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FK83 / bvarsv

Analysis of the Primiceri (REStud, 2005) model
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How many variables can be processed by the bvar.sv.tvp function ? #5

Closed runnytone closed 5 years ago

runnytone commented 6 years ago

Thanks for your contribution. How many variables can be processed by the bvar.sv.tvp function ? I always got the following error whenever I put more than three variables in the function. It works well if I give it only three or two variables. Thank you.

Error in solve.default(vbar) : 
  system is computationally singular: reciprocal condition number = 1.15536e-18
FK83 commented 5 years ago

Most applications of the model that I know indeed focus on three variables. Given its complexity and flexibility, the model does not appear to scale well to a larger number of variables. Perhaps it helps to reduce the amount of time variation in the model by setting some of the priors accordingly (see Section 2.2 in https://github.com/FK83/bvarsv/blob/master/bvarsv_Nov2015_website.pdf).

Best wishes, Fabian