Forecasting an estimated model

Dynare help (legacy posts)
1

I am trying to forecast an estimated model. The guide to dynare states that this can be done by specifying ‘forecast’ in the estimation command line. The following is my command line:

estimation(datafile=datapull,first_obs=50,mh_nblocks = 1,nobs=200,mode_compute=4,mh_replic=0,mode_check,forecast=40);

and the output for structure oo_ is:

oo_ =

   posterior_mode: [1x1 struct]
    posterior_std: [1x1 struct]
  MarginalDensity: [1x1 struct]
SmoothedVariables: [1x1 struct]
FilteredVariables: [1x1 struct]
   SmoothedShocks: [1x1 struct]

The substructure ‘forecast’ should be in oo_ but it isn’t. Can you tell me how to correct the syntax to get the forecasting option to work? If it can’t be done from the estimation command line then can it be done some other way?

Thanks in advance

2

Forecast is available as a field in oo_ in the snapshot version of Dynare version 3

Best

Michel

3

I downloaded the daily snapshot version of dynare and tried to forecast as was suggested above. The option still isn’t working for me (it doesn’t appear in the field oo_). What is the correct syntax for forecasting from an estimated model?

Thanks in advance,
Josh

4

I didn’t see it at first: you need to run Metropolis iterations. This is a deficiancy, but currently Dynare has no provision to forecast out of the posterior mode (maximum likelihood).

Best

Michel