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!