RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR

Tom Doan ()

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 5.00
Keywords: BVAR; Bayesian VAR; Gibbs sampling (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/gibbsvar.rpf (text/plain)

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