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?

–Kenneth

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?

–Kenneth

For the uncertainty bands in a given model, there are two sources of uncertainty: disturbance uncertainty from unknown shocks arising in the future and parameter uncertainty from not knowing the true value of the parameters. With the `parameter_uncertainty`

you will consider both sources of uncertainty. The term GIRF is not fully defined without specifying what you are integrating out, so it’s hard to know whether it’s what you are looking for.

Hi Professor Pfeifer,

Thank you again for that explanation.

I am trying to compute GIRFs for an MS-BVAR similar to Karame (JEDC, 2015). The GIRFs I am interested in would allow for dependence on initial conditions, future shocks, and future regimes.

Is `parameter_uncertainty`

an appropriate option to use in this case?

Also, after reading the manual again I saw the `regimes`

(not the `regime`

) option. Can you provide more details on this option? Would enabling the `parameter_uncertainty`

and `regimes`

options together produce the GIRFs I am seeking?

Edit: I went back into Zha’s original code and the `regimes`

option assumes each regime is permanent. So using this option will not produce the GIRFs I am looking for.

Unfortunately no. Houtan was in relation with D. Waggoner if I remember well.