Dynare forums

Posted: **Wed Jan 17, 2007 7:27 pm**

Hi,
Is there any command in Dynare that calculates cov of 2 endogenous variables (x,y)? I'm looking for both unconditional and conditional covariances.
Thanks alot.
T

Posted: **Wed Jan 17, 2007 7:50 pm**

You can compute unconditional covariance from reported correlation and variance using usual formulas.
I'm not sure about which conditional covariance you mean

Best regards

Michel

Dynare forums

Calculate cov(x,y) in Dynare

Calculate cov(x,y) in Dynare