Examples of Bayesian vector autoregression (BVAR)

[marcusingholt]

I am looking for examples of Bayesian vector autoregression (BVAR) estimation in Dynare.

I have read the example in bvar-a-la-Sims.pdf, and am looking for something more elaborate. In particular, how do I retrieve the estimated coefficient matrix and impulse response functions? And how do I choose the hyperparameters for the prior distribution?

I am trying to replicate the BVAR's in Figure 2 of Liu, Miao, and Zha (JME, 2016): Land prices and unemployment, see here: http://www.sciencedirect.com/science/ar ... 3216300290.

Yours sincerely,
Marcus Mølbak Ingholt
Ph.D. Candidate
University of Copenhagen

[jpfeifer]

Unfortunately, there seem to be not many examples of this part of the code and it is poorly documented. If you have specific questions, I can try to guide you, but I am also no expert on this part of the code.

1. The posterior information is saved in

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oo_.bvar.posterior

in the unstable version.
2. To generate IRFs, you need to call

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bvar_irf(8,'Cholesky');

where the first number is the lag number. Results are saved in

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oo_.bvar.irf

[marcusingholt]

Dear Johannes,

Thank you for your previous reply.

I have one additional question concerning the "bvar_irf" command. Is it possible to:

• Increase the number of periods on which to compute the IRFs?
• Change the confidence interval that is used when reporting IRFs?

These options do not appear to be available in bvar-a-la-Sims.pdf or on the "bvar_irf" description website.

Yours sincerely,
Marcus Mølbak Ingholt

[jpfeifer]

Thanks for pointing this out. Before the

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bvar_irf

command put

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options_.irf=40;
options_.bvar.conf_sig=0.6;


to change the IRF length to 40 and the HPDI coverage to 60 percent.

[marcusingholt]

That is great. Thanks a lot!