Covariance terms in osr command

[ecrgap]

Hi all,

If I have understood well, in Dynare 4.1.3 we are able to introduce covariance terms in the osr command, right? Is there an example of that?


Thank you very much in advance.

[SébastienVillemot]

You can introduce a weight to the covariance of two variables in the objective with the following syntax (for two variables x and y):

Code: Select all

optim_weights;
x, y 1;
end;


Note the absence of comma after the second variable.

[ecrgap]

Thank you very much indeed.