obtain UPDATED VARIABLES (Bayesian estim)
Posted: Wed Dec 28, 2016 12:46 pmHi all, and Prof. Pfeifer,
I read from the dynare documentation that if I include the '' smoother'' option under the ''estimation'' command I can get the expected value of (endogenous) variables given info at date ''t'' (I am quoting below the extract from doc.pdf).
acutally I tried this option and with the MH replications greater than 10,000 but in the ''oo_'' folder I could not see any folder with the name ''oo_.UpdatedVariables''
Is there something I am missing here?
Should I activate any other option to get these results?
thanks in advance for any comments !
I read from the dynare documentation that if I include the '' smoother'' option under the ''estimation'' command I can get the expected value of (endogenous) variables given info at date ''t'' (I am quoting below the extract from doc.pdf).
// estimation (OPTIONS. . . ) [VARIABLE_NAME. . . ]; [Command]
// smoother
% Triggers the computation of the posterior distribution of smoothed endogenous variables and shocks,
% i.e. the expected value of variables and shocks given the information available in all observations up to
% the final date (ET yt). Results are stored in oo_.SmoothedVariables, oo_.SmoothedShocks and oo_.SmoothedMeasurementErrors.
% Also triggers the computation of oo_.UpdatedVariables, which contains the estimation of the expected value
% of variables given the information available at the current date (Etyt). See below for a description of all these
% variables.
acutally I tried this option and with the MH replications greater than 10,000 but in the ''oo_'' folder I could not see any folder with the name ''oo_.UpdatedVariables''
Is there something I am missing here?
Should I activate any other option to get these results?
thanks in advance for any comments !