Questions on Moment Calibration

Hi to all,
I’m a green hand to Dynare. And I want to estimate some of the parameters by matching the variance of some data.

After looking into the reference manual, I have several questions on how to proceed moment calibration with Dynare.According to the reference manual, the code lines are of the following form:

     y_obs,y_obs, [0.5 1.5]; //[unconditional variance]

I’m very confused with these code lines:

  • What does the first y_obs mean? What does the second y_obs mean? Which Y is in the model and which is in the data?
  • What does two numbers in square brackets [] ? Is it an interval?
  • Where are the estimated parameter values stored?
  • How do I obtain a proper variance of GDP. Do I need to compute var(Y_c) or var(Y_c/Y_t)? (Where Y_c is the cycle term after HPfiltering and Y_t is the trend term.)

I’m so sorry for these stupid questions.

That option cannot be used for estimation. What you have in mind is a moment matching. You could proceed along the lines of
Regarding your question:

  1. The two y_obs define the covariance between y_obs and y_obs, i.e. the variance in the model.
  2. The square brackets constrain the moment to be in this interval.
  3. This is not about estimation, so there are no values stored
  4. That depends on the filter you prefer.

Thank you Professor!
There is much to learn…