Coefficients in A of the DSGE-VAR(Y=ZA+U)

When estimating a DSGE using the option dsge_var in the estimation command, how to obtain the coefficient of the VAR form, ie the Matrix A in
Y=ZA+U such as in the theoritical reminder?
Best regards.

See content of oo_.dsge_var.

Dear Stepan,

following up your suggestion of looking at oo_.dsge_var, and referring to the coefficients estimates matrix located in oo_.dsge_var.posterior_mode.PHI_tilde. Which is the constant, the first or last row?

My guess is that it should be the first one, but I want to be sure about this.

Thank you in advance!

Yes, the first row stores the coefficients of the constant term.

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Sorry for comment this,
I find that size of


is n*rho by n, where n is number of observed variables and rho comes from


So, seems there is not constant term

I attach my codes

ls.mod (5.4 KB)
newmfile.m (1.9 KB)

All your model variables have steady state 0. Thus, Dynare set noconstant to 1. That explains why there is no constant in your DSGE-VAR. However, your data is not mean 0. Thus, your observation equations must be wrong.

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Dear all:

Iā€™m new in Dynare.
As previous discussion, the first row in oo_.dsge_var.posterior_mode.PHI_tilde is the constant term. I am wondering what is the way that store the rest of the coefficients in the PHI_tilde?

For example, I estimated a dsge-var model with 3 lags,
and the list of the observable variables is:
varobs A B C ;

Does the coefficients stored like the way below, or like what else ?

const. const. const.
A(-1) A(-1) A(-1)
B(-1) B(-1) B(-1)
C(-1) C(-1) C(-1)
A(-2) A(-2) A(-2)
B(-2) B(-2) B(-2)
C(-2) C(-2) C(-2)
A(-3) A(-3) A(-3)
B(-3) B(-3) B(-3)
C(-3) C(-3) C(-3)

Thank you in advance!

Yes, it should be first the lag for all variables along the rows, then the second lag and so on.

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