BVAR à la Sims

Dear all,

do I understand correcly that it is not possible to retrieve posterior distributions of BVAR parameters? Just moments of forecasts and rmse?
Thank you very much in advance!

Currently that is not possible. But within bvar_density.m you can change


[ny, nx, posterior, prior] = bvar_toolbox(nlags); oo_.bvar.posterior{nlags}=posterior; oo_.bvar.prior{nlags}=prior;
to store the prior and posterior in oo_.

Thank you very much for your reply!

Starting with tomorrow, the unstable version will save this information