Run the conditional normal-inverted Wishart posterior sampler of the VAR parameters in the DSGE-VAR for a given value of the λ hyperparameter and for a sample of posterior draws of the DSGE model parameters. The size of this sample (and thereby also the number of random draws of the VAR parameters) is determined by the number of post burn-in posterior draws of the DSGE model parameters and the percentage use of posterior draws for impulse responses, variance decompositions and other functions of the parameters. These values are set in the posterior sampling frame on the Options tab.
Provided that structural shocks of the DSGE-VAR can be identified, the contemporaneous coefficients on these shocks are also computed via the residual covariance matrix of the shocks using the identification routine outlined in Del Negro and Schorfheide (2004). The selection of structural shocks is determined via the Set DSGE-VAR Shocks function.
Additional Information
• | A detailed description about posterior sampling of the VAR parameters in the DSGE-VAR model can be found in Sections 15.4 and 15.6 of the YADA Manual. |
Page url: http://www.texlips.net/yada/help/index.html?var_posterior_sampling.htm