Procedure of Estimating a DSGE-VAR model

[rwhitt01]

Hello Everyone,

I have a question on the procedure of estimating a DSGE VAR model.

My current setup
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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.
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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