Hello, I am trying to understand why my model fails to meet BK conditions. Right know I am investigating proof of BK conditions from their paper. So i have specific question. Am I right that my model does not have jump variables?
Also, can you please give some literature about difference between predetermined and jump variables. BK paper is not very specific on this question.
Best regards.
data_mod.xlsx (12.8 KB)
m1.mod (2.0 KB)
I found out that there is no such prior with extremely loose standart error for BK to be satisfied. Any insights into why this can happen will be helpful.
m1.mod (2.0 KB)
Your model has a unit root. You need to use
the diffuse_filter-option.
Thank you for your answer.
I tried to set diffuse_filter option. However, it does not work either with forecast variance being singular. I have number of shocks greater than observation equations.
Is there any literature on how diffuse filter is performed? Not able to find any information about it in user manual.
m1.mod (2.0 KB)
data_mod.xlsx (12.8 KB)
Problem is solved. There was a typo