We have finished our DSGE-VAR estimation and want to do shock decompositions and IRF based on DSGE-VAR instead of DSGE. Now we have two enquirers as follows,
1. Can we use the posterior mean/mode to simulate the model in a seperate dynare mod file to get the simulated data and shock decomposition data? If so, how would the DSGE-VAR weight, lamda, be reflected in this simulation?
2. This question may be linked with the above one. When we finished the DSGE-VAR estimation, inside the oo_.PosteriorIRF there are dsge and bvardsge IRF data. How are they calculated? Can we do it manually?
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DSGE-VAR: simulated data and shock decomposition
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DSGE-VAR: simulated data and shock decomposition
by apple564 » Sat Feb 18, 2017 9:41 am
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Re: DSGE-VAR: simulated data and shock decomposition
by jpfeifer » Thu Feb 23, 2017 6:05 pm
Using the unstable version (future version 4.5), all objects you need to compute these things should be saved. See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=15311
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