Does anybody get an idea of how to allow lambda (the parameter which regulates the degree of misspesification in a DSGE-VAR model) to be time varying?
Paolo.
Does anybody get an idea of how to allow lambda (the parameter which regulates the degree of misspesification in a DSGE-VAR model) to be time varying?
Paolo.
This is not possible with Dynare. I’m not even sure of the statistical model that would be necessary.
Best
Michel