The Secondary Moment of BGG

Dynare help (legacy posts)
1

Hey,guys!I got the BGG code and modified the parameters.The programme can run succesufully,but dynare doesn’t show me all the secondary moments of the variables,just some of the jump variables.Would you like to tell me what the reasons are and what should I do if I want the secondary moments of the full model?

The attachment is my code.Thanks a lot!

                                                                           Dean

bgg.mod (1.71 KB)

2

Hi

This is because there is a unit-root in your model. Some variables are not stationary, so the moments don’t exist. You need to report the moments after detrending, for example using the HP filter like that:

stoch_simul(irf=24, hp_filter = 5);

Best

3

Thanks,man!It runs very well!Thanks a lot!