Procedure of Estimating a DSGE-VAR model
Posted: Sun Nov 01, 2015 3:52 amHello Everyone,
I have a question on the procedure of estimating a DSGE VAR model.
My current setup
----------------------
I have a model with 73 variables.
I estimated the model with 26 observed variables and the estimation ran without any problems.
How I am thinking of estimating a DSGE VAR of this model.
---------------------------------------------------------------------
1. Estimate the model with 26 observed variables
2. Then simulate the model
3. Save the Simulated data to a file (it will contain 73 variables)
4. Create a DSGE-VAR model. which is just the original model with new shocks added to match the shock count to the obs variable count (73 now)
5. Estimate the DSGE-VAR using the simulated data as the observed data
Is this the correct way to doing this or did I get it wrong?
I wish to thank you in advance for sharing your insights.
Regards,
Richard
I have a question on the procedure of estimating a DSGE VAR model.
My current setup
----------------------
I have a model with 73 variables.
I estimated the model with 26 observed variables and the estimation ran without any problems.
How I am thinking of estimating a DSGE VAR of this model.
---------------------------------------------------------------------
1. Estimate the model with 26 observed variables
2. Then simulate the model
3. Save the Simulated data to a file (it will contain 73 variables)
4. Create a DSGE-VAR model. which is just the original model with new shocks added to match the shock count to the obs variable count (73 now)
5. Estimate the DSGE-VAR using the simulated data as the observed data
Is this the correct way to doing this or did I get it wrong?
I wish to thank you in advance for sharing your insights.
Regards,
Richard