In sample fit of DSGE Models

Estimation ML/Bayesian estimation
1

Hi,

Can anyone please tell me how to produce a graph (

Graph
Graph731×623 56.4 KB
) like this one after the Bayesian estimation of the DSGE models?
This plots the actual data well as the one-period-ahead forecasts obtained from the Kalman filter.

Thank you

Sahil

2

Hi sahil,
I’m afraid Dynare does not have a specific command to trigger a comparison chart of observed and filtered (one-step ahead) variables. But this can be easily implemented manually. To get the filtered variables, do the following:

  1. Set the option filtered_vars in the estimation command.
  2. After the estimation, results will be stored in oo_.FilteredVariables.
  3. Extra: note that you can also set the smoother option, which triggers the computation of the posterior distribution of smoothed and updated variables and shocks.

For further help, please take a look at the reference manual: https://www.dynare.org/manual and search for estimation.

Hope this helps.

1 Like
3

Hi Tavinho,

Thank you for your reply. This helped.

Best
Sahil