Hi,
The cross autocorrelations are not displayed by Dynare but can be found in oo_.gamma_y.
I was wondering whether lagged variables are given in columns:
| x(-2) y(-2) z(-2)
------------------------------
x | . . .
y | . . .
z | . . .
or in rows:
| x y z
------------------------------
x(-2) | . . .
y(-2) | . . .
z(-2) | . . .
Cheers,
Sigitas
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Content of oo_.gamma_y
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Content of oo_.gamma_y
by Sigitas » Sat Jul 16, 2011 9:44 am
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Re: Content of oo_.gamma_y
by economist2004 » Mon Jul 25, 2011 4:13 pm
I am having the same problem. Does anyone know the answer??
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Re: Content of oo_.gamma_y
by SébastienVillemot » Mon Sep 05, 2011 1:14 pm
Lagged variables are in columns.
I have added a note about that in the reference manual, for future releases.
Thanks for your feedback
I have added a note about that in the reference manual, for future releases.
Thanks for your feedback
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
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Re: Content of oo_.gamma_y
by mpalmero » Thu Jun 19, 2014 7:19 pm
Hi Sébastien,
What if I want to calculate cross correlation in leads for the next 5 periods, where can I get or how to construct this information?
I want to compare my estimated Dynare results from an RBC with something similar like in Cooley, Frontiers of Business Cycle Research, pg. 30-31.
Thank You
Martin
What if I want to calculate cross correlation in leads for the next 5 periods, where can I get or how to construct this information?
I want to compare my estimated Dynare results from an RBC with something similar like in Cooley, Frontiers of Business Cycle Research, pg. 30-31.
Thank You
Martin
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Re: Content of oo_.gamma_y
by jpfeifer » Sun Jun 22, 2014 10:26 am
They are stored in oo_.gamma_y, because corr(x(+5),y)=corr(x,y(-5)) due to stationarity
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