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

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.

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Year of publication:	2015
Authors:	Mutschler, Willi
Publisher:	ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

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Series:	Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Macroeconomic Modelling ; A24-V2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Conference Paper
Language:	English
Other identifiers:	hdl:10419/113138 [Handle] RePEc:zbw:vfsc15:113138 [RePEc]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C51 - Model Construction and Estimation ; E10 - General Aggregative Models. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011301734