DSGE-VAR implementation in RATS

[BinhPham]

Dear Tom,

There is another question about DSGE-VAR. To my understanding, DSGE-VAR is that DSGE model has been solved via DSGE instruction (in RATS) to obtain matrix A and F in state-space form. The next step is to use procedure varfromdlm to have the corresponding VAR model. Is it right?

Thanks in advance,

[TomDoan]

I've seen the phrase used in at least two ways---either as you describe (which generates the VAR coefficients from the covariance generated by a DSGE solved out to state-space form) or as a VAR estimated from the data with a prior derived from a DSGE.

[BinhPham]

Dear Tom,

Thanks for your reply. Could I have an example code for any DSGE-VAR model (an replication work) that you already have ?

Thanks in advance,

[TomDoan]

To be honest, I don't have any.