DSGE-VAR results location

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DSGE-VAR results location

Postby jdacuddy » Sat Dec 04, 2010 3:08 pm

Hello,

With reference to
http://www.dynare.org/DynareWiki/DsgeVar?highlight=(dsge\-var)
does Dynare calculate and preserve the matrices A(i) of parameters for a BVAR estimated under the DSGE-VAR procedure using the posterior mode/mean of the DSGE parameters? If so, where can one find them?

Regards
Prof. J.D.A. Cuddy
Graduate Institute of International Studies
132, rue de Lausanne
CH-1211 Geneva Switzerland
john.cuddy@graduateinstitute.ch
jdacuddy
 
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Re: DSGE-VAR results location

Postby CarlosH » Fri Nov 30, 2012 10:21 am

Hello,

I'm having the same problem to locate the matrices A(i) of the estimated parameters in the DSGE - VAR procedure. According to the description of the function DsgeVarLikelihood, (http://www.dynare.org/dynare-matlab-m2html/matlab/DsgeVarLikelihood.html ), the matrix of estimated parameters should be PHI and the matrix of covariances should be SiGMAu. However, once I estimate the model, Dynare does not return these matrices. I would appreciate if someone could explain me where these matrices, PHI and SIGMAu, are stored.


Thank you
CarlosH
 
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Re: DSGE-VAR results location

Postby kay » Wed Sep 23, 2015 9:09 am

It seems as if this is still an open issue because I'm having the same problems. Maybe the person who developed the 'dsge_var' routine for the 'estimation' command knows it, or someone knows who it was, so that he/she can be contacted directly?
kay
 
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Joined: Tue Dec 10, 2013 9:44 pm

Re: DSGE-VAR results location

Postby jpfeifer » Wed Sep 23, 2015 8:01 pm

You can keep track of this issue at https://github.com/DynareTeam/dynare/issues/1063
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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