Note on Higher-Order Statistics for the Pruned-State-Space of nonlinear DSGE models

Willi Mutschler

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: This note shows how to derive unconditional moments, cumulants and polyspectra of order higher than two for the pruned state-space of nonlinear DSGE models. Useful Matrix tools and computational aspects are also discussed.

JEL-codes: C10 C51 E10 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:113138

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