I am wondering whether dynare has any readymade code available for minimising the distance between the model and data moments of a few target variables. As I understand it is impossible to match all the moments of relevant endogenous variables. A pragmatic approach is to target a few key second moments (say volatilities).
Let me give an example. Suppose there are five forcing processes. In principle, I can can target five standard deviations of five key endogenous variables. I can tinker with the standard deviations of the five forcing processes until I get the best possible match between theoretical and data moments of the five key endogenous variables of interest. This can be done in a trial and error fashion or it can be formally done by minimising some distance function.i have not seen any code in dynare doing this distance minimization approach. Any clue?