Generalized Double Pareto Shrinkage Hyperparameters for Coefficients and Contemporaneous Coefficients

Set GDP hyperparameters for VAR or VHAR coefficient and contemporaneous coefficient.

Usage

set_gdp(shape_grid = 100L, rate_grid = 100L)

is.gdpspec(x)

Arguments

shape_grid

Griddy gibbs grid size for Gamma shape hyperparameter

rate_grid

Griddy gibbs grid size for Gamma rate hyperparameter

x

Any object

Value

gdpspec object

References

Armagan, A., Dunson, D. B., & Lee, J. (2013). GENERALIZED DOUBLE PARETO SHRINKAGE. Statistica Sinica, 23(1), 119–143.

Korobilis, D., & Shimizu, K. (2022). Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends® in Econometrics, 11(4), 230-354.