Grocer Function

NAME

bvar - performs bayesian VAR estimation

CALLING SEQUENCE

rbvar=bvar(nlag,tight,weight,decay,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Performs error bayesian VAR estimation. The lags of the var models are estimated with bayesian prior given by the parameters tight, weight and decay.

EXAMPLE

results = bvar(2,0.1,1,0.5,'illinos','indiana','kentucky','michigan'... ,'ohio','pennsyvlania','tennesse','westvirginia');

Example taken from function bvar_d(); endogenous variables are 'illinos','indiana','kentucky','michigan', 'ohio','pennsyvlania','tennesse','westvirginia'; # of lags set to 2; tight, weight and decay are set to 0.1,1 and 0.5.

AUTHOR

Eric Dubois 2002