IndependentNormalWishartPrior.exogenous

IndependentNormalWishartPrior.exogenous: float

Looseness of the deterministic and exogenous block \(\lambda_4\).

The intercept, any trend, and any exogenous regressor get standard deviation \(\lambda_1 \lambda_4 s_i\), four orders of magnitude looser than an own lag at the default. Finite, so the prior is proper and Chib’s estimator applies. Must be positive.