Cross country correlations

[mbov]

Hi there,

Is there a code after bayesian estimation of a DSGE model which can obtain the cross-country correlations if I have used data between Canada and the US?
Ie, if their is US output and Canada Output, obtain correlations for Corr(US_t,CAN_(t-k)) where t indexes time (t) and k>0.

Thank you

[jpfeifer]

Are you talking about cross-correlations in the data? Or for model variables? The latter are simple cross-correlation between model variables that are e.g. saved if you enable

Code: Select all

moments_varendo

[mbov]

Thank you for your response. Cross correlations for both the data and DSGE model variables.

[jpfeifer]

For the data you have to compute it yourself.

[mbov]

Thankyou. For the model cross correlations, how would you obtain the (10,90) or (5,95) posterior bands from:

oo_.PosteriorTheoreticalMoments.dsge.correlation.deciles.dp_obs.dpS_obs

It gives me a 5x1 cell

Thanks

[jpfeifer]

The HPDI should give you 90% posterior bands.