%% Specify High Tightness for Lags and Response Names
% In the 3-D VAR(4) model of docid:econ_ug#mw_cd58ae3c-2c1a-4cf7-8003-57ded1cd7ed7, consider excluding lags 2 and 3 from the model.
% You cannot exclude coefficient matrices from models, but you can specify high prior tightness on zero for coefficients that you want to exclude.
% Create a semiconjugate prior model for the 3-D VAR(4) model parameters. Specify response variable names.
% By default, AR coefficient prior means are zero.  Specify high tightness values for lags 2 and 3 by setting their prior variances to 1e-6. Leave all other coefficient tightness values at their defaults:
% 1 for AR coefficient variances
% 1e3 for constant vector variances
% 0 for all coefficient covariances

numseries = 3;
numlags = 4;
seriesnames = ["INFL"; "UNRATE"; "FEDFUNDS"];
vPhi1 = ones(numseries,numseries);
vPhi2 = 1e-6*ones(numseries,numseries);
vPhi3 = 1e-6*ones(numseries,numseries);
vPhi4 = ones(numseries,numseries);
vc = 1e3*ones(3,1);
Vmat = [vPhi1 vPhi2 vPhi3 vPhi4 vc]';
V = diag(Vmat(:));
PriorMdl = semiconjugatebvarm(numseries,numlags,'SeriesNames',seriesnames,...
    'V',V)

% Copyright 2019 The MathWorks, Inc.
%