Looping over hyperparameters in Bayesian VAR

[gcandian]

Hello,

I would like to estimate a Bayesian VAR in Dynare several times, looping over possible combination of hyper-parameters values. My current mod file looks like this:

var pih pif yhg yfg;
varobs pih pif yhg yfg;

bvar_density(datafile = dataset, first_obs = 6,
bvar_prior_mu = 2, bvar_prior_lambda = 1, bvar_prior_tau = 1,
bvar_prior_decay = 4, bvar_prior_omega = 1) 4;

Is there a simple way of defining the values for mu, lambda, tau, d and omega outside the mod file and then pass them in?
Also, where is the value of the marginal data density stored?
Thank you very much!

Giacomo

[jpfeifer]

Could you please provide me with the full codes.

[gcandian]

Hi Johannes,

The code I posted is my full mod file. I basically want to find the values of the hyper parameters mu, lambda, tau, decay and omega that maximize the marginal data density (MDD). To do that I would need to know how to pass the parameter values from an .m file into the .mod file and know where the value of the MDD is stored so that I can write the maximization routine in my .m file outside of dynare.

Thanks,

Giacomo

BVAR.mod

(251 Bytes) Downloaded 148 times

[jpfeifer]

The datafile is missing.
It seems you need to loop over

Code: Select all

options_.bvar_prior_decay = 4;
options_.bvar_prior_lambda = 1;
options_.bvar_prior_mu = 2;
options_.bvar_prior_omega = 1;
options_.bvar_prior_tau = 1;


The problem seems to be that the MDD is not stored. We are working on it: https://github.com/DynareTeam/dynare/issues/1090