BVAR syntax with deterministic variables

[dsinigaglia]

Dear all,

I have a question regarding the use of the new features bvar_density and bvar_forecast in Dynare version 4. More specifically, I was wondering if and how I could do the following:

i) Use the bvar_density estimation command, while considering also deterministic variables such as deterministic trends, seasonal dummies or even other ‘exogenous’ variables (i.e., such as current and past values of prices of certain commodities);

ii) Use the bvar_forecast with given paths for exogenous variables, such as declaring the paths for seasonal dummies or other exogenous variables (such as scenarios for commodity prices) ;

iii) Finally, I was wondering on how I could use bvar_forecast while considering a given path for endogenous variables. The idea is to test the sensitivity of endogenous variables for a given path for other endogenous variables. For example, what would happen with price level and level of activity under a certain (given) path for a policy variable (say, interest rate).

I have checked the documentation on bvar estimation and I have not found any information that could help me in this regard. Could anyone possibly give me a hint on how to proceed? I would appreciate any help.

I hope to hear from you guys soon.

Best regards,

Daniel

[SébastienVillemot]

Hi,

Unfortunately all these features are not implemented at this time.

You need to modify the source code of bvar_forecast if you want to implement them.

Best,