bayesian estimation of threshold VAR
ftvar(mydata, factordata, priorObj, thMax, thVar, nreps, burnin, nthin, stabletest, alpha, beta, tau2, c2, li_prvar, priorm)
| mydata | data |
|---|---|
| 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. |