Sorry, but that is not a feature implemented in Dynare.
Hie Professor @jpfeifer, just to follow up on the same. Besides the Markov Chain, is there any alternative technique I can model policy regime changes in Dynare?
I look forward to your kind response.
I think you are confusing Markov Chains and Markov switching. The big question you need to ask yourself is whether the policy change is ergodically recurring and its anticipated that such a change can happen or whether it’s one-time unanticipated (or something else)
Excellent
Dear Johannes,
Thank you very much for your kind contribution to this forum.
I am going to identify a SVAR of macro models using a DSGE model. I have recently learnt about the estimation procedure (Bayesian) using Dynare and the work of SW 2007.
My goal is to find the estimated parameters of an SVAR model by minimising the distance between IRFs from the DSGE model and those from a reduced form VAR as is usual in empirical macro. My concern here is that the estimated DSGE model uses a Bayesian method (correct me please if I am wrong) and then I use it to modify the results of another estimated model.
My question here is whether I can use the classic stochastic IRFs and the steady state that Dynare finds for my goal. Would I still get the same set of parameters from this method of solving the DSGE models? If yes, is there a preference? I understand if the answer is no, then I need to use the estimated results.
I would highly appreciate your clarification.