Log percentage deviations

General DSGE Modeling
1

Hi, friends,

If I set the simulated series of the level form in dynare, whether the equation as below indicates “log percentage deviations” ?

100*(Yt/Y-1).

And is it a accurate way to calculate the moments?

Thank you.

Best,

2

That is one way to do it (although this is not log percentage deviations, but rather actual percentage deviations; but at first order, there is no difference)
More generally, see Question about understanding irfs in dynare

3

Hi Prof. Pfeifer, thank you. Btw, is it correct to compute the moments, i.e. standard deviation, as below,

stdy = 100*std(Yt - hpfilter(log(Yt + Yt),1600))

or

stdy = 100*std(Yt/Y-1).

Which one is correct? Thank you for your help.

Best,

4

That very much depends on what you goal is (filtered moments or unfiltered) and where you put these commands (in the model-block or after you have obtained simulated series).

5

Hi. Prof.Pfeifer,

Thank you for your reply. So is either of those methods correct?

I just use the command after simulating series.
I am also curious to know how to compute the filtered moments of simulated series if I set the command in the mode block as below,

stoch_simul(order =1, periods=0,irf= 20, nograph) yt ct;

I tried to use this command,

simult_(oo_.dr.ys,oo_.dr,options_.order).

Thank you.

6

stdy = 100*std(Yt - hpfilter(log(Yt + Yt),1600))
is wrong because you take the log of twice Yt, which makes no sense.
stdy = 100*std(Yt/Y-1)
would be correct if Y indicate the steady state here and you do not want to filter.

I don’t get the second part of the question. You mean how to compute theoretical filtered moments? See the reference provided in manual.

7

Hi. Prof. pfeifer:

Thank you for your prompt reply. Sorry it’s a typo.

Is it okay to compute the filtered moments in this way?

stdy = 100*std(Yt- hpfilter(Yt,1600))

Right, I mean it is just to compute the theoretical filtered moments.

I want to get the simulated series without shocks using the command as follows,

simult_(oo_.dr.ys, oo_.dr, ex_, options_.order).

instead of using the below command,

stoch_simul(order =1, periods=1000000,irf= 20, nograph);

Since I think it is inefficient when periods are quite large. Do you agree with the first method? Thank you.