BVAR à la Sims

[MelleMa]

Dear all,

do I understand correcly that it is not possible to retrieve posterior distributions of BVAR parameters? Just moments of forecasts and rmse?
Thank you very much in advance!

[jpfeifer]

Currently that is not possible. But within bvar_density.m you can change

Code: Select all

    [ny, nx, posterior, prior] = bvar_toolbox(nlags);

to

Code: Select all

    [ny, nx, posterior, prior] = bvar_toolbox(nlags);
    oo_.bvar.posterior{nlags}=posterior;
    oo_.bvar.prior{nlags}=prior;


to store the prior and posterior in oo_.

[MelleMa]

Thank you very much for your reply!

[jpfeifer]

Starting with tomorrow, the unstable version will save this information