Dynare forums

Hi,

I want to do a Bayesian estimation on a DSGE model without using the mcmc technique embedded in the Dynare package, but firstly I still need to solve for its state space representation of the policy function. Unfortunately, my model is too big to be solved by hand. I am wondering if dynare could solve the model without estimation and return me the analytical state space representation, i.e y_t=A*y_(t-1)+B*u_t? Thanks a lot for the help!

Regards,
Christina

You can do this by using e.g.

Code: Select all

kalman_transition_matrix

, see e.g. https://github.com/JohannesPfeifer/DSGE_mod/blob/master/FV_et_al_2007/ABCD_test.m
That being said, I would strongly discourage you from programming the MCMC itself outside of Dynare if there are not really good reasons for it. Programming this yourself is extremely error prone, while the Dynare routines are thoroughly tested. I would then rather recommend using the Schmitt-Grohe/Uribe solution and estimation routines.