MONTESUR.RPF—Gibbs Sampling for near-VAR

[TomDoan]

MONTESUR.RPF uses Gibbs sampling for doing impulse responses with error bands for a near-VAR model using a standard Cholesky factorization for the contemporanenous model.

Detailed description

The use of the SUR-Gibbs procedures is described in greater detail in the Bayesian Econometrics e-course.

[viking76]

Dear Tom,

I would like to ask you which kind of prior are you using in the file montesur.rpf. I am not able to figure it out.

Thanks

Adrian

[TomDoan]

Flat on the coefficients, standard Jeffrey's prior on the covariance matrix.