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Higher-order statistics for DSGE models

Willi Mutschler ()

No 4315, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: This note derives closed-form expressions for unconditional moments, cumulants and polyspectra of order higher than two for linear and nonlinear (pruned) DSGE models. The procedures are demonstrated by means of the Smets and Wouters (2007) model (first-order approximation), the An and Schorfheide (2007) model (second-order approximation) and the canonical neoclassical growth model (third-order approximation). Both the Gaussian as well as Student's t-distribution are considered as the underlying stochastic process. Useful Matrix tools and computational aspects are also discussed.

Keywords: higher-order moments; cumulants; polyspectra; nonlinear SDGE; pruning (search for similar items in EconPapers)
JEL-codes: C10 C51 E1 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2015-11
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-mac and nep-ore
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Journal Article: Higher-order statistics for DSGE models (2018) Downloads
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