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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

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