[R] Bayesian VAR

[Eduardo Teixeira Olinto]

Hi,

I am working on a modelling project for Brazilian inflation, for which I am tempted to use the BVAR package in R. I read the paper and the documentation and yet I could not find any further information on how the values of the hyperparameters of the Minnesota prior (bv_lambda, bv_alpha, bv_psi) should be chosen. While testing the package, I am getting several bugs for which there is not enough information on how to fix, only the fact that the values of these hyperparameters are not correctly set up. I could not find anything online either, which is why I am sending this email. Is it possible you can help me?

Thank you,

Eduardo Olinto, JGP


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