Does anybody get an idea of how to allow lambda (the parameter which regulates the degree of misspesification in a DSGE-VAR model) to be time varying?
Paolo.
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DSGE-VAR Lambda time varying
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DSGE-VAR Lambda time varying
by p.gelain » Mon Jul 19, 2010 9:24 pm
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Re: DSGE-VAR Lambda time varying
by MichelJuillard » Wed Jul 28, 2010 5:42 am
This is not possible with Dynare. I'm not even sure of the statistical model that would be necessary.
Best
Michel
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Michel
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