Forecasting with DSGEVAR

[jcsantanac]

Dear Dynare Users,

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?.

I appreciate your recommendations. Thanks a lot!

DSGE-VAR Forecasts

Greetings, I noticed in an ECB working paper (Putting the New Keynesian DSGE model to the real-time forecasting test, 2009) that the authors did their estimation work in Dynare v.4. I’ve searched this forum and the Dynare documentation but I couldn’t find an answer to the following question: can Dynare produce forecasts from DSGE-VARs, or just from DSGE models and BVARs ‘à la Sims’? When I put ‘forecast’ in the estimation command, it produces a mean and point forecast for each variable, rather …

dynare.org/DynareWiki/KnownBugs
github.com/DynareTeam/dynare/issues/819
dynare.org/dynare-matlab-m2h … nsity.html

[jpfeifer]

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.