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compare dsge model wiht bayesian var

PostPosted: Sun Jul 09, 2017 5:31 am
by bowencheng
Hi!
after I finished doing bayes estimation of dsge model .I saw in many papers ,the author just compare the model with the bvar or var .do they want to evaluate the
forecasting ability of the model or something else? how does dynare can help to do it ,which command?thank you so much!

Re: compare dsge model wiht bayesian var

PostPosted: Mon Jul 10, 2017 2:11 pm
by jpfeifer
There is no command for doing that as it requires an estimated structural VAR. If you have outside evidence from identified shocks in a VAR, you can compare the IRFS to the ones from the model. But that requires you to come up with an identification scheme in the VAR.