postARp {sectorgap} | R Documentation |
Draws the parameters of an AR process (AR parameters and variance).
Description
Draws the parameters of an AR process (AR parameters and variance).
Usage
postARp(Y, phi, phiDistr, sigma, sigmaDistr, const = NULL, constDistr = NULL)
Arguments
Y |
dependent variable |
phi |
autoregressive coefficient vector |
phiDistr |
prior distribution of autoregressive coefficient vector |
sigma |
innovation variance |
sigmaDistr |
prior distribution of innovation variance |
const |
constant |
constDistr |
prior distribution of constant |
Details
See "Chib, Siddhartha. "Bayes regression with autoregressive errors: A Gibbs sampling approach." Journal of econometrics 58.3 (1993): 275-294."
Value
A named vector of drawn parameters.
[Package sectorgap version 0.1.0 Index]