I make forecasts as part of the estimation command. Unfortunately, I’m unsure how to interpret the output, in particular the “red lines”, HPDTotalInf, HPDTotalsup. These supposedly include both parameter and shock uncertainty. With my estimation they mainly look spurious: The interval between HPDTotalInf & HPDTotalsup doesn’t include the interval between HPDInf & HPDsup (green lines) as a subset. For several variabels and horizons the two intervals don’t even overlap at all. Looking at the code of forecast.m , forcst.m and simultexdet.m didn’t help for me. In my uncertain judgement the variabels in question seem to be generated by the line:
"[1 k], repmat(dr.ys(ivar(i), 1, 2), ‘-r’)" in forcst.m.
Do I totally misunderstand the definition of HPDTotalInf, HPDTotalsup (or alternatively the def. of shock uncertainty). Is there maybe a setting for how many shocks to draw for this computation?