Code For Expectation of a Function of a Random Variable
Posted: Mon Aug 20, 2012 6:25 pmI am new to Dynare, and am wondering if there is a simple way to code the expectation of function of a random variable when the underlying distribution is non-Gaussian. For example, I would like to evaluate expressions such as
integral [x**(1/(1-rho))] dF(x),
where F is the cdf of the Pareto distribution. I would like to use expressions like this in the model statements of a DSGE model.
I am also interested in evaluating functions of a random variable subject to a cutoff, such as
integral{x<x^} [x**(1/(1-rho))] dF(x).
integral [x**(1/(1-rho))] dF(x),
where F is the cdf of the Pareto distribution. I would like to use expressions like this in the model statements of a DSGE model.
I am also interested in evaluating functions of a random variable subject to a cutoff, such as
integral{x<x^} [x**(1/(1-rho))] dF(x).