Let’s say that I have a parameter vector of estimates, either estimated with the maximum likelihood command in Dynare or some other way. Now I want to make forecasts based upon that parameter vector. I also want uncertainty bounds around the forecast
Let’s say that I have created posterior distributions of my own in regard to the parameters that I can use.
I want the uncertainty bounds to be based on.
- Uncertainty based on the parameter uncertainty
- The state variable uncertainty (Uncertainty from the Kalman filter calculations).
- Uncertainty due to shocks
- Perhaps uncertainty due to measurement errors.
There is a forecast command in Dynare, so the question is how much of the above (points 1-4) can I conduct by using built in Dynare functions? And what functions of Dynare should I use, more specifically?