EViews.com

Why are you saying that the hyperparameters are crazy?

Because the values are random machine noise.

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 4 and lambda5. Why?

The BVAR add-in and the built in BVAR estimation are completely separate.

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?

Because it was not implemented to allow you to do so.

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)?

Only if you're using EViews 7 (which didn't have the built in BVAR)

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?