Content of oo_.gamma_y

Dynare help (legacy posts)
1

Hi,
The cross autocorrelations are not displayed by Dynare but can be found in oo_.gamma_y.
I was wondering whether lagged variables are given in columns:

 |       x(-2)    y(-2)   z(-2)

x | . . .
y | . . .
z | . . .

or in rows:

 |      x          y      z

x(-2) | . . .
y(-2) | . . .
z(-2) | . . .

Cheers,
Sigitas

2

I am having the same problem. Does anyone know the answer??

3

Lagged variables are in columns.

I have added a note about that in the reference manual, for future releases.

Thanks for your feedback

4

Thanks Sébastien.

5

Hi Sébastien,
What if I want to calculate cross correlation in leads for the next 5 periods, where can I get or how to construct this information?
I want to compare my estimated Dynare results from an RBC with something similar like in Cooley, Frontiers of Business Cycle Research, pg. 30-31.
Thank You
Martin

6

They are stored in oo_.gamma_y, because corr(x(+5),y)=corr(x,y(-5)) due to stationarity