conditional variance

[YiJohn]

I was solving a standard DSGE model, and I was looking for conditional variance of endogenous variables, like var(y_{t+k}|t) with respect to different horizon k.

Is there an option or command that reports this conditional variances? Thanks a lot.

PS: I am aware that stoch_simul has an option conditional_variance_decomposition that does conditional variance decomposition, but this option only reports the decomposition in percent, not in value.

Thanks!

Yi

[jpfeifer]

Currently, there is no option. But you can change conditional_variance_decomposition.m to get this behavior. There, a variable called ConditionalVariance is computed, but not saved. If you add something like

Code: Select all

save conditionalvariance ConditionalVariance;

after the variable ConditionalVariance has been created, running Dynare will save it to a correspondingly named file on the harddisk.

[YiJohn]

jpfeifer, Thank you very much for your help!

Yi