How can i obtain RMSE of forecasting of variables in BVAR estimation in Dynare ?
I want to forecast with Diebold-Mariano Method.their method is a recursive method for forecasting.
How can i forecast variables with their method in BVAR estimation in Dynare?
The BVAR forecast should provide a RMSE in the command window and in oo_.bvar.forecast.rmse if realized data observations are provided. The Diebold-Mariano you would have to implement yourself.