set up Stochastic Search Variable Selection Prior
set_prior_ssvs(mydata, factordata = NULL, no_factors = 0, nolags, intercept = TRUE, tau, kappa)
| mydata | data |
|---|---|
| factordata | data for factor models |
| no_factors | number of factors (not yet implemented) |
| nolags | number of lags (not yet implemented) |
| intercept | whether the model has an intercept |
| tau | parameter for prior on coefficients |
| kappa | parameter for prior on variance-covariance matrix |
returns an S3 object of the class ""minnesota"
K. Rao Kadiyala and Sune Karlsson, Numerical Methods for Estimation and Inference in Bayesian VAR-Models, Journal of Applied Econometrics 12(2), 99-132
Gary Koop and Dimitris Korobilis (2010), Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, Foundations and Trends in Econometrics 3(4), 267-358
Dimitris Korobilis (2013), VAR Forecasting using Bayesian Variable Selection, Journal of Applied Econometrics 28(2),204-230