The RATS Software Forum

Hi Everyone,

Just a quick question. I am trying to estimate a Bayesian VAR (BVAR) through the option in the Menu Bar (Time Series-VAR(Setup/Estimate)). But after estimating it, I was wondering if the MCVARDODRAWS Procedure can help to estimate the IRF´s of that BVAR or not?

And just to clarify...that BVAR allows me to estimate the standard errors for the IRF´S through Bayesian method or not?

Thanks so much,

Fernando

No. @MCVARDODRAWS applies only to an OLS VAR (which has a covariance matrix for the coefficients which "factors" into two easily handled pieces). GIBBSVAR.RPF shows how to use Gibbs sampling to do draws from a BVAR.

Thanks so much, Dear Tom. I appreciate it, Fernando.