Looping over DSGE-VAR options: dsge_prior_weight

[Aldo]

Dear all,
I want to get Marginal Density from DSGE-VAR over differents values of dsge_prior_weight = [0.5:0.25:10],
Please could you give some advice to do this?

I found some examples about looping over parameters but I didn´t find something about looping over options like dsge_prior_weight.

Thanks

Cheers

Aldo

[jpfeifer]

You would need something along the lines of

Code: Select all

global oo_
n_grid_points=5;
param_grid=linspace(0.3,0.5,n_grid_points);
options_.bayesian_irf = 0;
options_.plot_priors=0;
options_.silent_optimizer=1;
data_density=NaN(n_grid_points,1);

for par_iter=1:n_grid_points
    set_param_value('dsge_prior_weight',param_grid(par_iter));
    oo_recursive_=dynare_estimation(var_list_);
    data_density(par_iter)=oo_.MarginalDensity.LaplaceApproximation;
end


[Aldo]

Thanks jpfeifer,
Now I am getting this message:

WARNING: When estimating a DSGE-Var, declaring dsge_prior_weight as a parameter is deprecated. The preferred method is to do this via the dsge_var option in the estimation statement.
ERROR: If dsge_prior_weight is declared as a parameter, it must either be initialized or placed in the estimated_params block.

How could I solve this problem?
I attach my .mod and data.


Thanks in advance

Aldo

[jpfeifer]

The attached file should work with the unstable version

[Aldo]

Thanks a lot dear jpfeifer.

Your work is very worthfull. Thanks.

Cheers

Aldo