Gibbs Var with Minnesota Prior and Exogenous Variables

Questions and discussions on Vector Autoregressions
TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

Re: Gibbs Var with Minnesota Prior and Exogenous Variables

Unread post by TomDoan »

Sure. Inverse wishart prior is natural for that model. However, while possible, it's not clear why you would do that---unless you have a very short data set, the covariance matrix is reasonably well estimated without the need for a prior.
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