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VAR Equations

 

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View the VAR equations for a DSGE-VAR model. It is possible to choose between the initial values, marginal posterior mode, joint posterior mode, and the DSGE posterior mode. The initial values concerns the DSGE model parameters, where the VAR parameters are determined by the mode of the conditional prior distribution. The mode of the joint posterior of the DSGE and VAR parameters is such that the VAR parameters can be expressed as a function of the DSGE parameters. The marginal posterior mode means that the DSGE parameter are evaluated at the marginal posterior mode, while the joint posterior mode means that the DSGE parameters are evaluated at the joint posterior mode. For the DSGE posterior mode case, the value of the DSGE model parameters is taken from its posterior mode, while the  mode of the VAR parameters are taken from the posterior distribution for these parameters conditional on the DSGE model parameters.

If the structural shocks of the DSGE-VAR can be identified, then YADA will write the coefficients on the shocks in each equation. Otherwise it will write the residual of the equation.

 

Additional Information

A detailed description about posterior mode estimation in the DSGE-VAR model can be found in Section 15.7 of the YADA Manual.

 

 


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