Dear all,
I am estimating a small scale New Keynesian DSGE model. After estimating it, I forecast some variables using the estimation command (for 12 periods). Having done that, the plot of the forecast shows up. However, I struggle to see the data of the forecasted values. I looked in the metropolis and the output folder. They seem to contain the forecast files “forc_mean1.mat”, “forc_point1.mat” and “PointForecast_i.eps”. I am currently using Dynare 4.5.0 on Octave and I am not able to see the 12 forecasted values nor able to open the files above. Furthermore, I tried it with Matlab and the first data file gives me a 5x1200 matrix with zeros and the second a 5x1200 matrix with other values.
Thus, my question: where can I find the data of the 12-period forecasts?
I attached the folders below.
Thank you very much for your help and suggestions.
Kind regards
The files you are looking at are monte carlo draws used to compute the moments of the predictive distribution. The moments you are looking for are stored in the global oo_ structure. All this is explained in the reference manual.
Dear Stéphane,
Thank you very much for your quick response. I see the oo_structure in the workspace. When I open it, I get the information about the prior mode and mean. However, the workspace does not display the structures ‘oo_.PointForecast’ or ‘oo_.MeanForecast’. How can I find them?
Thank you again for your kind help.
Best regards,
Dear jpfeifer,
Thank you very much for your answer. I assumed to have done the estimation until the end, since the posterior distribution and the forecast show up. I attach the data file below.
Thank you again very much for your suggestions and help.
Kind regards, daten_log32.m (3.3 KB)
Dear jpfeifer,
Thank you very much for your time. I added the screenshot of Octave and I believe that the structure is missing. Is that correct?
Could this be a problem with Octave or something else?
Kind regards,
Dear jpfeifer and Stéphane,
Thank you very much for your help. I used Octave 3.8 on Mac and I believe that the issue stems from this fact. Hence, I downloaded the new Octave GUI on Mac provided by Octave forge to further this observation. However, the program crashed every tine during the estimation. Do you know if there is a compatible solution for Octave on Mac?
Dear jpfeifer,
Thank you very much for your answer. I switched to Windows. However, while using Dynare 4.5.6 and Octave 4.4.0, this error message occured:
due to a bug in octave, you must choose other values for mean and/or variance of your prior on eps_a, or use another shape.
As far as I know, does this result from an incompatible version. Is there a way to fix this?
Thank you again very much for your answer,
Kind regards,
Thank you very much for your help. I was able to download Matlab and it worked perfectly. However, after using a rolling forecast procedure over a period of 10 observations, I always get the same forecasted output values for the variables. Hence, the mean and point forecasts remain the same over the window. Furthermore, the mean forecast is always zero. Is there a way to generate different forecasts in this respect?
I attached the file for the first and last observation below.