Hi,
I am new using Dynare. I shall be very thankful if anyone could help me.
I am using the default stoch_simul command without specifying any period length. In this case, It is written in the User Guide that Dynare will report theoretical moments. I am not quite sure what it means, there is no simulation? What are the drawbacks (advantages) of using theoretical moments instead of simulating the model?
Thanks for the support.
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Theoretical moments
by caio mussa » Sun Jul 04, 2010 8:40 pm
- caio mussa
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Re: Theoretical moments
by SébastienVillemot » Thu Aug 19, 2010 1:27 pm
Hi,
It is possible to compute the theoretical moments of the first and second order approximations of the model. At first order, it is the same formula than for a standard autoregressive process. This formula can be generated at 2nd order.
The advantage is that it is faster and more accurate (you get the exact moments of the approximated solution).
Best
It is possible to compute the theoretical moments of the first and second order approximations of the model. At first order, it is the same formula than for a standard autoregressive process. This formula can be generated at 2nd order.
The advantage is that it is faster and more accurate (you get the exact moments of the approximated solution).
Best
- SébastienVillemot
- Posts: 706
- Joined: Fri Dec 07, 2007 2:29 pm
- Location: Paris, France
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