Conditional variance

Stochastic simulations
1

I was solving a standard DSGE model, and I was looking for conditional variance of endogenous variables, like var(y_{t+k}|t) with respect to different horizon k.

Is there an option or command that reports this conditional variances? Thanks a lot.

PS: I am aware that stoch_simul has an option conditional_variance_decomposition that does conditional variance decomposition, but this option only reports the decomposition in percent, not in value.

Thanks!

Yi

2

Currently, there is no option. But you can change conditional_variance_decomposition.m to get this behavior. There, a variable called ConditionalVariance is computed, but not saved. If you add something like

save conditionalvariance ConditionalVariance;

after the variable ConditionalVariance has been created, running Dynare will save it to a correspondingly named file on the harddisk.

3

jpfeifer, Thank you very much for your help!

Yi

4

professor,
I intend to get the values of the conditional variance decomposition , Is there a simple way ? or I have to change conditional_variance_decomposition.m to get this in dynare (version 5.4).

5

Do you need the conditional variance or its decomposition? The former requires a hack. The latter is available with the conditional_variance_decomposition option. See the manual for the syntax.

6

the conditional_variance_decomposition reports the decomposition in percent, not in value, I intend to get the values of the conditional variance

7

Then you should proceed as outlined above in

8

I see, thanks a lot, professor