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