Book/Paper reference
Posted: Mon Jul 27, 2015 7:43 amWhat's the book/paper you are referring to as "Forecast II" in the code of ms-sbvar functions (e.g. ms_sbvar_setup.m)?
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Book/Paper reference
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Posted: Mon Jul 27, 2015 7:43 amRe: Book/Paper reference
Posted: Tue Jul 28, 2015 7:06 amSorry, but what exactly do you mean. What is "Forecast II"?
Re: Book/Paper reference
Posted: Tue Jul 28, 2015 9:26 amjpfeifer wrote:Sorry, but what exactly do you mean. What is "Forecast II"?
For example, from file fn_rnrprior_covres_dobs.m:
"Computing the (prior) covariance matrix for A0, no data yet.
% As proved in pp.69a-69b, Forecast II, the following prior covariance of A0
% will remain the same after the dummy observations prior is incorporated.
% The dummy observation prior only affects the prior covariance of A+|A0.
% See pp.69a-69b for the proof."