bayesian estimation of threshold VAR
ftvar(mydata, factordata, priorObj, thMax, thVar, nreps, burnin, nthin, stabletest, alpha, beta, tau2, c2, li_prvar, priorm)
mydata | data |
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factordata | data to extract the factors from |
priorObj | S3 object of the prior |
thMax | maximum delay of threshold variable |
thVar | the threshold variable |
nreps | total number of mcmc draws |
burnin | number of burn-in draws |
nthin | thinning parameter |
stabletest | test for stability |
alpha, beta | prior on the variance of the measurement equation |
tau2 | variance of the coefficients in the measurement equation (only used if priorm=2) |
c2 | factor for the variance of the coefficients (only used if priorm=2) |
li_prvar | prior on variance of coefficients (only used if priorm = 1) |
priorm | Selects the prior on the measurement equation, 1=Normal-Gamma Prior and 2=SSVS prior. |