Could anyone please instruct me how can I write “E_{t-1} X_{t}” - which is the value of X anticipated in the previous period- in Dynare?
Thank you very much
Cheers,
A
You should be able to do that be defining
x_expect_at_t=x(+1);
x_expect_at_t_minus_1=x_expect_at_t(-1);
The first line defines x_expect_at_t as the conditional expectation. The second line lags that conditional expectation by one period.
Thanks jpfeifer.
May I know how to compute the conditional standard deviation? I’m working on the conditional standard deviation of a stochastic discount factor, beta*(c(+1)/c)^(-gamma). As the above logic, I should define another variable m=beta*(c(+1)/c)^(-gamma), and then the standard deviation of m is the conditional standard deviation of what I want, isn’t it?
Besides, which result should I focus on if I also want to use the value of conditional expectation in the HJ bound, the mean or the steady state of m?
You could do it as documented here: [3rd order simulation negative conditional variance) but you need to be aware of the limits of this approach.