Commit 0baa7d7a authored by MichelJuillard's avatar MichelJuillard
Browse files

ms-sbvar: adding coefficients_prior_hyperparameters option to SBVAR

parent ad2bfdf1
......@@ -110,13 +110,9 @@ indxDummy = options_.ms.bayesian_prior; % 1: add dummy observations to the data
% options_.ms.dummy_obs=0; % no dummy observations
%end
%=== The following mu is effective only if options_.ms.bayesian_prior==1.
mu = zeros(6,1); % hyperparameters
mu(1) = 0.57;
mu(2) = 0.13;
mu(3) = 0.1;
mu(4) = 1.5; %1.4 or 1.5, faster decay, produces much better inflation forecast.
mu(5) = 5; %10;
mu(6) = 5; %10;
mu = options_.ms.coefficients_prior_hyperparameters;
% mu(1): overall tightness and also for A0;
% mu(2): relative tightness for A+;
% mu(3): relative tightness for the constant term;
......
......@@ -1463,6 +1463,7 @@ sbvar_option : o_datafile
| o_forecast
| o_upper_cholesky;
| o_lower_cholesky;
| o_coefficients_prior_hyperparameters;
;
sbvar_options_list : sbvar_option COMMA sbvar_options_list
......
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