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Dear Dr. Pfeifer,

I haven't found the solution to my problem in the previous post (viewtopic.php?f=1&t=3603#p18720) yet. Here, I am using the mod file from Iacoviello and Neri (2010) as an example. The only change I made is that I got rid of the linear trends in the model and cleaned the data using HP filter before estimation. The series in oo_.SmoothedVariables match the data very well, however I couldn't back out the data from the estimated oo_.SmoothedShocks using the command simult_().

Your help is highly appreciated. Thank you so much.

Aaron

I will look at it, but it will take some time

jpfeifer wrote:I will look at it, but it will take some time

Thank you, Dr. Pfeifer. I appreciate your help. -- Aaron

The answer is at http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=3603