Hi,
I wanted to know how to get the calculation for the volatility of variables in dynare. I know when you run a model in dynare, in the command window you get the variance for each variable under the theoretical moments section. Can someone please tell me if this is where I can get the calculation for the volatility of the variables, or if not how can I compute it? Thanks.
The first order solution takes the form of a state-space model. The moments can be easily computed, e.g. using the formulas in Chapter 18 of Luetkepohl (2005).
Hi jpfeifer,
Thank you for this information and the reference. Have a good day.
Best,
Carol
Hi jpfeifer,
Just to clarify, are these variances / moments calculated using Dynare or do I have to write a seperate code in Matlab ? Can you please elaborate slightly on where this information on asymptotic variances is obtained from or the procedure ? I am simply having difficulties in obtaining this book at the moment.
Thank You,
Carol