Dear all,
I’m new here and I’m just beginning my adventure with Dynare. I have already encountered a problem with combining the conditional_forecast paths and bvar_forecast commands. Is it possible to fix a path of one variable during the forecast horizon in the BVAR framework?
Thank you,
Michal
Someone knows if this is possible?, Dynare can do conditional forecast with the BVAR toolbox?
In don’t know if BVAR of Dynare can do conditional forecast. Sorry. But Bańbura, Giannone and Lenza developed an interesting proposal that can be applied to space-state models, and of course BVAR, you can see here their paper.
I think the proposal is very interesting because it can be applied directly to paths of variables without the need to select structural shocks.
If your are interested in it, you could have some luck if you request the codes from Banbura et al.
And also, there are another proposal of Cogley, Morosov and Sargent.
Alike, you could have some luck if you request the codes. It is interesting because it can be applied directly to predictive density.
Sorry, but that feature is not available. Dynare was never intended to be a VAR toolbox.