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IRF Matching

Willi Mutschler requested to merge wmutschl/dynare:bayesian_irf_matching into master


This pull request adds a new feature to the method_of_moments function, which allows for both Bayesian and Frequentist inference of impulse response function (IRF) matching.

Changes Made

The method_of_moments command has been modified to include full Bayesian MCMC capabilities which follow closely and share codes as much as possible with the estimation command, see also the corresponding preprocessor changes.


There is a to-do list in +mom/run.m, but the items there are rather enhancements. Also we don't have an interface yet, but I think we could merge this first and then adapt once we decided on the new interface. The documentation needs to be updated to reflect the new feature, but this should also wait until we have an interface.

So for this merge request the To-Do list is:

  • Preprocessor needs to be adapted
  • !2187 (merged) needs to be merged first and then this MR rebased
  • More tests need to be added to cover the new feature
  • Tests need to be added to the testsuite
  • Compare with older Dynare if neither Method of Moments nor Estimation commands change results
Edited by Willi Mutschler

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