%% Specify Innovations Covariance Matrix
% Consider the 3-D VAR(4) model of docid:econ_ug#mw_34d57d6f-313b-45bd-b28c-680a8b0d2855.
% Suppose econometric theory dictates that
% \Sigma = \left[ {\begin{array}{*{20}{c}}
% {{{10}^{ - 5}}}&0&{{{10}^{ - 4}}}\\
% 0&{0.1}&{ - 0.2}\\
% {{{10}^{ - 4}}}&{ - 0.2}&{1.6}
% \end{array}} \right].
% Create a normal conjugate prior model for the VAR model coefficients. Specify the value of \Sigma.

numseries = 3;
numlags = 4;
Sigma = [10e-5 0 10e-4; 0 0.1 -0.2; 10e-4 -0.2 1.6]; 

PriorMdl = normalbvarm(numseries,numlags,'Sigma',Sigma)

% Because \Sigma is fixed for normalbvarm prior models, PriorMdl.Sigma and PriorMdl.Covariance are equal.

PriorMdl.Sigma
PriorMdl.Covariance

% Copyright 2019 The MathWorks, Inc.