BVAR with Rolling Sample


In dynare, I know that choosing first_obs=[period1:period2] and keeping a rolling-window of size nobs constant triggers rolling-window estimation.
I was wondering if there is a way to estimate BVAR in similar fashion?

Thank you


One could probably use the macro-processor to run such a loop, but storing the results in that case is not straightforward. That would have to be done from Matlab.