| 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)