Set conjugate N-IW priors as in matlab code of Koops-Korobilis

Set conjugate N-IW priors as in matlab code of Koops-Korobilis

KK_code_priors(Y_in, Z_in = NULL, constant = TRUE, p = 4)

Arguments

Y_in	multivariate time series
Z_in	exogeneous variables
constant	logical, default is TRUE, whether the constant should be included
p	number of lags

Value

priors list containing Phi_prior [k x m], Omega_prior [k x k], S_prior [m x m], v_prior [1x1], where k = mp+d

Details

Set conjugate N-IW priors as in matlab code of Koops-Korobilis. Mainly for testing.

Examples

data(Yraw)
priors <- KK_code_priors(Yraw, p = 4)
model <- bvar_conjugate0(priors = priors, keep = 100)