using stoch_simul I can get the matrix of theoretical contemporaneous cross correlations between HP filtered variables. Is there a way to obtain theoretical cross correlations of HP filtered variables at various leads and lags?
Thanks and best regards
The (theoretical and simulated) cross autocorrelations are not displayed by Dynare but are computed. You will find the autocorrelation function in oo_.gamma_y. By default the order of the autocorrelation function is five. To display the autocorrelation of order h (0<h<=5 if you do not change the default) you just have to type
oo_.gamma_y is a cell of arrays this explains the curly braces. The first element of this cell is the covariance of the endogenous variables, the 5 following elements are for the autocovariance function, last element is for the variance decomposition.
I’m using V 4.4.2, and I want to get the cross-correlations 5 lags 5 leads, How do I get it, and is there a command to do it easily, if so, what and where do I have to type it.
One easy way of doing this is to just define new variables such as x = y(-1), z(-1) = y and so on.
As Stephane said, after running stoch_simul, they are stored in oo_.gamma_y as documented in the manual.