# BVAR **URL:** https://forum.dynare.org/c/bvar/30.md [Latest](https://forum.dynare.org/latest.md) · [Categories](https://forum.dynare.org/categories.md) --- ## [About the BVAR category](https://forum.dynare.org/t/about-the-bvar-category/10937)
**Author:** [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Replies:** 0\ **Last updated:** [1 November 2017 01:08 UTC](https://forum.dynare.org/t/about-the-bvar-category/10937 "2017-11-01T01:08:27Z")
Questions related to the Structural Bayesian Vector Autoregression (SBVAR) and the Markov Switching Structural Bayesian Vector Autoregression (MS-SBVAR) implementations in Dynare --- ## [Different Results of A0 using SBVAR](https://forum.dynare.org/t/different-results-of-a0-using-sbvar/15359)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 5\ **Last updated:** [26 May 2026 15:22 UTC](https://forum.dynare.org/t/different-results-of-a0-using-sbvar/15359 "2026-05-26T15:22:20Z")
Hello: I am currently trying to estimate a (recursive) constant-coefficient SBVAR using Sims and Zha (1998)'s prior. I am running into an issue when using contemp\_reduced\_form option. If the option is selected, the cod… --- ## [Estimate a NK model with BVAR la Sims in version 6.4](https://forum.dynare.org/t/estimate-a-nk-model-with-bvar-la-sims-in-version-6-4/28031)
**Author:** [@balazs\_sz1](https://forum.dynare.org/u/balazs_sz1)\ **Replies:** 6\ **Last updated:** [20 October 2025 11:51 UTC](https://forum.dynare.org/t/estimate-a-nk-model-with-bvar-la-sims-in-version-6-4/28031 "2025-10-20T11:51:50Z")
Hi, I’m rookie in Dynare and I use the version 6.4. I have checked the scribd documentacion of BVAR la Sims 2017 and I have tryed to estimate a SOE NK model with BVAR. I put the mod and the excel file (which contains the… --- ## [Don't understand the specific meaning of parameters in bvar-a-la-sims](https://forum.dynare.org/t/dont-understand-the-specific-meaning-of-parameters-in-bvar-a-la-sims/24337)
**Author:** [@auserpallas](https://forum.dynare.org/u/auserpallas)\ **Replies:** 2\ **Last updated:** [7 November 2023 01:09 UTC](https://forum.dynare.org/t/dont-understand-the-specific-meaning-of-parameters-in-bvar-a-la-sims/24337 "2023-11-07T01:09:18Z")
I don’t understand the specific meaning of these five parameters in bvar-a-la-sims.pdf Are they the same with RATS 10 Users Guide ? If that’s the same what’s the exact expression for Omega? --- ## [Markov\_switching command questions](https://forum.dynare.org/t/markov-switching-command-questions/23338)
**Author:** [@ZJL](https://forum.dynare.org/u/ZJL)\ **Replies:** 1\ **Last updated:** [17 October 2023 08:55 UTC](https://forum.dynare.org/t/markov-switching-command-questions/23338 "2023-10-17T08:55:42Z")
Dynare provides a markov\_switching command which, in the documentation description, we can use to define a Markov chain with the following optional parameters: markov\_switching(chain=2, number\_of\_regimes=3, duration=\[0.… --- ## [Exogenous variables in MS-BSVAR in Dynare](https://forum.dynare.org/t/exogenous-variables-in-ms-bsvar-in-dynare/22845)
**Author:** [@jrluo](https://forum.dynare.org/u/jrluo)\ **Replies:** 2\ **Last updated:** [7 August 2023 03:22 UTC](https://forum.dynare.org/t/exogenous-variables-in-ms-bsvar-in-dynare/22845 "2023-08-07T03:22:49Z")
Hi. Can I include the exogenous variables in the MS-BSVAR model in Dynare? THANK YOU. --- ## [Svar\_identification block of the MS-SBVAR model](https://forum.dynare.org/t/svar-identification-block-of-the-ms-sbvar-model/21766)
**Author:** [@Goldman](https://forum.dynare.org/u/Goldman)\ **Replies:** 5\ **Last updated:** [17 January 2023 13:17 UTC](https://forum.dynare.org/t/svar-identification-block-of-the-ms-sbvar-model/21766 "2023-01-17T13:17:58Z")
Hello everyone, I’m really struggling with the svar\_identification block of the MS-SBVAR model. The Dynare manual states that the code block will be documentated, however, the wiki to which I’m directed to is no longer … --- ## [SBVAR with exogenous variables](https://forum.dynare.org/t/sbvar-with-exogenous-variables/19879)
