How to get the conditional variance of variable in var_model

Stochastic simulations Semistructural Modeling
1

Hi,

let’s say I have a standard VAR, where one of the variables is household disposable income. In my SSM I would like to use conditional variance of household disposable income as a factor in consumption target equation. How should I approach it? Thanks for any suggestions!

2

Hi,

Dynare doesn’t currently include built-in functionality for this. Could you share more about your use case? Do you have any references for this approach? Understanding your goal would help me suggest the best path forward.

One consideration: the target of the PAC equation—or the variables determining the target—must be part of the auxiliary model. So implementing this would likely require creating a new type of auxiliary model.

Best,
Stéphane