shock_decomposition and DiffuseKalmanSmoother1
Posted: Fri Aug 07, 2015 4:55 pmGreetings Dear all,
I have a state space model and I want to make a shock decompositions. I understand that Dynare uses the function: DiffuseKalmanSmoother1, based on the work of Koopman and Durbin (2003): "Filtering and Smoothing of State Vector for Diffuse State Space Models", I would apply it to my model and I would like to have more details about the inputs of this function.
http://www.dynare.org/dynare-matlab-m2h ... rH1_Z.html
I'm reading the work of Koopman and Durbin, but still have doubts to implement the inputs of the function: DiffuseKalmanSmoother1.
Thank you very much for your attention
I apologize for my writing, I'm Peruvian.
Aldo
I have a state space model and I want to make a shock decompositions. I understand that Dynare uses the function: DiffuseKalmanSmoother1, based on the work of Koopman and Durbin (2003): "Filtering and Smoothing of State Vector for Diffuse State Space Models", I would apply it to my model and I would like to have more details about the inputs of this function.
http://www.dynare.org/dynare-matlab-m2h ... rH1_Z.html
I'm reading the work of Koopman and Durbin, but still have doubts to implement the inputs of the function: DiffuseKalmanSmoother1.
Thank you very much for your attention
I apologize for my writing, I'm Peruvian.
Aldo