/* SET_HP.G: set hyperparameters of prior distribution for SUR model
       	     John Rust, Yale University, April 1997 */


     proc (4)=set_hp;

         local b0,a0,rho0,r0,i;

	 /* Hyperparameters for artificial problem (corresponds
	    to first set of code in GET_DAT.G) 

         b0=zeros(4,1);
	 a0=eye(4);

	 rho0=10;
         r0=eye(2); */

         /* Hyperparameters for 3 stock version of Question 1 on
	    Midterm exam using ARCO, REXNORD and USR securities
	    (corresponds to second set of code in GET_DAT.G */

         let b0=0 1 0 1 0 1;
	 a0=eye(6);

	 rho0=10;
         r0=eye(3); 

         /* Hyperparameters for 64 stock version of Question 1 on
	    Midterm exam using all securities
	    (corresponds to third set of code in GET_DAT.G 

         b0=zeros(64*2,1);
	 a0=eye(64*2);

	 i=1; do until i > 128;

	     if (i%2 == 0);

		b0[i]=1;

             endif;

         i=i+1; endo;

	 rho0=70;
         r0=eye(64); */

     retp(b0,a0,rho0,r0);

     endp;