Markov switching bayesian VAR

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

Markov switching bayesian VAR

Postby bercerder » Fri May 08, 2015 7:30 am

Hello.
The manual (http://www.dynare.org/manual/index_31.html) tells us that ms_estimation command has coefficients_prior_hyperparameters option that equals by default to [1.0 1.0 0.1 1.2 1.0 1.0]. What do "tightness for A0 and A+ " and "relative tightness for A+ " mean (first and second hyperparameters)? Are these standard deviations? And is there needed any normalization of data or Dynare does this by itself?

Thank you in advance
bercerder
 
Posts: 13
Joined: Thu Apr 23, 2015 7:53 am

Re: Markov switching bayesian VAR

Postby jpfeifer » Sun May 10, 2015 1:59 pm

The notation here follows Sims/Zha (1998): Bayesian Methods for Dynamic Multivariate Models, International Economic Review, http://www.jstor.org/stable/2527347. See also http://www.dynare.org/DynareWiki/MarkovSwitchingInterface
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


Return to Dynare help

Who is online

Users browsing this forum: Google [Bot] and 6 guests