IRF of the third-order Taylor approximation


I am confused when I try to understand the inputs and outputs of the third-order Taylor approximation using Dynare.

First, using other MATLAB codes for the third-order Taylor approximation (based on Schmitt-Grohe and Uribe codes), I have to provide the skewness perturbation parameter’s matrix before the approximation. Where do I provide it in Dynare? If we don’t have to provide it, where Dynare takes the information equivalent to variance-covariance matrix for the skewness-coskewness?

Second, concerning the output, how can I calculate the IRF (or simulate variables) from the output g_0, g_1, g_2 and g_3, and where the skewness correction is included in these matrices?

Thank you very much,

Dynare does not need higher moments of shocks (skewness in the case of 3rd order approximation), because it makes an hypothesis of normality. Hence only the variance-covariance matrix of the shocks is necessary.

The content of the g_0, g_1,… matrices is described in the reference manual for Dynare 4.1.3, in the section about “stoch_simul”.