MinnesotaPrior function

Minnesota Prior

Get Minnesota Prior

MinnesotaPrior(gamma = 0.1, k, nlag)

Arguments

• gamma: Diagonal value of variance-covariance matrix
• k: Number of series
• nlag: Lag length

Returns

Get Minnesota Prior

Examples

prior = MinnesotaPrior(0.1, k=4, nlag=1)

References

Koop, G., & Korobilis, D. (2010). Bayesian multivariate time series methods for empirical macroeconomics. Now Publishers Inc.

Author(s)

David Gabauer