Dynare Reference Manual: 4.15 Forecasting

4.15 Forecasting

On a calibrated model, forecasting is done using the forecast command. On an estimated command, use the forecast option of estimation command.

It is also possible to compute forecasts on a calibrated or estimated model for a given constrained path of the future endogenous variables. This is done, from the reduced form representation of the DSGE model, by finding the structural shocks that are needed to match the restricted paths. Use conditional_forecast, conditional_forecast_paths and plot_conditional_forecast for that purpose.

Finally, it is possible to do forecasting with a Bayesian VAR using the bvar_forecast command.

Command: forecast [VARIABLE_NAME…];

Command: forecast (OPTIONS…) [VARIABLE_NAME…];

Description

This command computes a simulation of a stochastic model from an arbitrary initial point.

When the model also contains deterministic exogenous shocks, the simulation is computed conditionaly to the agents knowing the future values of the deterministic exogenous variables.

forecast must be called after stoch_simul.

forecast plots the trajectory of endogenous variables. When a list of variable names follows the command, only those variables are plotted. A 90% confidence interval is plotted around the mean trajectory. Use option conf_sig to change the level of the confidence interval.

Options

periods = INTEGER: Number of periods of the forecast. Default: 40
conf_sig = DOUBLE: Level of significance for confidence interval. Default: 0.90
nograph: Don’t display graphics.

Output

The results are stored in oo_.forecast, which is described below.

Example

varexo_det tau;
varexo e;

…

shocks;
var e; stderr 0.01;
var tau;
periods 1:9;
values -0.15;
end;

stoch_simul(irf=0);

forecast;

MATLAB/Octave variable: oo_.forecast

Variable set by the forecast command, or by the estimation command if used with the forecast option. Fields are of the form:

oo_.forecast.FORECAST_MOMENT.VARIABLE_NAME

where FORECAST_MOMENT is one of the following:

HPDinf: Lower bound of a 90% HPD interval(6) of forecast due to parameter uncertainty
HPDsup: Lower bound of a 90% HPD interval due to parameter uncertainty
HPDTotalinf: Lower bound of a 90% HPD interval of forecast due to parameter uncertainty and future shocks (only with the estimation command)
HPDTotalsup: Lower bound of a 90% HPD interval due to parameter uncertainty and future shocks (only with the estimation command)
Mean: Mean of the posterior distribution of forecasts
Median: Median of the posterior distribution of forecasts
Std: Standard deviation of the posterior distribution of forecasts

Command: conditional_forecast (OPTIONS…) [VARIABLE_NAME…];

Description

This command computes forecasts on an estimated model for a given constrained path of some future endogenous variables. This is done, from the reduced form representation of the DSGE model, by finding the structural shocks that are needed to match the restricted paths. This command has to be called after estimation.

Use conditional_forecast_paths block to give the list of constrained endogenous, and their constrained future path. Option controlled_varexo is used to specify the structural shocks which will be matched to generate the constrained path.

Use plot_conditional_forecast to graph the results.

Options

parameter_set = prior_mode | prior_mean | posterior_mode | posterior_mean | posterior_median: Specify the parameter set to use for the forecasting. No default value, mandatory option.
controlled_varexo = (VARIABLE_NAME…): Specify the exogenous variables to use as control variables. No default value, mandatory option.
periods = INTEGER: Number of periods of the forecast. Default: 40. periods cannot be less than the number of constrained periods.
replic = INTEGER: Number of simulations. Default: 5000.
conf_sig = DOUBLE: Level of significance for confidence interval. Default: 0.80

Example

var y a
varexo e u;

…

estimation(…);

conditional_forecast_paths;
var y;
periods 1:3, 4:5;
values 2, 5;
var a;
periods 1:5;
values 3;
end;

conditional_forecast(parameter_set = calibration, controlled_varexo = (e, u), replic = 3000);

plot_conditional_forecast(periods = 10) e u;

Block: conditional_forecast_paths ;

Describes the path of constrained endogenous, before calling conditional_forecast. The syntax is similar to deterministic shocks in shocks, see conditional_forecast for an example.

The syntax of the block is the same than the deterministic shocks in the shocks blocks (see section Shocks on exogenous variables).

Command: plot_conditional_forecast [VARIABLE_NAME…];

Command: plot_conditional_forecast (periods = INTEGER) [VARIABLE_NAME…];

Description

Plots the conditional forecasts.

To be used after conditional_forecast.

Options

periods = INTEGER: Number of periods to be plotted. Default: equal to periods in conditional_forecast. The number of periods declared in plot_conditional_forecast cannot be greater than the one declared in conditional_forecast.

Command: bvar_forecast ;

This command computes in-sample or out-sample forecasts for an estimated BVAR model, using Minnesota priors.

See ‘bvar-a-la-sims.pdf’, which comes with Dynare distribution, for more information on this command.

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