Confidence interval in dynare
Posted:
Mon Nov 16, 2009 1:59 amby leonardof
I`m estimating a DSGE model in Dynare but i don`t know which confidence intervals are being used in the irf pictures. I think one of them is the 90% confidence interval, but i `don`t know the others. There are 4 green lines above the median and 4 green lines below the median. Can somebody help me?
Re: Confidence interval in dynare
Posted:
Sat Nov 28, 2009 6:07 pmby pakocica
Hi,
you are right, one of them is 90% confidential interval, this setting you can change by setting the parameter options_.mh_conf_sig. The black line is mean.
The 4 green lines above and below median are related to the Kalman filter. The Dynare team refers to the paper: Filtering and Smoothing of State Vector for Diffuse State Space Models", S.J. Koopman and J. Durbin (2003, in Journal of Time Series Analysis, vol. 24(1), pp. 85-98).
Hope it helps!
Pavel