compare dsge model wiht bayesian var

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.

compare dsge model wiht bayesian var

Postby bowencheng » Sun Jul 09, 2017 5:31 am

Hi!
after I finished doing bayes estimation of dsge model .I saw in many papers ,the author just compare the model with the bvar or var .do they want to evaluate the
forecasting ability of the model or something else? how does dynare can help to do it ,which command?thank you so much!
bowencheng
 
Posts: 10
Joined: Sat May 27, 2017 5:52 am

Re: compare dsge model wiht bayesian var

Postby jpfeifer » Mon Jul 10, 2017 2:11 pm

There is no command for doing that as it requires an estimated structural VAR. If you have outside evidence from identified shocks in a VAR, you can compare the IRFS to the ones from the model. But that requires you to come up with an identification scheme in the VAR.
------------
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


Return to Dynare help

Who is online

Users browsing this forum: Google [Bot] and 11 guests