Examples of Bayesian vector autoregression (BVAR)

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

Examples of Bayesian vector autoregression (BVAR)

Postby marcusingholt » Sun Oct 16, 2016 4:19 pm

I am looking for examples of Bayesian vector autoregression (BVAR) estimation in Dynare.

I have read the example in bvar-a-la-Sims.pdf, and am looking for something more elaborate. In particular, how do I retrieve the estimated coefficient matrix and impulse response functions? And how do I choose the hyperparameters for the prior distribution?

I am trying to replicate the BVAR's in Figure 2 of Liu, Miao, and Zha (JME, 2016): Land prices and unemployment, see here: http://www.sciencedirect.com/science/ar ... 3216300290.

Yours sincerely,
Marcus Mølbak Ingholt
Ph.D. Candidate
University of Copenhagen
marcusingholt
 
Posts: 6
Joined: Mon Jun 13, 2016 2:20 pm

Re: Examples of Bayesian vector autoregression (BVAR)

Postby jpfeifer » Wed Oct 19, 2016 5:58 pm

Unfortunately, there seem to be not many examples of this part of the code and it is poorly documented. If you have specific questions, I can try to guide you, but I am also no expert on this part of the code.

1. The posterior information is saved in
Code: Select all
oo_.bvar.posterior
in the unstable version.
2. To generate IRFs, you need to call
Code: Select all
bvar_irf(8,'Cholesky');

where the first number is the lag number. Results are saved in
Code: Select all
oo_.bvar.irf
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

Re: Examples of Bayesian vector autoregression (BVAR)

Postby marcusingholt » Mon Apr 24, 2017 4:15 pm

Dear Johannes,

Thank you for your previous reply.

I have one additional question concerning the "bvar_irf" command. Is it possible to:
  • Increase the number of periods on which to compute the IRFs?
  • Change the confidence interval that is used when reporting IRFs?

These options do not appear to be available in bvar-a-la-Sims.pdf or on the "bvar_irf" description website.

Yours sincerely,
Marcus Mølbak Ingholt
marcusingholt
 
Posts: 6
Joined: Mon Jun 13, 2016 2:20 pm

Re: Examples of Bayesian vector autoregression (BVAR)

Postby jpfeifer » Tue Apr 25, 2017 4:00 pm

Thanks for pointing this out. Before the
Code: Select all
bvar_irf

command put
Code: Select all
options_.irf=40;
options_.bvar.conf_sig=0.6;

to change the IRF length to 40 and the HPDI coverage to 60 percent.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

Re: Examples of Bayesian vector autoregression (BVAR)

Postby marcusingholt » Wed Apr 26, 2017 7:14 am

That is great. Thanks a lot!
marcusingholt
 
Posts: 6
Joined: Mon Jun 13, 2016 2:20 pm


Return to Dynare help

Who is online

Users browsing this forum: No registered users and 8 guests