**Author:** [@vahagn](https://forum.dynare.org/u/vahagn)\ **Replies:** 2\ **Last updated:** [25 February 2022 11:51 UTC](https://forum.dynare.org/t/sbvar-with-exogenous-variables/19879 "2022-02-25T11:51:03Z")
Hi, I want to estimate a structural bayesian VAR model (SBVAR) with exogenous variables SBVARX, can You, please, provide an example how to do this. Also is it possible to use different priors: The Normal inverse Wisha… --- ## [Time regime in markov switch model](https://forum.dynare.org/t/time-regime-in-markov-switch-model/19620)
**Author:** [@thidmg](https://forum.dynare.org/u/thidmg)\ **Replies:** 2\ **Last updated:** [13 January 2022 16:11 UTC](https://forum.dynare.org/t/time-regime-in-markov-switch-model/19620 "2022-01-13T16:11:58Z")
Hi, i’m trying to pick up the dates that the regime change in a markov switch model, but i can’t do this only seeing the graph that appear with the command ‘ms\_compute\_probabilities’. Like this graph below, the data is … --- ## [Clarification for MS-BVAR "parameter\_uncertainty" option](https://forum.dynare.org/t/clarification-for-ms-bvar-parameter-uncertainty-option/18946)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 4\ **Last updated:** [1 October 2021 16:34 UTC](https://forum.dynare.org/t/clarification-for-ms-bvar-parameter-uncertainty-option/18946 "2021-10-01T16:34:51Z")
Hello: Can someone please explain the parameter\_uncertainty option under the MS-BVAR ms\_irf command? Specifically, does enabling this option allow Dynare to compute Generalized Impulse Response Functions for an MS-BVAR? … --- ## [Detailed documentation of BVAR results in DYNARE?](https://forum.dynare.org/t/detailed-documentation-of-bvar-results-in-dynare/18497)
**Author:** [@Wenddy](https://forum.dynare.org/u/Wenddy)\ **Replies:** 7\ **Last updated:** [8 July 2021 07:45 UTC](https://forum.dynare.org/t/detailed-documentation-of-bvar-results-in-dynare/18497 "2021-07-08T07:45:48Z")
Hi, guys Is there any files on detailed documentation of BVAR results in DYNARE? e.g. what are S, XXi, and PhiHat in oo\_.bvar.posterior? --- ## [Missing data and BVAR model ''a la Sims''](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033)
**Author:** [@salo](https://forum.dynare.org/u/salo)\ **Replies:** 12\ **Last updated:** [13 June 2021 14:21 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033 "2021-06-13T14:21:51Z")
Dear all, I want to ask how to estimate the density of the BVAR model in Dynare when we have missing data (I use Mixed Frequency). I would like to use this to compare with the DSGE model. I know that Dynare can not calc… --- ## [Number of lags used for BVAR forecast](https://forum.dynare.org/t/number-of-lags-used-for-bvar-forecast/17314)
**Author:** [@at66](https://forum.dynare.org/u/at66)\ **Replies:** 1\ **Last updated:** [28 April 2021 09:42 UTC](https://forum.dynare.org/t/number-of-lags-used-for-bvar-forecast/17314 "2021-04-28T09:42:52Z")
Dear all, I am currently trying to estimate a BVAR with dynare and I don´t quite understand the following: I can choose the maximum number of lags in the bvar\_density command and results are computed for each number o… --- ## [DSGE-VAR - Deriving posterior densities](https://forum.dynare.org/t/dsge-var-deriving-posterior-densities/17356)
**Author:** [@kofiemma](https://forum.dynare.org/u/kofiemma)\ **Replies:** 1\ **Last updated:** [26 January 2021 17:18 UTC](https://forum.dynare.org/t/dsge-var-deriving-posterior-densities/17356 "2021-01-26T17:18:09Z")
On the dynare wiki page, it says that when there is a one-to-one relationship between the coefficients (\\textbf{A}) of the VAR model and the parameters of the DSGE model plus the prior weight (\\theta, \\lambda), it will b… --- ## [Priors for DSGE-VAR](https://forum.dynare.org/t/priors-for-dsge-var/17318)
**Author:** [@kofiemma](https://forum.dynare.org/u/kofiemma)\ **Replies:** 1\ **Last updated:** [20 January 2021 09:04 UTC](https://forum.dynare.org/t/priors-for-dsge-var/17318 "2021-01-20T09:04:01Z")
I am reading on DSGE-VARs on dynare wiki, and I have this basic question. Why are the prior distributions written with a zero subscribe like p\_0? I guess it is just by preference and nothing would change if p is used for… --- ## [Cannot have number of chains for variance or coefficient bigger than 1](https://forum.dynare.org/t/cannot-have-number-of-chains-for-variance-or-coefficient-bigger-than-1/16650)
