Plotting autocorrelation functions after estimation


#1

Hello,

I am trying to plot the autocorrelation (cross correlogram) functions of the endogenous variables after estimation, such as done in Figure 3 in Justiniano, Primicerii, and Tambalotti 2012 RED on pg. 35: http://faculty.wcas.northwestern.edu/~gep575/ISRP12RED_gt.pdf

I am just wondering if there is a Dynare post-estimation command that does this? I know the autocorrelations are stored in oo_.autocorr, but it seems like there should be a more direct way to plot these.

Thanks,
Jay


#2

No, you have to plot those yourself based on the results. Note that oo_.autocorr only stores the correlations from simulation. You are looking for oo_.PosteriorTheoreticalMoments with moments_varendo enabled.