Command for generating model moments in MATLAB

[Thassia]

Hello,

I am trying to generate the moments for an economic model in Dynare. I have the model solution in Matlab however I need help using the Matlab solution to generate model moments in Dynare.


In other words how can one incorporate
MATLAB command
[G,C0,M,fmat,fwt,ywt,gev,eu] = gensys(G0,G1,CC,Psi,Pi);

into the stoch_simul command
eg stoch_simul(order=1,irf=40) y_h c_h i_h b_h ;
in DYNARE

Any help would be appreciated!!

[jpfeifer]

You could do it, but the programming costs are most probably prohibitive. If you already have the model solution in non-Dynare form I would recommend that you use the state-space form to generate the model moments yourself. You can basically find the formulas in Kim, Kim, Schaumburg. Sims.

[Thassia]

Thank You.

"CALCULATING AND USING SECOND ORDER ACCURATE SOLUTIONS OF DISCRETE TIME DYNAMIC EQUILIBRIUM MODELS"
Correct?

Regards.

[jpfeifer]

Yes, this one http://www.sciencedirect.com/science/article/pii/S0165188908000316

[Thassia]

Which formulas or equation number are you referring to specifically?

[Thassia]

You could do it, but the programming costs are most probably prohibitive. If you already have the model solution in non-Dynare form I would recommend that you use the state-space form to generate the model moments yourself. You can basically find the formulas in Kim, Kim, Schaumburg. Sims.

Jpfeifer, I still have not solved this problem. Could you help explain what you mean by use the state form to generate the model moments? I read the paper that you suggested and I think the equations of interest are (39) -(42) but I do not know how to use them to generate the moments.

Regards,

Thassia