MSBVAR (version 0.9-2)

decay.spec: Lag decay specification check

Description

Provides a quick way to visualize the lag decay specification in a BVAR model for given parameters by computing the variance of the prior VAR coefficients across various lags.

Usage

decay.spec(qm, p, lambda)

Arguments

qm

Periodicity parameter: either 4 or 12 for quarterly or monthly data.

p

Number of lags

lambda

Lag decay parameter [>0], which is lambda3 in the Sims-Zha BVAR specification in szbvar

Value

A time series of length p of the prior variances for each lag.

Details

Computes the relative decay in the prior variance of the VAR prior across the lags from 1 to p. Useful for visualizing the rate of decay or how tight the prior becomes at higher order lags.

References

Sims, C.A. and Tao Zha. 1998. "Bayesian Methods for Dynamic Multivariate Models." International Economic Review. 39(4):949-968.

See Also

szbvar

Examples

# Harmonic lag decay example
harmonic <- decay.spec(4, 6, 1)

# Quadratic lag decay example
quadratic <- decay.spec(4, 6, 2)

plot(cbind(harmonic,quadratic))