Hello.
The manual (http://www.dynare.org/manual/index_31.html) tells us that ms_estimation command has coefficients_prior_hyperparameters option that equals by default to [1.0 1.0 0.1 1.2 1.0 1.0]. What do "tightness for A0 and A+ " and "relative tightness for A+ " mean (first and second hyperparameters)? Are these standard deviations? And is there needed any normalization of data or Dynare does this by itself?
Thank you in advance
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Markov switching bayesian VAR
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Markov switching bayesian VAR
by bercerder » Fri May 08, 2015 7:30 am
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Re: Markov switching bayesian VAR
by jpfeifer » Sun May 10, 2015 1:59 pm
The notation here follows Sims/Zha (1998): Bayesian Methods for Dynamic Multivariate Models, International Economic Review, http://www.jstor.org/stable/2527347. See also http://www.dynare.org/DynareWiki/MarkovSwitchingInterface
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