I am currently working on a replication of a paper where i should use a markov switching SBVAR, estimate it and compare models with marginal data densities.
The code structure is:
The code is fine finding estimates of A0 and A+ however for the MDD part i am getting the following error. What should be the possible reason of it?
MS-SBVAR Marginal Data Density
Unable to open est_final_testv016.out
Processing posterior draws
Matrix not positive definite.