Is there a code after bayesian estimation of a DSGE model which can obtain the cross-country correlations if I have used data between Canada and the US?
Ie, if their is US output and Canada Output, obtain correlations for Corr(US_t,CAN_(t-k)) where t indexes time (t) and k>0.

Are you talking about cross-correlations in the data? Or for model variables? The latter are simple cross-correlation between model variables that are e.g. saved if you enable