Hello,
One of my characteristic equations looks like this:
k=Et(Rt+1)/Vart(Rt+1)
Expected value of R is calculated by Dynare, but what is the case with variance? How Can I make Dynare to calculate variance from the above equation?
Please help
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Variance in characteristic equation
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Variance in characteristic equation
by nini » Thu Dec 27, 2012 10:42 am
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Re: Variance in characteristic equation
by jpfeifer » Mon Jan 07, 2013 4:56 pm
By using at least a second order approximation and entering the formula for the variance explicitly. You also need to make use of an auxiliary variable, see
http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=3417
However, you will get a problem with this equation in steady state.
http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=3417
However, you will get a problem with this equation in steady state.
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