BayesPrior function

Bayes Prior

Get Bayes prior

BayesPrior(x, size = NULL, nlag)

Arguments

• x: zoo data matrix
• size: Sample size used to calculate prior parameters
• nlag: Lag length

Returns

Get Bayes Prior

Examples

data("dy2012")
prior = BayesPrior(dy2012, nlag=1)

References

Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852.

Author(s)

David Gabauer