Theoretical mean

Dynare help (legacy posts)
1

Hi all,

I have a short question. I want to know if the theoretical mean computed by Dynare is the same as unconditional mean often mentioned in the literature? If so, then when I set an AR(1) process for the productivity in a simple RBC framework, the result shows that the mean productivity is higher than 1, which seems contradictory with the theory of time series. Do I do anything wrongly or misunderstand the time series?

Thanks a lot!

2

The theoretical mean is an approximation of the true unconditional mean (up to first/second)

Regarding the AR(1)-process: if you go to second order and have a log-normal process, the mean will be exp(0+1/2*sigma^2)