Theoretical moments and coefficients of autocorrelation


I want to simulate the Clarida, Gali and Gertler JEL model (see file in attachment) and suppose that I only consider the monetary policy shock (e_r).

My question is: how does Dynare compute the theoretical moments and the coefficients of autocorrelation?

Thank you very much

cgg2.mod (575 Bytes)

Dear Fabio, Dynare computes the second order moments using the reduced form solution of the model which is a VAR (for y, infl and r) with a reduced rank covariance matrix. This is explained in the manual and/or the user guide.

Best, St├ęphane.