BVAR-DSGE Estimation

Estimation DSGE-VAR
1

Hello,

I estimated a DSGE model and am now amending the code to estimate a BVAR-DSGE (Del Negro and Schorfheide (2004; 2005), etc.). I am getting some error messages and cannot find detailed guidance on how to do this estimation beyond the dsge_var=. command. The problematic error seems to be

[quote]VarSampleMoments :: not enough data to initialize! Try to increase FirstObservation.
[/quote]

I have read the relevant papers carefully and am not sure what to do. Might someone look at my code and data for potential issues here?

Thank you!
Data.xls (41.5 KB)
ThesisDSGEBVAR.mod (9.37 KB)

2

Does anyone have any advice here?

3

Set at least

4

Thank you for your response. I am still having errors. The error message reads:

[quote]ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: You should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):[/quote]

yet I have already added the empty block. I am attaching my code for further inspection. I am not sure why the parameter values would not work, as I did estimate the DSGE model without problems using the same values.

Thank you kindly.
ThesisDSGEBVAR.mod (9.4 KB)

5

Note the message before that output. There is a technical condition for the dsge_var-parameter prior to be proper. You must increase dsge_var to at least 0.75 in your case.

6

I am slightly confused. In the estimation command, dsge_var is already set to 0.75. Is there someplace else where this must be represented?

7

Sorry old version. It must be at least 1.48.

8

Thank you. Still, with this change, I get:

[quote]Error in computing likelihood for initial parameter values

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: You should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):
[/quote]

I am using DYNARE 4.4.2. Am I missing something?

9

With dsge_var = 1.75,
it runs (although there might be another issue as Dynare warns of near singularity. If it does not run, provide the updated mod-file and datafile. Note also that the name of the data-file above does not match the one used in the mod-file.

10

I have just joined the forum and also new to dynare. I have been reading comments on BVAR-DSGE estimation. Could anyone have the final codes that resolved the problems?