Hi all,
I have a short question. I want to know if the theoretical mean computed by Dynare is the same as unconditional mean often mentioned in the literature? If so, then when I set an AR(1) process for the productivity in a simple RBC framework, the result shows that the mean productivity is higher than 1, which seems contradictory with the theory of time series. Do I do anything wrongly or misunderstand the time series?
Thanks a lot!
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Theoretical mean
by lm280299 » Fri Jun 10, 2016 3:47 pm
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Re: Theoretical mean
by jpfeifer » Sun Jun 12, 2016 3:39 pm
The theoretical mean is an approximation of the true unconditional mean (up to first/second)
Regarding the AR(1)-process: if you go to second order and have a log-normal process, the mean will be exp(0+1/2*sigma^2)
Regarding the AR(1)-process: if you go to second order and have a log-normal process, the mean will be exp(0+1/2*sigma^2)
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