Draw from the posterior coefficient distribution.
Draws samples from the posterior residual covariance distribution of a Bayesian VAR and saves the individual draws into a matrix object. Each row of the matrix will contain the vec’d form of the covariance matrix from a single draw.
Syntax
var_name.drawrescov(options) matrix_name
Options
draws=integer (default=1000) | Number of draws. |
burn=arg (default=0.1) | Proportion of initial draws to discard (only applicable if Bayesian VAR was estimated with “prior=inw”) |
seed=integer | Random number seed. |
Examples
var1.drawrescov(draws=10000) vardraws
will create a matrix object, VARDRAWS, with 10,000 rows, containing draws from the posterior residual covariance distribution.
Cross-references
See
“Bayesian VAR Models” for details on drawing from the posterior distributions.