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mboeck11 / BGVAR

Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
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oil block, cholesky works and sign restrictions don't combine #23

Open laurencehendry opened 3 months ago

laurencehendry commented 3 months ago

Hi @mboeck11 @hdarjus @edoardochiarotti @eddelbuettel,

Noting there appears an issue when attempting to run BGVAR modelling when attempting to combine sign restrictions (and Cholesky) with an oil block - per https://cran.r-project.org/web/packages/BGVAR/vignettes/examples.html (see section titled “Different Specifications of the Model”) - I was able to identify monetary policy, say, in the US using Cholesky with the oil block included, but could not identify an IRF using sign restrictions with the oil block included. Sign restrictions (and Cholesky) work when I removed the oil block from the model, however.

mboeck11 commented 3 months ago

Can you please provide a reproducible example, then I'm happy to look into it.