Gibbs Sampling for near-VAR

[TomDoan]

This is a revised version of the MonteSUR program (for doing impulse responses on a near-SUR model). It estimates the model using Gibbs sampling and uses the @MCGraphIRF procedure for doing the graphs. This uses a standard Choleski factorization. For a near-VAR with a structural contemporaneous model, see http://www.estima.com/forum/viewtopic.php?f=8&t=1582.

montesur.rpf

Program file

(2.07 KiB) Downloaded 33 times

haversample.rat

Data file

(223 KiB) Downloaded 47 times

surgibbssetup.src

Required procedures

(5.1 KiB) Downloaded 166 times

The use of the SUR-Gibbs procedures is described in greater detail in the Bayesian Econometrics e-course (http://www.estima.com/forum/viewtopic.php?f=24&t=483).