Hi,
I just have one simple question. Could you indicate any source how Dynare computes theoretical moments for first and second order approximation?
Thank you in advance for your help.
They are based on the state-space representation as for a VAR. For first order, see e.g. Hamilton (1994): Time Series Analysis. For second order, see Kim/Kim/Schaumburg/Sims (full reference in the manual).
When the HP-filter option is active, the frequency domain representation of the HP filter of King/Rebelo (1993) is used.