prediction errors in Dynare

[iacoviel]

Dear Michel,

I would like to know if the estimation output of Dynare includes the prediction error of the observables that used in the computation of the likelihood.

Thanks,

Matteo

[MichelJuillard]

Not exactly, but you can request option filtered_vars, then the filtered variables are available in oo_
You can then compute the one period ahead prediction error as observation minus filtered variable

kind regards

Michel