sim_horseshoe_var {bvhar}

Generate Horseshoe Parameters

Description

This function generates parameters of VAR with Horseshoe prior.

Usage

sim_horseshoe_var(
  p,
  dim_data = NULL,
  include_mean = TRUE,
  minnesota = FALSE,
  method = c("eigen", "chol")
)

sim_horseshoe_vhar(
  har = c(5, 22),
  dim_data = NULL,
  include_mean = TRUE,
  minnesota = c("no", "short", "longrun"),
  method = c("eigen", "chol")
)

Arguments

p

VAR lag

dim_data

Specify the dimension of the data if hyperparameters of bayes_spec have constant values.

include_mean

Add constant term (Default: TRUE) or not (FALSE)

minnesota

Only use off-diagonal terms of each coefficient matrices for restriction. In sim_horseshoe_var() function, use TRUE or FALSE (default). In sim_horseshoe_vhar() function, "no" (default), "short" type, or "longrun" type.

method

Method to compute \Sigma^{1/2}.

har

Numeric vector for weekly and monthly order. By default, c(5, 22).