Suppose I perform stochastic simulation of a DSGE model as:
stoch_simul(periods=200,irf=40,order=2) Y C;
Dynare produces the moments as a standard output. Now, I compute the moments from the simulated Y and C series. These two moments seem to be different. Any ideas?
Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).
To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)
Hope it helps
[quote=“kyri82”]Dynare drops by default the first 100 observations. Thus if you are computing the moments over the whole generated sample they will be different. Check the options for stoch_simul in the manual (page 33).
To see how many observations have been dropped type: options_.drop
To alter the number of observations dropped do: stoch_simul(periods=200,irf=40,order=2, drop=INTEGER)
Hope it helps[/quote]
It really helps! Thanks very much!