Dynare and panel data

Dear All,

is anyone aware of any panel data application with dynare?

In particular, would it be possible to use dynare’s Kalman filter with panel data?


What exactly do you have in mind? My feeling is that this is not easily possible, mostly because when pooling data, you cannot tell Dynare not to construct lags using data from the previous cross-sectional unit. Also, implementing something like country-fixed effects might be difficult.