Dear all,

I would like to understand how Dynare computes the Kalman filter and the smoother.

1- Starting with matrices dr_.ghx and dr_.ghu, how to obtain (or identify) matrices zz, psi and phi in a model whose solution is given by:

Y_t=zz*GAM_t+W_t (measurement equation)

GAM_t=phi*GAM_{t-1}+psi*V_t (transition equation)

with E(V_tV_t')=SIG_v, E(W_tW_t')=SIG_w

2- How does Dynare compute the Kalman filter and especially in a model with measurement errors as the one above. Is there any file I can take a look at in order to understand the mechanisms at work?

Thanks,

Junior