Monte Carlo Simulation after DSGE Estimation

[kirsten_james]

Hello,
I am using the Smets-Wouters 2007 model for a project where I start by using the estimated model to simulate 1000 datasets for a Monte Carlo simulation. I will then fit VARs and LPs to each of these datasets and look at the IRFs and bias and variance compared to the original model to see which method is best. I know stoch_simul can simulate datasets but also solves models (which I don’t think I need), but can it be used after estimation() so that it uses the estimated model for the simulation? Are there any additional options that may be needed? Or should I be doing a different (manual) procedure following the estimation() to get the simulated datasets? I’ve seen simult- as another option. Just want to make sure the simulations are correct–hope this is an easy question.
Thank you.

[jpfeifer]

See

Stoch_simul after estimation

That depends on what you want to do. If you want to run stoch_simul in a different mod-file, then you are right. If you want to run it after estimation in the same file, then you can simply put the stoch_simul-command after estimation. As documented in the manual After running estimation, the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the mode for maximum likelihood estimation or posterior mode computation without Metropolis iterations. If you want the p…

You may want to use the simul_replic-option to obtain the datasets. See e.g. DSGE_mod/Hansen_1985/Hansen_1985.mod at master · JohannesPfeifer/DSGE_mod · GitHub