Hello everyone,

I am a beginner in dynare. I encountered some issues while exploring the functionalities of dynare. I attempted to find answers through the user manual but was unsuccessful. The original model is from Prof. Pfeifer’s Github, and I am using dynare version 5.3.

original code and data:

ls2003.mod (1.7 KB)

data_ca1.m (6.5 KB)

(1) I only retained the prior settings for the standard deviation of shocks under `estimated_params`

. I noticed that modifying the prior distribution, `mh_nblocks`

, `mh_replic`

, and `mh_jscale`

for the standard deviation of shocks affects the estimation results, but does not impact out-of-sample forecasting results. Is the situaiton reasonable? Why doesn’t it affect out-of-sample forecasting results? Does this imply that setting different shocks for the same model doesn’t affect out-of-sample forecasting results, meaning out-of-sample forecasting results only depend on the setting of endogenous variables in the model?

ls2003_q1.mod (2.0 KB)

(2) By removing the `estimated_params`

command and using `calib_smoother`

, I am still able to obtain out-of-sample forecasting results, and they seem to be exactly the same as the results in question 1. Why is it possible to run the model using `calib_smoother`

instead of the `estimated_params`

command? Am I essentially instructing the `estimated_params`

command to perform only out-of-sample forecasting?

ls2003_q2.mod (1.9 KB)

(3) Can the variable estimation results obtained after using the `calib_smoother`

command be used to assess the model’s fit to the data, such as comparing the standard deviation of the output from `calib_smoother`

command to the standard deviation of the data?

Since English is not my native language, I ask for your understanding if my choice of words or expressions may cause any discomfort. Sincerely, I appreciate every researcher willing to help me with my questions!

Hongming Zhang