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

Estimation DSGE-VAR
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.

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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.

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7

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!

8

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

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