Bayesian IRF Matching

Estimation ML/Bayesian estimation
1

Hi,

I was wondering whether Dynare supports Bayesian IRF Matching a la Christiano, Eichenbaum, Trabandt (2016 Econometrica)

Thanks so much!!

2

Not yet, but Dynare 6 will feature it. We are currently in the process of adding the routines, e.g. Options for Bayesian IRF Matching in method_of_moments command (!85) · Merge requests · Dynare / preprocessor · GitLab

3

Thanks so much! Is it an acceptable practice to give special weight to certain variables in (non-bayesian) IRF matching? Like I would like to target a specific spread that is important for my story even though it is not super precisely estimated?

In a similar fashion, is it permissible to put bounds on parameters?

I wrote my own IRF-matching code but I am not well aware of putting ad-hoc constraints.

Thanks!!!

4

As long as you are able to justify your weighting procedure, you should be fine. In our 2014 JME paper “Policy and the business cycle” we even augmented non-Bayesian moment matching with a “prior”.

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5

Hi Johannes, I am working through your RBC_IRF_matching Dynare code and it is wonderful. Thanks so much. Besides the new 6.0 manual, are there other resources regarding comparing DSGE IRFs and VAR IRFs available? I know the new version was just released.