Stochastic simulation

[kwaner]

Suppose I perform stochastic simulation of a DSGE model as:

stoch_simul(periods=200,irf=40,order=2) Y C;

Dynare produces the moments as a standard output. Now, I compute the moments from the simulated Y and C series. These two moments seem to be different. Any ideas?

[kyri82]

Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).

To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)

Hope it helps

[ahnulxy]

Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).

To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)

Hope it helps

It really helps! Thanks very much!