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Re: st: Bayesian VARs
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Bayesian VARs
Date
Fri, 29 Oct 2010 13:01:46 -0400
Sebastian,
You would need a method of formulating the prior distribution
and its hyperparameters. If you wanted to use a noninformative
prior you could set one up on sspace using a diffuse prior.
You could try constraining the means and variances for the
C and G matrices in sspace.
Otherwise, you might have to resort to WinBUGS using Stata.
Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Sebastian Kruk <[email protected]>
Date: Wednesday, October 27, 2010 4:08 pm
Subject: st: Bayesian VARs
To: [email protected]
> Hi everyone!
> Is there any way to perform BVARs estimation using stata 11?
> Thanks in advance!
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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