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 RMSEs for BVAR and DSGE and DSGE-BVAR model separately for comparison of them.
Which exact reference do you have in mind? You almost surely have to do most computations yourself. You should be able to do this by generating forecasts and then comparing them to the data yourself. There is not prepackaged routine that does all that for you.