I want to ask how to estimate the density of the BVAR model in Dynare when we have missing data (I use Mixed Frequency). I would like to use this to compare with the DSGE model. I know that Dynare can not calculate the density of the BVAR model if there is missing data.
- Is there another solution?
- Can we use smoothed variables as observation data? For example, if the observation equation is as follows:
y_obs = y + y (-1) + y (-2) + y (-3)
Can we use y (smoothed) as observation data?
Thanks in advance.