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Lag Order Selection

 

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Lag order of the VAR and DSGE-VAR models: Lets you select the number of lags of the VAR model with a steady-state prior as well as for the DSGE-VAR models. Integer values between 1 and 20 are supported.
Accept only stationary VARs for posterior sampling: When this option is check marked, the posterior draws of the VAR parameters for the VAR model with a steady-state prior as well as for the DSGE-VARs will only be accepted if all the roots to the VAR polynomial are outside the unit disc.

 

 

 


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