Hi,
I want to simulate the Clarida, Gali and Gertler JEL model (see file in attachment) and suppose that I only consider the monetary policy shock (e_r).
My question is: how does Dynare compute the theoretical moments and the coefficients of autocorrelation?
Thank you very much
Fabio
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theoretical moments and coefficients of autocorrelation
by fabio_portugal » Sat Nov 06, 2010 4:47 pm
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Fabio Verona
Research Economist
Monetary Policy and Research Department
BANK OF FINLAND
Research Economist
Monetary Policy and Research Department
BANK OF FINLAND
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- Location: Helsinki
Re: theoretical moments and coefficients of autocorrelation
by StephaneAdjemian » Tue Nov 09, 2010 10:11 am
Dear Fabio, Dynare computes the second order moments using the reduced form solution of the model which is a VAR (for y, infl and r) with a reduced rank covariance matrix. This is explained in the manual and/or the user guide.
Best, Stéphane.
Best, Stéphane.
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