diff --git a/doc/dynare.texi b/doc/dynare.texi index abe9bedbe9c153ca26f7c6496e5284db4faa68f1..6627a2a3eb8c8430afa444cd1d530e5d68ad8ca2 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -3010,6 +3010,7 @@ the endogenous variables. Contains theoretical variance if the otherwise. The variables are arranged in declaration order. @end defvr +@anchor{oo_.autocorr} @defvr {MATLAB/Octave variable} oo_.autocorr After a run of @code{stoch_simul}, contains a cell array of the autocorrelation matrices of the endogenous variables. The element @@ -3018,6 +3019,39 @@ autocorrelation. The option @code{ar} specifies the number of autocorrelation matrices available. Contains theoretical autocorrelations if the @code{periods} option is not present, and empirical autocorrelations otherwise. + +The element @code{oo_.autocorr@{i@}(k,l)} is equal to the correlation +between @math{y^k_t} and @math{y^l_{t-i}}, where @math{y^k} +(resp. @math{y^l}) is the @math{k}-th (resp. @math{l}-th) endogenous +variable in the declaration order. + +Note that if theoretical moments have been requested, +@code{oo_.autocorr@{i@}} is the same than @code{oo_.gamma_y@{i+1@}}. +@end defvr + +@defvr {MATLAB/Octave variable} oo_.gamma_y +After a run of @code{stoch_simul}, if theoretical moments have been +requested (@i{i.e.} if the @code{periods} option is not present), this +variable contains a cell array with the following values (where +@code{ar} is the value of the option of the same name): + +@table @code +@item oo_.gamma@{1@} +Variance/co-variance matrix. + +@item oo_.gamma@{i+1@} (for i=1:ar) +Autocorrelation function. @pxref{oo_.autocorr} for more +details. Beware, this is the @i{autocorrelation} function, not the +@i{autocovariance} function. + +@item oo_.gamma@{nar+2@} +Variance decomposition. + +@item oo_.gamma@{nar+3@} +If a second order approximation has been requested, contains the +vector of the mean correction terms. +@end table + @end defvr @defvr {MATLAB/Octave variable} oo_.irfs