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And if I want to include exogenous variables in the BVAR model? Since the hyperparameters lambda 4 and lambda5 controls for exogenous variables, should I consider the BVAR add-in instead of the built in BVAR estimation?
What are the implications of do not define lambda4 and lambda5?

It is a tautology :)

I am a newbie in this methodologies.
I am just trying to understand the (un)usefulness of the specifications.
Are there any pratical advantages (in terms of forecasting gains) in using the BVAR add-in instead of the built in BVAR estimation (or vice-versa)?

Ok, Gareth but why one can only specify 6 hyperparameters instead of 8 as in Sims-Zha NW approach?
Why cann't we define values for lambda2, lambda 4 and lambda5?
Why cann't we set the mean of the AR(1), mu, also?

OK, thank you. So you will fix the bug and then an update will be available? Another question: in the first version of the BVAR addin the user must specify 8 scalars (lambda0 to lambda5, mu5 and mu6) as in Brandt and Freeman's 2006 paper. In this version one cannot define values for lambda2, lambda ...

Why are you saying that the hyperparameters are crazy?

Thank you.
It is possible to use wild cards in vector.fill argument? The scalars begin with the same letters.

Yes, it is really weird. It is suppose to work fine since it is not possible to have perfect multicollinearity.
Let's wait for forum moderation's insights.

Yes it is.
Did you try to estimate the BVAR with Sims-Zha Normal Wishart priors with variables in levels?

Dear all,
Does anybody have an idea about the aforedmentioned problem?
Thank you.

I was thinking in put the scalars name into a string and then loop over the string.

It is possible?

There are 300 scalars.
I want to fill 3 matrices with 3 different loops.
Why do you ask? If there was only 100 scalares the procedure will be different?
Thank you, Gareth.

Thank you, but the scalars dont have an ordinal name.
Their name do not reflect any order. Is there any alternative?

I have 100 scalars and I want to put them into a column vector.
How can I do it with a loop?
Thank you.

Please find attached the workfile.
I get the error message "near singular matrix" if i consider the variables in levels.
With growht rates (prefix "dl") I don't have any problem.
Any idea?
Thank you.

I am using Sims-Zha NW prior to estimate a BVAR model.
When I use growth rates I don't have any problem. However, when I use the same variables but in levels I get the error "Near singular matrix".
Do you have any idea what is going on?