I have written the simplest code with TFP shock, where rhoA=0.97 is persistence.

The theoretical variance should be

theoretical variance=1/(1-rhoA^2)=16.9205

But dynare returns:

"

MOMENTS OF SIMULATED VARIABLES

VARIABLE MEAN STD. DEV. VARIANCE SKEWNESS KURTOSIS

A -0.240878 4.598555 21.146709 0.434870 0.629554

"

so, what is “21.146709”, and why mean is negative?

check.mod (215 Bytes)