set_sv {bvhar}

Stochastic Volatility Specification

Description

Set SV hyperparameters.

Usage

set_sv(ig_shape = 3, ig_scl = 0.01, initial_mean = 1, initial_prec = 0.1)

## S3 method for class 'svspec'
print(x, digits = max(3L, getOption("digits") - 3L), ...)

Arguments

ig_shape

Inverse-Gamma shape of state variance.

ig_scl

Inverse-Gamma scale of state variance.

initial_mean

Prior mean of initial state.

initial_prec

Prior precision of initial state.

x

svspec

digits

digit option to print

...

not used

References

Carriero, A., Chan, J., Clark, T. E., & Marcellino, M. (2022). Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1)(2019) 137–154]. Journal of Econometrics, 227(2), 506-512.

Chan, J., Koop, G., Poirier, D., & Tobias, J. (2019). Bayesian Econometric Methods (2nd ed., Econometric Exercises). Cambridge: Cambridge University Press.