Examples of Bayesian vector autoregression (BVAR)

Dynare help (legacy posts)
1

I am looking for examples of Bayesian vector autoregression (BVAR) estimation in Dynare.

I have read the example in bvar-a-la-Sims.pdf, and am looking for something more elaborate. In particular, how do I retrieve the estimated coefficient matrix and impulse response functions? And how do I choose the hyperparameters for the prior distribution?

I am trying to replicate the BVAR’s in Figure 2 of Liu, Miao, and Zha (JME, 2016): Land prices and unemployment, see here: sciencedirect.com/science/ar … 3216300290.

Yours sincerely,
Marcus Mølbak Ingholt
Ph.D. Candidate
University of Copenhagen

2

Unfortunately, there seem to be not many examples of this part of the code and it is poorly documented. If you have specific questions, I can try to guide you, but I am also no expert on this part of the code.

  1. The posterior information is saved in oo_.bvar.posterior in the unstable version.
  2. To generate IRFs, you need to call

where the first number is the lag number. Results are saved in

3

Dear Johannes,

Thank you for your previous reply.

I have one additional question concerning the “bvar_irf” command. Is it possible to:
[ul]
] Increase the number of periods on which to compute the IRFs?/:m]
] Change the confidence interval that is used when reporting IRFs?/:m][/ul]

These options do not appear to be available in bvar-a-la-Sims.pdf or on the “bvar_irf” description website.

Yours sincerely,
Marcus Mølbak Ingholt

4

Thanks for pointing this out. Before the

command put

options_.irf=40; options_.bvar.conf_sig=0.6;
to change the IRF length to 40 and the HPDI coverage to 60 percent.

5

That is great. Thanks a lot!