Hi, dynare community,
I want to independently calculate the correlation of simulated variables for each shock in my multi-shock model. In G. C. Lim and Paul D. McNelis’s book, they do something like that because each shock affects the correlation between the endo variables differently.
In dynare’s output, however, the “
CORRELATION OF SIMULATED VARIABLES” block is for all shocks.
How do I get the correlations of the simulated variables for each shock? Is it stored somewhere in dynare’s output? Many thanks for all your responses.