Normal Inverse Wishart Prior

Questions and discussions on Vector Autoregressions
domdel
Posts: 2
Joined: Thu Jul 11, 2019 10:59 am

Normal Inverse Wishart Prior

Unread post by domdel »

Dear Tom,
I'm not sure what kind of prior is the prior used in the bayesian var estimation by using the order
specify(type=symmetric,tightness= .2) .5
I read in a post that the defect prior in Rats is the normal Wishart prior.
Would you clarify this doubt?
Thank you very much for your attention.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Normal Inverse Wishart Prior

Unread post by TomDoan »

Kadiyala and Karlsson refer to it as an "independent Normal" prior. The Normal-inverse Wishart will often give fairly similar results, but it requires Gibbs sampling as the sigma matrix isn't treated as fixed.

Kadiyala, K., & Karlsson, S. (1997). Numerical Methods for Estimation and Inference in Bayesian VAR-Models. Journal of Applied Econometrics, 12(2), 99-132.
domdel
Posts: 2
Joined: Thu Jul 11, 2019 10:59 am

Re: Normal Inverse Wishart Prior

Unread post by domdel »

Thanks you very much for your quickly answer Doan.
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