Parameter Range Interpretation

Range

Interpretation

[0, 1]

Overall scale of the error covariance matrix

>0

Standard deviation around A₁ (persistence)

=1

Weight of own lag versus other lags

>0

Lag decay

≥0

standard deviation of intercept

≥0

Scale of standard deviation of exogenous variable coefficients

μ₅

≥0

Sum of coefficients/Cointegration (long-term trends)

μ₆

≥0

Initial observations/dummy observation (impacts of initial conditions)

v

>0

Prior degrees of freedom