Where is contemporaneous cross-correlation?

Estimation ML/Bayesian estimation
1

I can’t find contemporaneous cross-correlations between endo-variables after running bayesian estimation.

“oo_.PosteriorTheoreticalMoments.dsge.correlation” shows only lagged cross-correlations.

Where can I find them ?

Please help me!!!

2

You need to construct them. Take a look at the GarciaCiccoetal2010.mod at sites.google.com/site/pfeiferecon/dynare

3

Thank you for your quick reply.

But, this way doesn’t seem to give confidence intervals for cross autocorrelations (ie. HPD region for Bayesian estimation)

Maybe, it seems to result from the single estimates for policy function.

However, I think that in fact, there exist distributions for policy function’s parameter estimates.
As a result, cross-autocorrelation also should have confidence intervals.
Am I right?

In addtion, another related question is whether policy function’s parameters in “oo_.dr.ys” come from Bayesian estimation’s mode value or anything.

Thanks a lot!!!

4

Unfortunately, that is true. Currently, the distribution of contemporaneous correlations is not provided. You would need to construct them in each iteration. Code for doing this would be here: github.com/DynareTeam/dynare/pull/871

The values in oo_.dr.ys after Bayesian estimation come from the last subdraw. They are not at the mode. If you want this, you need to run stoch_simul once again.

5

Sir, I don’t seem to find the code you mentioned will help with the contemporaneous correlation. I also would like to clarify if the mean lagged correlation found in oo_.PosteriorTheoreticalMoments.dsge.correlation is the ideal one to use when comparing with data lagged correlation.

Additionally, I am trying to clearly understand the lagged cross correlation. So if I am looking for the cross correlation of consumption with 2 period output lag, would it mean that I will look at

oo_.PosteriorTheoreticalMoments.dsge.correlation.Mean.c // oo_.PosteriorTheoreticalMoments.dsge.correlation.Mean.c.y and then pick the number two figure in the column vector?

Kindly help attend to my questions neglecting the simplicity. I want to be sure I am doing the right thing.

Thank you.

6
  1. You would need to run a posterior_function adapted to this purpose. An example is at https://git.dynare.org/Dynare/dynare/tree/master/tests/prior_posterior_function
  2. Yes, this is correct.