Dynare Reference Manual: 4.17 Calibrated Smoother

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.

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