I’m simulating a model with a third-order approximation and pruning. I got the IRFs, but I was wondering if Dynare stores the estimated variances of variables somewhere, or if there is a way to estimate them.
What do you mean? Dynare does not yet report theoretical variances at
order=3, but of you specify the
periods option, you will get simulated moments.
It does work with the periods option. Thank you!