Periods in stoch_simul

Dear All,

I would like to compare the standard deviations of my DSGE model with the ones in the data. Those data are given at quarterly frequency and are HP filtered with a coefficient lambda = 1600.

In the stoch_simul command, I introduce the option “hp-filter=1600”. Should I have to set “periods = 320” (320 is the number of quarters of the data) ? Or is it not required to set the option “periods” in stoch_simul ? I’ve tried both and the results are very similar.

Thanks in advance for your reply.

All the best

With the periods statement, you get simulated moments, without it, you get theoretical moments (unless order=3, in which case it is simulated as well)

Thank you for this quick reply. Since I want to compare the moments of my model to the ones of the data, do you mean that including the periods statement is more relevant ?

Thanks again.

As you noted yourself, there should not be much difference. I personally prefer theoretical moments (unless you use order>1).

Thank you very much. Very clear, as usual.