Filtered Variables and kalman filter
Posted: Thu Apr 10, 2008 4:27 pmI am using version 3.065
I use the filtered_var and smoother options in the estimation command. These variables should be stored in the oo_ structure in the results. Although, filtered_var, smoothed_var and smoothed-shocks are stored I cannot locate the filtered_shocks?
Does dynare calculate filtered shocks? If so where does it store them.
A technical question regarding Kalman filtering and Smoothing:
The Kalman filtered and kalman smoothed variables for the observables should always be equal to the actual observed values? IS that correct?
Thanks,
Abhishek.
I use the filtered_var and smoother options in the estimation command. These variables should be stored in the oo_ structure in the results. Although, filtered_var, smoothed_var and smoothed-shocks are stored I cannot locate the filtered_shocks?
Does dynare calculate filtered shocks? If so where does it store them.
A technical question regarding Kalman filtering and Smoothing:
The Kalman filtered and kalman smoothed variables for the observables should always be equal to the actual observed values? IS that correct?
Thanks,
Abhishek.