decay.spec {MSBVAR}R Documentation

Lag decay specification check

Description

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.

Usage

decay.spec(qm, p, lambda)

Arguments

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

Details

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.

Value

A time series of length p of the prior variances for each lag.

Author(s)

Patrick T. Brandt

References

Sims, C.A. and Tao Zha. 1998. "Bayesian Methods for Dynamic Multivariate Models." International Economic Review. 39(4):949-968.

See Also

szbvar

Examples

# Harmonic lag decay example
harmonic <- decay.spec(4, 6, 1)

# Quadratic lag decay example
quadratic <- decay.spec(4, 6, 2)

plot(cbind(harmonic,quadratic))


[Package MSBVAR version 0.3.2 Index]