Number of lags used for BVAR forecast

BVAR
1

Dear all,

I am currently trying to estimate a BVAR with dynare and I don´t quite understand the following: I can choose the maximum number of lags in the bvar_density command and results are computed for each number of lags.

First question: Can I fix the number of lags somehow?

Now within the bvar_forecast command, I can again choose the maximum number of lags, but the results such as RMSE and the forecasted timeseries are only computed once. Which is the underlying lag structure? Can I fix this as well or does dynare choose the optimal lag structure automatically?

Thanks a lot for your help!

2

The documentation has been updated. See bvar: fix description of lag lengths (!1838) · Merge requests · Dynare / dynare · GitLab
The bvar_forecast actually takes only the actual lag length, not the maximum.