Thank you very much for your help. I also have an issue with Modified Harmonic Mean when I try to estimate this model with 8lags, it says: “the support of the weighting density function is not large enough” and the posterior marginal density is -infinite, but it gives me the results and plots of IRFs. I tried to use Hessian or prior variance but it didn’t help, in the latter case the convergence graphs were really bad. Do you know why this may happen, as there is no this issue if I consider 5lags?
Another question is about priors: when I estimate the same model for another country, I get this for two of the priors (the priors are obtained from the estimates of independent AR(1) processes):
How can I fix this?
Thanks in advance for all the help.