GIBBSVAR: RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This is an example of the use of Gibbs sampling applied to a VAR with a standard Minnesota prior. Different priors can be handled by changing the way that bprior and hprior (the mean and precision of the prior) are created.

Language: RATS
Requires: RATS 11.00
Keywords: BVAR; Bayesian VAR; Gibbs sampling (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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