Var file missing in oo folder for third order approx

I am running a Bayesian estimation with third order approximation. After successful completion of the estimation, I don’t see the var file in oo folder. Thus I cannot compute any correlation or covariance among the endogenous variables. I wonder why is var file missing. I can see the var file up to second order. Any clue?

I guess you are using periods=0, i.e. requesting theoretical moments. But theoretical moments are only supported up to order=2. You would need to request simulated moments by setting the period option.