What’s the book/paper you are referring to as “Forecast II” in the code of ms-sbvar functions (e.g. ms_sbvar_setup.m)?

Sorry, but what exactly do you mean. What is “Forecast II”?

For example, from file fn_rnrprior_covres_dobs.m:

“Computing the (prior) covariance matrix for A0, no data yet.

% As proved in pp.69a-69b, Forecast II, the following prior covariance of A0

% will remain the same after the dummy observations prior is incorporated.

% The dummy observation prior only affects the prior covariance of A+|A0.

% See pp.69a-69b for the proof.”