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


#1

Hi,
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.


#2

See content of oo_.dsge_var.


#3

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!


#4

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


#5

Sorry for comment this,
I find that size of

oo_.dsge_var.posterior_mode.PHI_tilde

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

dsge_varlag

So, seems there is not constant term

I attach my codes

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


#6

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.