Hello dear all, I want to use the state space representation from a DSGE model to get fan charts (predictives densities) using dynare. In order to do this, I need one state space, like this: y_t = Z*alpha_t + eps_t, eps_ t ~ N(0,H) observation equation apha_t+1…

Isn’t the forecast option of the estimation command already what you are looking for? For building the transition matrix, you are on the right track. See [ How to build transition and measurement equations ) For retrieving the smoothed states: they are stored in oo_.SmoothedVariables. Alternatively, …

Thanks dear jpfeifer, I saw the manual, and I after run my .mod I see output oo_.PointForecast.deciles. In order to plot my fan chart I would like to have output of complete simulation and not only deciles, for example I would like to compute percentiles. I have another question, what is the dynar…

This is tricky. prior_posterior_statistics_core.m creates the forecasts. pm3.m computes the deciles. In principle, you can easily access the saved forecasts across draws in the metropolis-subfolder in the FILENAME_forc_point*.mat-files. At the current stage, forecasts are from the DSGE-model, not…

Thanks a lot dear jpfeifer, Your help solve my problem. Cheers!! Aldo

Dear all, Im having a hard time trying solve question 1 by Aldo - retrieving Z, H, T, R and Q (Durbin Koopman DK notation) from dynare output I was reading all the state space representation posts, but Im still confused about the ABCD form and the one of DK notation. In ABCD_test.m, the matrix D i…

Have a look at [image] IRFs from the ABCD state space representation General DSGE Modeling Matlab’s state space uses y_t=\tilde Cx_t+\tilde D\varepsilon_t , but Dynare’s ABCD form reports y_t=Cx_{t-1}+D\varepsilon_t. With x_t=Ax_{t-1}+B\varepsilon_t you get y_t=(\ti…

Fan Chart (Predictive Density) - Forecast from a State-Space

Estimation ML/Bayesian estimation

jpfeifer 15 October 2024 17:24 7

Have a look at