CANMODEL—Selection of prior for VAR

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

CANMODEL—Selection of prior for VAR

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CANMODEL.RPF is an example for setting up and choosing a Bayesian VAR (BVAR) for forecasting purposes. It chooses a prior for the BVAR based upon simulated out-of-sample forecasting performance.

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