DSGE-VAR RMSE sensitivity

Identification/Sensitivity
1

Hello everybody,

I was wondering if I can use the sensitivity analysis in order to obtain DSGE-VAR RMSE. From old post I have understood that it didn’t work, so my I would like to know if it has been implemented.

2

What RMSE exactly are you interested in?

3

I would like to get the “in sample” RMSE for my DSGE-VAR model. Is there a way to do that or I have to do it “by hand” after running filtered_vars?

4

You have to do that by hand, but it should be straightforward.

5

Can I do it directly in dynare or I have to create a matlab file?

6

mod-files can contain Matlab code.

7

Perfect! Thank you very much Professor!