Hi,
I just have one simple question. Could you indicate any source how Dynare computes theoretical moments for first and second order approximation?
Thank you in advance for your help.
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Computation of theoretical moments
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Computation of theoretical moments
by domel_s » Mon Feb 24, 2014 11:42 am
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Re: Computation of theoretical moments
by jpfeifer » Sun Mar 02, 2014 11:19 am
They are based on the state-space representation as for a VAR. For first order, see e.g. Hamilton (1994): Time Series Analysis. For second order, see Kim/Kim/Schaumburg/Sims (full reference in the manual).
When the HP-filter option is active, the frequency domain representation of the HP filter of King/Rebelo (1993) is used.
When the HP-filter option is active, the frequency domain representation of the HP filter of King/Rebelo (1993) is used.
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