simulated data

[Lara]

Hi,
I am looking for the simulated data. In the mod file I type stoch_simul(periods=1000,irf=40); I obtain the moments of simulated variables in the command window. But from which series are these moments calculated?
When I take the first series in the oo_.endo_simul (the first row) and I calculate, let’s say, the standard deviation, this value is different from the one I see in the command window for the same series. Could you pls me explain where I can get the simulated data?

Thanks in advance!

[SébastienVillemot]

Hi

The simulated data are indeed in oo_.endo_simul, as explained on:
http://www.dynare.org/manual/re26.html

The point is that some observations are dropped at the beginning of the simulation (100 by default). And you also need to take into account the number of lags in your model (stored in M_.maximum_lag).

So the formula for the mean of the 1st variable is:

Code: Select all

mean(oo_.endo_simul(1, options_.drop+M_.maximum_lag+1:end))


Best

[Lara]

Dear Sebastien,
many thanks!
Cheers,