Running a SVAR on simulated endogenous variables

[Luciano]

Dear all,

I was wondering what would be the most efficient way of running a SVAR on the simulated endogenous variables from a calibrated linear DSGE model in dynare. I want to run 1000 simulations and estimate 1000 SVAR on the simulated data. Obviously I am looking for 1000 different series for a period of T observations.

I apologise if it is something trivial to do but I am relatively new to dynare

Many Thanks

Best Wishes

Luciano

[jpfeifer]

With the

Code: Select all

simul_replic

option you can generate 1000 samples. The get_simul_replications.m at https://sites.google.com/site/pfeiferecon/dynare can be used to write them into a matrix. You then only need to loop over the sample dimension for the SVAR.