Way back @bgoodri was referenced in @James_Savage post about hierarchical vars at https://khakieconomics.github.io/2016/11/27/Hierarchical-priors-for-panel-vector-autoregressions.html , concerning estimation of a weighted correlation matrix between global and local correlation matrices, \Omega = …

Weighted correlation matrices and cholesky_factor_corr

Joran May 17, 2020, 6:04pm 7

Ahh, ok! But you don’t get an estimate for the overall (group-level) covariance matrix then right?

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