Estimated Parameters - BVAR

[measilva]

Dear all,

I have a couple of questions:

1.Where the estimated parameters in the BVAR routine are saved in Dynare?

2.Is it possible to estimated the hyperparameters based on a presample within the BVAR routine?

Thanks

[StephaneAdjemian]

Hi Marcelo,

The parameters of the BVAR's posterior distribution are not saved. You have to edit the code if you want to save this information. The matlab function bvar_toolbox computes the posterior distribution and returns it in the third output argument (named posterior). This argument is a matlab structure gathering the hyperparameters of the posterior distribution. You will find clues for using this structure in the file bvar_forecast.m. In the same file you can add a command (after line 37) to save the structure posterior.

Best,
Stéphane.