Bayesian VAR Error message

[econjunior]

Hi Professor Pfeifer,

I am trying to run a Bayesian VAR model, and I have followed the instructions in the paper "BVAR models 'a la Sims' in Dynare" to write my code.

Basically, the code I'm running is

"
var dx dy
varobs dx dy

bvar_irf(8,'Cholesky')

"

However, when I run this code, I receive the error message that although 2 variables are defined, no equations are defined.
As I followed the exact notation as in the paper listed above, I'm wondering what might be missing from this code.

Thank you so much for your time and help!

[jpfeifer]

Please provide the full files to replicate the issue

[econjunior]

Hi Professor Pfeiffer,

This is the code I used:

Code: Select all

var d_unemployment d_inflation d_depositrate d_lnusdtry;
varobs d_unemployment d_inflation d_depositrate d_lnusdtry;

bvar_irf(4,'Cholesky');
bvar_irf(50,'Cholesky');


I'm getting the following error message:

Code: Select all

Starting Dynare (version 4.4.3).
Starting preprocessing of the model file ...
ERROR: There are 0 equations but 4 endogenous variables!

Error using dynare (line 174)
DYNARE: preprocessing failed

I'm having issues attaching my dataset, but basically it is a four-variable dataset with 115 observations for each variable.

As I am running a BVAR and not a DSGE model, I thought that I did not need to specify a model and followed the same code as in "BVAR a la Sims", which consists of these lines of code, and not a model specification.

I would really appreciate it if you could assist me with this issue. Thank you so much for your time and help!

[jpfeifer]

Isn't there a

Code: Select all

bvar_density

statement missing as in
https://github.com/DynareTeam/dynare/blob/master/tests/bvar_a_la_sims/bvar_standalone.mod

Regarding data-files, you should always upload everything in one zip-file

[econjunior]

Thank you so much for your help!

I had one more question - is there a way to generate FEVDs for Bayesian VARs through Dynare?

Thank you again for your time Professor Pfeiffer

[jpfeifer]

No, I am not aware of any functionality that would allow you to do this automatically.