How to compute the correlations of endogenous variables using the posterior mean with hp filter

Estimation
1

Dear all, I have a question that seems basic but I can’t find the answer in the manual or the forum.

We need to compare the moments of model and data. Since I use one sided HP filter to the data, I need to compute the same to the model with estimated posterior means of the parameters. But I don’t know how to do it.

I tried to add option hp_filter =1600 in the command estimation but it’s not possible. Then I try to add stoch_simul(hp_filter=1600) command after the estimation command. It works but I am not sure whether the results are based on the posterior mean?

Anybody can give me a hint? Thanks.

2

As documented in the manual

After estimation with Metropolis iterations (option mh_replic > 0 or option load_mh_file
set) the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the
posterior mean.

Thus, if you run stoch_simul after estimation with a MCMC, the resulting output will be at the posterior mean.

3

Thanks very much. Your help is well appreciated.