I have a question related to rolling window to estimating DSGE model with DYNARE
I would to evaluate the forecasting performance of my DSGE model, so that I would use the out-of-sample forecasts.
My full sample size: 160 observations (1975q1 to 2013q4)
My window size: 80 observation
So that I have around 81 windows
This implies that I need to estimate my DSGE 81 times (for 81 windows)
So that my question is that can I do with DYNARE?
In my case, the structure of my DSGE model is the same as for all 81 windows, but different period of obsevartion. As far as I know, in DYNARE, the command varobs, it enables to run a loop
Is that solution which fit my current problem?
Thank you so much for that