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ankargren / mfbvar

R package for Mixed-Frequency Bayesian VARs
https://ankargren.github.io/mfbvar
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Issue with estimate_mfbvar #19

Open PhilipLK opened 3 years ago

PhilipLK commented 3 years ago

Dear Mr. Ankergren,

trying to estimate the model with the steady state prior and the csv variance, I get the following error message:

error: chol(): decomposition failed Error in mcmc_ssng_csv(Y[-(1:n_lags), ], Pi, Sigma, psi, phi_mu, lambda_mu, : chol(): decomposition failed

As I also use many variables I followed the other thread suggesting to try out different intervals for the prior of psi. The error still occurs. Same for the Minnesota prior. Tracing back the code, the problem must be the prior_Pi_Omega part called from the mcmc_sampler.mfbvar_ss_csv function, at least I have seen no other Cholesky decomposition for another argument. Could it be that the prior_Pi_Sigma function returns a matrix with the wrong format or containing NAs for the prior of Pi?

Thanks in advance

ankargren commented 3 years ago

Can you provide a reproducible example?

Simply-Adi commented 3 years ago

Hello, this is not an issue but a request for clarification. Could you kindly put up a tutorial on how to estimate steady-state priors of the mean intervals (shown below)?

Capture

Source: paper

I read the above paper and could get that you used the hierarchical method. But, I did not understand how you applied the method in the example you used in the paper.

PS: I am not from a pure statistics background.