GLP-prior with auto-series

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MiWe
Posts: 4
Joined: Fri Dec 04, 2020 2:43 am

GLP-prior with auto-series

Postby MiWe » Fri Dec 04, 2020 4:13 am

Hello, in BVAR-Estimation with Giannone, Lenza & Primiceri-prior I get the error message „Auto-series not allowed in Bayesian VAR sampling“. But it works with other priors. Is there a reason why, or is there something wrong?
It would be a great help to work with auto-series (d,log,@pcy,…).
Thanks, Michael
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: GLP-prior with auto-series

Postby EViews Gareth » Fri Dec 04, 2020 8:58 am

The sampling/optimization algorithm used for GLP doesn't work with auto-series.
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