Dear Dynare Users,
I have seen in the following webpages that the estimation command in the recent dynare versions (i have 4.4.3) not
has implemented the forecast to the DSGE-VAR estimation models. I would like to ask you if that is yet true and if there is a way to
build by hand the forecast function for example through the "dsgevar_posterior_density". What commands should i use?.
I appreciate your recommendations. Thanks a lot!
viewtopic.php?f=1&t=3252
http://www.dynare.org/DynareWiki/KnownBugs
https://github.com/DynareTeam/dynare/issues/819
http://www.dynare.org/dynare-matlab-m2h ... nsity.html
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Forecasting with DSGEVAR
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Forecasting with DSGEVAR
by jcsantanac » Sun Jan 17, 2016 9:55 pm
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Re: Forecasting with DSGEVAR
by jpfeifer » Fri Jan 29, 2016 9:38 am
As outlined in https://github.com/DynareTeam/dynare/issues/819 you would need to obtain the Gaussian-Inverse Wishart posterior for the VAR and then simulate this BVAR starting from historical initial conditions.
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