**Author:** [@ericsugandi](https://forum.dynare.org/u/ericsugandi)\ **Replies:** 10\ **Last updated:** [31 December 2020 02:52 UTC](https://forum.dynare.org/t/cannot-have-number-of-chains-for-variance-or-coefficient-bigger-than-1/16650 "2020-12-31T02:52:37Z")
Dear Sir/Madam, I am working on an MS-BVAR model. I can run the model smoothly when I set the number of chain for variance = 1 and the number of chain for coefficient = 1. I encounter problem when I set the number of … --- ## [Restricting MS to Only the Impact Matrix of a MS-BVAR?](https://forum.dynare.org/t/restricting-ms-to-only-the-impact-matrix-of-a-ms-bvar/17001)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 2\ **Last updated:** [1 December 2020 16:47 UTC](https://forum.dynare.org/t/restricting-ms-to-only-the-impact-matrix-of-a-ms-bvar/17001 "2020-12-01T16:47:24Z")
Hello: Does Dynare offer an option where the impact coefficients of a MS-BVAR are MS, while the lag coefficients are time-invariant? Thank you in advance. --- ## [Checking for Convergence in a MS-BVAR](https://forum.dynare.org/t/checking-for-convergence-in-a-ms-bvar/16492)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 2\ **Last updated:** [27 August 2020 13:14 UTC](https://forum.dynare.org/t/checking-for-convergence-in-a-ms-bvar/16492 "2020-08-27T13:14:10Z")
Hello: How do you check for convergence of the MCMC sampler in a MS-BVAR using the Dynare code? Is there a convergence criterion that appears in the results? Thank you in advance. --- ## [Error message in BVAR-DSGE model](https://forum.dynare.org/t/error-message-in-bvar-dsge-model/14685)
**Author:** [@miharbi](https://forum.dynare.org/u/miharbi)\ **Replies:** 5\ **Last updated:** [6 November 2019 19:18 UTC](https://forum.dynare.org/t/error-message-in-bvar-dsge-model/14685 "2019-11-06T19:18:34Z")
When I run a BVAR-DSGE model in Dynare, I get the message shown in the picture. Where’s the problem please ? --- ## [Error with BVAR estimation in Dynare Documentation](https://forum.dynare.org/t/error-with-bvar-estimation-in-dynare-documentation/14472)
**Author:** [@ailori](https://forum.dynare.org/u/ailori)\ **Replies:** 1\ **Last updated:** [17 September 2019 18:17 UTC](https://forum.dynare.org/t/error-with-bvar-estimation-in-dynare-documentation/14472 "2019-09-17T18:17:57Z")
Hello, I am trying to estimate the standalone BVAR described on page 10 of Dynare documentation bvar-a-la-sims.pdf, but I am getting this Matlab error: Maximum recursion limit of 500 reached. Error in read\_variables (… --- ## [MS-BVAR Parallel Options?](https://forum.dynare.org/t/ms-bvar-parallel-options/13778)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 6\ **Last updated:** [16 May 2019 16:05 UTC](https://forum.dynare.org/t/ms-bvar-parallel-options/13778 "2019-05-16T16:05:48Z")
Hello, Is it possible to run the MS-BVAR codes in parallel or is it not available yet? --- ## [Thinning Factor for Constant Coefficient SBVAR](https://forum.dynare.org/t/thinning-factor-for-constant-coefficient-sbvar/13607)
**Author:** [@kmrich](https://forum.dynare.org/u/kmrich)\ **Replies:** 7\ **Last updated:** [2 May 2019 08:25 UTC](https://forum.dynare.org/t/thinning-factor-for-constant-coefficient-sbvar/13607 "2019-05-02T08:25:40Z")
Hello, I am trying to estimate a simple constant coefficient SBVAR using the sbvar command. The code is up and running. I was able to change the number of draws and burn-in via editing the master code. However, is the… --- ## [Variance Decomposition command](https://forum.dynare.org/t/variance-decomposition-command/12313)
**Author:** [@35224129ty](https://forum.dynare.org/u/35224129ty)\ **Replies:** 6\ **Last updated:** [27 August 2018 20:36 UTC](https://forum.dynare.org/t/variance-decomposition-command/12313 "2018-08-27T20:36:05Z")
Hi, May I ask a question about the variance decomposition. After reading the manual and several posts, I am learning how to do it in dynare. Specifically, how to write the command in the programme. Here is the command … --- ## [Accumulated IRFs](https://forum.dynare.org/t/accumulated-irfs/11920)
