Bayesian Vector Autoregression Modeling: BayVAR 1.0

Date Added: September 15, 2013 | Visits: 218

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The priors may be: Litterman random walk plus drift prior; Raynauld-Simonato seasonal random walk plus drift prior or Canova prior: seasonal and non-seasonal unit roots via stochastic constraints + Litterman prior. Combination is achieved using Theil-Goldberger mixed estimation.Estimation uses Theil-Goldberger mixed procedure or OLS.Calibration may be performed using axial search.

Requirements: No special requirements

Platforms: Matlab

Keyword: Achieved, Axial, Estimation, Mixed, Performed, Prior, Procedure, Search, Theilgoldberger

Users rating: 0/10

License: Shareware

Size: 184.32 KB

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BAYESIAN VECTOR AUTOREGRESSION MODELING: BAYVAR RELATED

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