I am trying to estimate a structural VAR model using traditional sign and zero restrictions for the identification of shocks and Minnesota priors. When I adapt the (working) code to run on my data, I am unable to generate any successful draws in the Gibbs sampling phase. I have tried playing around with the settings of the Minnesota prior, as well as number of observations, number of variables, number of restrictions, running the model in First-Differences, and still can’t get any successful draws. Does anyone have any ideas as to why this might be happening or anything I can try next?
Thanks in advance,
AlexI am trying to estimate a structural VAR model using traditional sign and zero restrictions for the identification of shocks and Minnesota priors. When I adapt the (working) code to run on my data, I am unable to generate any successful draws in the Gibbs sampling phase. I have tried playing around with the settings of the Minnesota prior, as well as number of observations, number of variables, number of restrictions, running the model in First-Differences, and still can’t get any successful draws. Does anyone have any ideas as to why this might be happening or anything I can try next?
Thanks in advance,
Alex I am trying to estimate a structural VAR model using traditional sign and zero restrictions for the identification of shocks and Minnesota priors. When I adapt the (working) code to run on my data, I am unable to generate any successful draws in the Gibbs sampling phase. I have tried playing around with the settings of the Minnesota prior, as well as number of observations, number of variables, number of restrictions, running the model in First-Differences, and still can’t get any successful draws. Does anyone have any ideas as to why this might be happening or anything I can try next?
Thanks in advance,
Alex time series, svar model, economics MATLAB Answers — New Questions

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