4.17 Calibrated Smoother

Dynare can also run the smoother on a calibrated model:

Command: calib_smoother [VARIABLE_NAME]…;

Command: calib_smoother (OPTIONS…) [VARIABLE_NAME]…;

Description

This command computes the smoothed variables (and possible the filtered variables) on a calibrated model.

A datafile must be provided, and the observable variables declared with varobs. The smoother is based on a first-order approximation of the model.

By default, the command computes the smoothed variables and shocks and stores the results in oo_.SmoothedVariables and oo_.SmoothedShocks. It also fills oo_.UpdatedVariables.

Options

datafile = FILENAME

See datafile.

filtered_vars

Triggers the computation of filtered variables. See filtered_vars, for more details.

filter_step_ahead = [INTEGER1:INTEGER2]

See filter_step_ahead.

prefilter = INTEGER

See prefilter.

loglinear

See loglinear.

first_obs = INTEGER

See first_obs.

filter_decomposition

See filter_decomposition.

diffuse_filter = INTEGER

See diffuse_filter.

diffuse_kalman_tol = DOUBLE

See diffuse_kalman_tol.