Skip to content
master
Switch branches/tags
Go to file
Code

Latest commit

 

Git stats

Files

Permalink
Failed to load latest commit information.

README.md

Replication files for Mutschler (2018) - Higher-order statistics for DSGE models, Econometrics and Statistics, Volume 6, Pages 44-56, DOI

This code illustrates how to use DYNARE to

  • compute higher-order statistics (cumulants, moments, polyspectra up to fourth-order)
  • estimate with GMM using higher-order statistics (cumulants, moments, polyspectra up to fourth-order)
  • include Student's t distributed errors

for DSGE models solved by a perturbation approximation approach up to third-order. The HOS and GMM toolbox are both model-independent.

The main file is XRunForReplication.m