FilteredVariablesKStepAhead yields forecasts-ss! RMSE?

[Naizen]

Hello everybody,

I would like to compute the RMSE of out-of-sample forecasts for an estimated model.
My approach: I use the option filter_step_ahead = [1 2 3 4 5 6 7 8], I get forecasts and I subtract the observables data.

My problem is that FilteredVariablesKStepAhead yields forecasts as deviations from the ss (right?).
But to evaluate the RMSE I need the forecasts non-in-deviations from the ss (or the estimated steady state for each Kalman Filter iteration).
Where can I find that / do anybody has an alternative way to compute true RMSE?

Thanks everybody, and have a nice evening !

Best,

Marco

[jpfeifer]

This is an unfortunate design problem in Dynare 4.4.3. Please try the unstable version. It should add the constant/trend to

Code: Select all

oo_.FilteredVariables

You should also be able to access the individual components in

oo_.Smoother

Sidenote: you are looking at the last period, I guess. Otherwise, you would be getting the "in-sample forecasts"

[Naizen]

Thank you for your answer Johannes. Your help is an invaluable service to the academic community.
About your sidenote yes, I have a 30 years long sample and I am evaluating the RMSE on the last 20.

Thanks again, and have a nice week.

Marco