Is the simulation (using McMc or Gibbs sampler) used for prior estimates in Bayesian VAR Model?

16 January 2023 1 2K Report

We are estimating Bayesian VAR model. We need a simple clarity regarding estimation process. We want to know that is the simulation (using McMc or Gibbs sampler) used for prior estimates in Bayesian VAR Model?

Wim Kaijser

Gibbs sampling is an MCMC method: https://en.wikipedia.org/wiki/Markov_chain_Monte_Carlo. It is indeed used to obtain the posterior values of the VAR model if this is what you mean by VAR model: https://en.wikipedia.org/wiki/Bayesian_vector_autoregression.

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