I have seen in the following webpages that the estimation command in the recent dynare versions (i have 4.4.3) not
has implemented the forecast to the DSGE-VAR estimation models. I would like to ask you if that is yet true and if there is a way to
build by hand the forecast function for example through the “dsgevar_posterior_density”. What commands should i use?.
As outlined in github.com/DynareTeam/dynare/issues/819 you would need to obtain the Gaussian-Inverse Wishart posterior for the VAR and then simulate this BVAR starting from historical initial conditions.