Question regarding varobs

Dynare help (legacy posts)
1

Hi,

I am working on Bayesian estimation. I would like to ask whether it is possible to include after “varobs” not only observed endogenous variables but also observed exogenous variables (e.g. foreign inflation, foreign GDP etc.) for the estimation procedure.

Regards,

Sigitas

2

Hi Sigitas,

I don’t think this is possible… Instead, you may define these foreign variables as endogenous variables and model them, for instance, with a VAR (inside the model block).

Best,
Stéphane.

[quote=“Sigitas”]Hi,

I am working on Bayesian estimation. I would like to ask whether it is possible to include after “varobs” not only observed endogenous variables but also observed exogenous variables (e.g. foreign inflation, foreign GDP etc.) for the estimation procedure.

Regards,

Sigitas[/quote]

3

OK. Thank you. I will try. The idea with VAR looks promosing.

Good luck,

Sigitas

[quote=“StephaneAdjemian”]Hi Sigitas,

I don’t think this is possible… Instead, you may define these foreign variables as endogenous variables and model them, for instance, with a VAR (inside the model block).

Best,
Stéphane.

[quote=“Sigitas”]Hi,

I am working on Bayesian estimation. I would like to ask whether it is possible to include after “varobs” not only observed endogenous variables but also observed exogenous variables (e.g. foreign inflation, foreign GDP etc.) for the estimation procedure.

Regards,

Sigitas[/quote]

[/quote]