**Author:** [@Vev](https://forum.dynare.org/u/Vev)\ **Replies:** 1\ **Last updated:** [2 June 2018 18:57 UTC](https://forum.dynare.org/t/accumulated-irfs/11920 "2018-06-02T18:57:29Z")
Hello, I have a question about HPD intervals for impulse responses when B-VAR is estimated with data in first differences. I understood that we have to cumulate IRFs ourselves, as there is not that option in Dynare but … --- ## [A question about Bayesian IRFs](https://forum.dynare.org/t/a-question-about-bayesian-irfs/11718)
**Author:** [@BlueBlue](https://forum.dynare.org/u/BlueBlue)\ **Replies:** 4\ **Last updated:** [5 May 2018 08:06 UTC](https://forum.dynare.org/t/a-question-about-bayesian-irfs/11718 "2018-05-05T08:06:31Z")
Hello, I tried to estimate a 4-variable BVAR but I got rather strange IRFs, the HPD interval is large and then it decreases, shouldn’t it be the opposite? I’m using annual data so I have only 41observation. Please see … --- ## [Conditional forecast in BVAR](https://forum.dynare.org/t/conditional-forecast-in-bvar/2579)
**Author:** [@michal\_ucl](https://forum.dynare.org/u/michal_ucl)\ **Replies:** 3\ **Last updated:** [15 March 2018 17:19 UTC](https://forum.dynare.org/t/conditional-forecast-in-bvar/2579 "2018-03-15T17:19:14Z")
Dear all, I’m new here and I’m just beginning my adventure with Dynare. I have already encountered a problem with combining the conditional\_forecast paths and bvar\_forecast commands. Is it possible to fix a path of one … --- ## [Calculation of RMSE with Diebold-mariano recursive forcasting method](https://forum.dynare.org/t/calculation-of-rmse-with-diebold-mariano-recursive-forcasting-method/11051)
**Author:** [@eisamabodian](https://forum.dynare.org/u/eisamabodian)\ **Replies:** 1\ **Last updated:** [30 November 2017 18:58 UTC](https://forum.dynare.org/t/calculation-of-rmse-with-diebold-mariano-recursive-forcasting-method/11051 "2017-11-30T18:58:23Z")
Can we obtain RMSE of diebold-Mariano method when we run a DSGE-BVAR model ? I want to obtain RMSE for forecasting of each period separately such as Diebold-Mariano Rcursive forecasing method,but i want to obtain these… --- ## [RMSE in Forecasting with BVAR in Dynare](https://forum.dynare.org/t/rmse-in-forecasting-with-bvar-in-dynare/11049)
**Author:** [@eisamabodian](https://forum.dynare.org/u/eisamabodian)\ **Replies:** 1\ **Last updated:** [30 November 2017 18:49 UTC](https://forum.dynare.org/t/rmse-in-forecasting-with-bvar-in-dynare/11049 "2017-11-30T18:49:29Z")
How can i obtain RMSE of forecasting of variables in BVAR estimation in Dynare ? I want to forecast with Diebold-Mariano Method.their method is a recursive method for forecasting. How can i forecast variables with thei… --- ## [Generalized Impulse response functions in BVAR in Dynare](https://forum.dynare.org/t/generalized-impulse-response-functions-in-bvar-in-dynare/11048)
**Author:** [@eisamabodian](https://forum.dynare.org/u/eisamabodian)\ **Replies:** 1\ **Last updated:** [30 November 2017 18:45 UTC](https://forum.dynare.org/t/generalized-impulse-response-functions-in-bvar-in-dynare/11048 "2017-11-30T18:45:24Z")
Is there any solution to obtain generalized impulse response functions in BVAR method in Dynare? this method is not sensitive to VAR ordering. Is there any solution to obtain information criterion such as AIC , Shwartz… --- ## [This model of BVAR does not work in Dynare](https://forum.dynare.org/t/this-model-of-bvar-does-not-work-in-dynare/11040)
**Author:** [@eisamabodian](https://forum.dynare.org/u/eisamabodian)\ **Replies:** 3\ **Last updated:** [27 November 2017 18:25 UTC](https://forum.dynare.org/t/this-model-of-bvar-does-not-work-in-dynare/11040 "2017-11-27T18:25:23Z")
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %% A BVAR model %%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%% var m y ; varobs m y ; bvar\_density(datafile = bvardata, first\_obs = 30, bvar\_prior\_tau=10, bvar\_prior\_decay… [Next page](https://forum.dynare.org/c/bvar/30.md?page=1)