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Error including exogenous variables in FAVAR #36

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zemw opened this issue Apr 25, 2023 · 0 comments
Open

Error including exogenous variables in FAVAR #36

zemw opened this issue Apr 25, 2023 · 0 comments

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@zemw
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zemw commented Apr 25, 2023

Including exogenous variables in FAVAR results in an error. The problem seems to be caused by favar_gensample2.m (Ln 9-10), in which the data are truncated to keep only endogenous variables. When it comes to checking the exogenous variables in gensample.m (Ln 96), the exogenous variables are not in the variablestrings.
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