call
- type
include constant term (
"const"
) or not ("none"
)- y0
- design
- y
Raw input
References
Bańbura, M., Giannone, D., & Reichlin, L. (2010). Large Bayesian vector auto regressions. Journal of Applied Econometrics, 25(1).
Giannone, D., Lenza, M., & Primiceri, G. E. (2015). Prior Selection for Vector Autoregressions. Review of Economics and Statistics, 97(2).
Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions: Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25.