MSBVAR (version 0.2.2)

mcmc.szbsvar: Gibbs sampler for coefficients of a B-SVAR model

Description

Draws a posterior sample of the reduced form coefficients for a Bayesian SVAR model

Usage

mcmc.szbsvar(varobj, A0.posterior)

Value

A list of the class "mcmc.bsvar.posterior" with the following components:A0.posterior$m \times m \times N2$ array of the posterior matrices $A_0$.B.sample$N2 \times ncoef$ matrix of the reduced form coefficients for the SVAR.

Details

This function draws the parameters from the Bayesian SVAR model described by Waggoner and Zha (2003). The details can be found in szbsvar. The draws are done for the SVAR model and then translated into the reduced form parameters.

References

Waggoner, Daniel F. and Tao A. Zha. 2003. "A Gibbs sampler for structural vector autoregressions" Journal of Economic Dynamics & Control. 28:349--366.

See Also

szbsvar

Examples

varobj <- szbsvar(Y, p, z = NULL, lambda0, lambda1, lambda3, lambda4,
                  lambda5, mu5, mu6, ident, qm = 4)
posterior <- mcmc.szbsvar(varobj, N1, N2)