decay.spec {MSBVAR} | R Documentation |
Provides a quick way to visualize the lag decay specification in a BVAR model for given parameters by computing the variance of the prior VAR coefficients across various lags.
decay.spec(qm, p, lambda)
qm |
Periodicity parameter: either 4 or 12 for quarterly or monthly data. |
p |
Number of lags |
lambda |
Lag decay parameter [>0], which is lambda3 in
the Sims-Zha BVAR specification in szbvar |
Computes the relative decay in the prior variance of the VAR prior across the lags from 1 to p. Useful for visualizing the rate of decay or how tight the prior becomes at higher order lags.
A time series of length p
of the prior variances for each lag.
Patrick T. Brandt
Sims, C.A. and Tao Zha. 1998. "Bayesian Methods for Dynamic Multivariate Models." International Economic Review. 39(4):949-968.
# Harmonic lag decay example harmonic <- decay.spec(4, 6, 1) # Quadratic lag decay example quadratic <- decay.spec(4, 6, 2) plot(cbind(harmonic,quadratic))