Bayesian VAR Prior Comparison

EViews 11 introduces a completely new Bayesian VAR engine that replaces one from previous versions of EViews. The new engine offers two new major priors; the Independent Normal-Wishart and the Giannone, Lenza and Primiceri, that compliment the previously implemented Minnesota/Litterman, Normal-Flat, Normal-Wishart and Sims-Zha priors. The new priors were enhanced with new options for forming the underlying covariance matrices that make up essential components of the prior.