TVARSET—Set up VAR matrices for time-varying coefficients
Posted: Tue Nov 11, 2025 9:19 am
@TVARSET sets up a VAR SYSTEM for time-varying coefficients estimation. It is based upon the standard Minnesota prior for the mean with the variances for time variation derived proportionately from those. An example of its use is provided in TVARSET.RPF.
Detailed Description
Detailed Description