DSGE-VAR Forecasts


I noticed in an ECB working paper (Putting the New Keynesian DSGE model to the real-time forecasting test, 2009) that the authors did their estimation work in Dynare v.4. I’ve searched this forum and the Dynare documentation but I couldn’t find an answer to the following question: can Dynare produce forecasts from DSGE-VARs, or just from DSGE models and BVARs ‘à la Sims’? When I put ‘forecast’ in the estimation command, it produces a mean and point forecast for each variable, rather than one set of forecasts (mean and point) for the DSGE and another for the DSGE-VAR, similar to the IRFs which are given for both.

If anyone could clear this up, I would very much appreciate it.

Maybe you need to use nobs=[firstdate] of the forecast in place of nobs=number_of_ observation.

Forecasts with DSGE-VAR have not been implemented.


To keep track of this issue, see github.com/DynareTeam/dynare/issues/819