Cross country correlations

Hi there,

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.

Thank you

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

Thank you for your response. Cross correlations for both the data and DSGE model variables.

For the data you have to compute it yourself.

Thankyou. For the model cross correlations, how would you obtain the (10,90) or (5,95) posterior bands from:


It gives me a 5x1 cell


The HPDI should give you 90% posterior bands.