drawrescov |

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.

See also
Var::drawcoefs.