[Trac] #290: Estimation+moments_varendo does not always deliver autocorrelation function
#290: Estimation+moments_varendo does not always deliver autocorrelation function ------------------------+-------------------- Reporter: sebastien | Owner: stepan Type: bug | Status: new Priority: major | Milestone: 5.0 Component: Estimation | Version: Keywords: | ------------------------+-------------------- Even when option ar > 1, oo_.PosteriorTheoreticalMoments.mean.var1.var2 seems to be a scalar.
#290: Estimation+moments_varendo does not always deliver autocorrelation function -------------------------+-------------------- Reporter: sebastien | Owner: stepan Type: bug | Status: new Priority: major | Milestone: 5.0 Component: Estimation | Version: Resolution: | Keywords: -------------------------+--------------------
Comment (by stepan):
Sebastien is looking in the wrong place. The autocorrelation function is stored in
{{{ oo_.PosteriorTheoreticalMoments.dsge.correlation.mean.var1.var2 }}}
where var1 and var2 are names of endogenous variables. If the names are different then we report the cross-correlation function.
Running some test with fs2000.mod, I found that dynare returns a vector (with options_.ar elements) if the posterior moments are computed with the observed variables, but returns a scalar if the posterior moments are computed for all the endogenous variables. This is a bug.
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Trac Dynare