Support priors other than the Minnesota family

[nk027]

Finally we got a request on whether shrinkage priors (Normal-Gamma, Dirichlet-Laplace, etc.) are supported by bvar(). I think this would be a cool extension for an expanded package, and should be doable w/out messing up the API too much. However, there's relatively few requests for this feature and implementing it would be a bit involved. Let's see whether there's demand in the future ...

[RightHandOfDoom]

There is demand in the present ! ;)
It would be great if it could be implemented.

[gregorkastner]

A variety of continuous shrinkage priors is implemented in bayesianVARs (https://cran.r-project.org/package=bayesianVARs).