Calculating Standard Errors


How do I find out the standard errors of the moments of simulated variables in DYNARE? I use a fully calibrated model and study second moments of variables, specifically standard deviations. However, I would also like to report the standard errors of the standard deviations. How does one go about getting that? Any insight will be very helpful. Thank you very much.

All simulated variables are saved in a matrix. Check p. 28 of the Dynare manual:

“The simulated endogenous variables are available in global matrix oo_.endo_simul. The variables are arranged row by row, in order of declaration (as in M_.endo_names). Note that this variable also contains initial and terminal conditions, so it has more columns than the value of periods option.”

You can use this output to calculate all sorts of statistics on simulated variables.