Estimated Parameters - BVAR

Dear all,

I have a couple of questions:

1.Where the estimated parameters in the BVAR routine are saved in Dynare?

2.Is it possible to estimated the hyperparameters based on a presample within the BVAR routine?


Hi Marcelo,

The parameters of the BVAR’s posterior distribution are not saved. You have to edit the code if you want to save this information. The matlab function bvar_toolbox computes the posterior distribution and returns it in the third output argument (named posterior). This argument is a matlab structure gathering the hyperparameters of the posterior distribution. You will find clues for using this structure in the file bvar_forecast.m. In the same file you can add a command (after line 37) to save the structure posterior.