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?
See content of
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.
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
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.