mcmc.szbsvar {MSBVAR} | R Documentation |
Draws a posterior sample of the reduced form coefficients for a Bayesian SVAR model
mcmc.szbsvar(varobj, A0.posterior)
varobj |
A B-SVAR object created by szbsvar |
A0.posterior |
A posterior sample object generated by
gibbs.A0 |
This function draws the parameters from the Bayesian SVAR model
described by Waggoner and Zha (2003). The details can be found in
szbsvar
. The draws are done for the SVAR
model and then translated into the reduced form parameters.
A list of the class "mcmc.bsvar.posterior" with the following components:
A0.posterior |
m x m x N2 array of the posterior matrices A(0). |
B.sample |
N2 x ncoef matrix of the reduced form coefficients for the SVAR. |
Patrick T. Brandt
Waggoner, Daniel F. and Tao A. Zha. 2003. "A Gibbs sampler for structural vector autoregressions" Journal of Economic Dynamics & Control. 28:349–366.
## Not run: varobj <- szbsvar(Y, p, z = NULL, lambda0, lambda1, lambda3, lambda4, lambda5, mu5, mu6, ident, qm = 4) posterior <- mcmc.szbsvar(varobj, N1, N2) ## End(Not run)