Normal Inverse Wishart Prior

[domdel]

Dear Tom,
I'm not sure what kind of prior is the prior used in the bayesian var estimation by using the order
specify(type=symmetric,tightness= .2) .5
I read in a post that the defect prior in Rats is the normal Wishart prior.
Would you clarify this doubt?
Thank you very much for your attention.

[TomDoan]

Kadiyala and Karlsson refer to it as an "independent Normal" prior. The Normal-inverse Wishart will often give fairly similar results, but it requires Gibbs sampling as the sigma matrix isn't treated as fixed.

Kadiyala, K., & Karlsson, S. (1997). Numerical Methods for Estimation and Inference in Bayesian VAR-Models. Journal of Applied Econometrics, 12(2), 99-132.

[domdel]

Thanks you very much for your quickly answer Doan.