Procedure of Estimating a DSGE-VAR model

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

Procedure of Estimating a DSGE-VAR model

Postby rwhitt01 » Sun Nov 01, 2015 3:52 am

Hello 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
rwhitt01
 
Posts: 23
Joined: Tue Nov 11, 2014 5:50 pm

Return to Dynare help

Who is online

Users browsing this forum: No registered users and 11 guests