Bayesian estimation yet

Dears users, I have a problem with Bayesian estimation of my model, since I can only estimate with the inclusion of only one Bstar variable, what is happening that I can not use the others?

Best regards

Thanks! (21.1 KB)

It’s hard to tell. The fact that adding any other observable leads to issues indicates a numerical problem rather than standard stochastic singularity. Are you sure your data treatment is correct? Your data features an extremely large standard deviation. Y is between -40 and +40. With the usual shock sizes, this is hard to capture.

Yes, porfessor! The HP filter was used. So I do not know what else I can do to make the variance of the data less variant.

  1. You should not use the two-sided HP filter for estimation. See Demean the series or not
  2. Did you take the log before filtering for growing variables? And was the underlying data seasonally adjusted?

I did not get the log before, but they were adjusted seasonally. So, would you advise me to take the log and then adjust seasonally?

That explains it. You need to make sure the scaling of your model variables and the data are consistent. That is currently not the case. Please read my Guide to Observation Equations.

Ok, professor! Really thanks.