I am currently trying to estimate a (recursive) constant-coefficient SBVAR using Sims and Zha (1998)'s prior.
I am running into an issue when using
contemp_reduced_form option. If the option is selected, the code with crash just before the Gibbs sampling step.
If I instead run the code without the
contemp_reduced_form option, the code finishes. However, the point estimates of the A0 matrix have different signs on some of the columns compared to the one produced with the
contemp_reduced_form option on.
How is this possible?
Attached are the code and data.
constantRecursiveBVAR.mod (462 Bytes)
MacroData.mat (18.4 KB)
The results of both cases are also included.
CRFoutdata_a0dp_const.mat (2.4 KB)
outdata_a0dp_const.mat (2.4 KB)
Thank you in advance!