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oo_.MeanForecast.Distribution

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oo_.MeanForecast.Distribution

Postby use » Sat Apr 20, 2013 4:12 pm

Hi,

How can be interpreted the data stored in oo_.MeanForecast.Distribution? How it is calculated, I can't find anything in the Manual.

Thank you!
use
 
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Re: oo_.MeanForecast.Distribution

Postby jpfeifer » Sun Apr 21, 2013 8:00 am

Given the state space representation of the model, Dynare uses the Kalman filter/smoother to compute forecasts. The "mean forecast" distribution is generated by taking draws for the parameters distribution generated in the MCMC and computing the forecasts for those draws. Given those forecasts, you can now compute statistics like the median or the 90% HPDI/percentiles. Does this answer your question?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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