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

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.

Value

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

Author(s)

Patrick T. Brandt

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))

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(MSBVAR)
##
## MSBVAR Package v.0.9-2
## Build date:  Mon Jul  4 19:52:59 2016 
## Copyright (C) 2005-2016, Patrick T. Brandt
## Written by Patrick T. Brandt
##
## Support provided by the U.S. National Science Foundation
## (Grants SES-0351179, SES-0351205, SES-0540816, and SES-0921051)
##

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/MSBVAR/decay.spec.Rd_%03d_medium.png", width=480, height=480)
> ### Name: decay.spec
> ### Title: Lag decay specification check
> ### Aliases: decay.spec
> ### Keywords: ts
> 
> ### ** 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))
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>