BVARBUILDPRIOR Procedure

@BVARBuildPrior builds a prior for an equation in a BVAR (Bayesian VAR) one element at a time. Each element is independent of the others and Normally distributed. @BVARBuildPriorMN uses this (repeatedly) to build up a prior for a full BVAR.

@BVarBuildPrior( options ) hbpriors hpriors

Parameters (required)

hbpriors	VECT[VECT] accumulation of precision matrix \(\times\) prior mean vectors for the elements of the prior.
hpriors	VECT[SYMM] accumulation of the precision matrices for the elements of the prior.

Options

EQUATION=equation defining the form of the estimated equation

INIT/[NOINIT]

Initialize (dimension and zero out) the hbprior and hprior

STDDEV=prior standard deviation for coefficient [1 if V isn't used]

V=prior variance

One of these two is used to set the variance of the prior

POSITION=coefficient position

MEAN=prior mean for coefficient [0]

These two (plus one of STDDEV and V) handle the standard priors on individual coefficients.

X=x vector for dummy observation

Y=y value for dummy observation

These handle "dummy observation" priors: ones of the form \(y=x\beta+e\)