Hi all:
I´m trying to use the Kalman filter that dynare uses. It will be helpful to estimate unobservable variables linked to a DSGE model (such us the natural interest rate). I found some programs that do the smother estimation (DiffuseKalmanSmootherH3.m), however I cannot find the one that does the kalman filter.
Can someone tell me which programme from dynare to use? How would be the easiest way to implement it inside a *.mod file?
Cheers,
Carlos
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Kalman filter in dynare 4
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As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
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Kalman filter in dynare 4
by cmontoro » Wed May 21, 2008 4:12 pm
- cmontoro
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Re: Kalman filter in dynare 4
by StephaneAdjemian » Thu May 22, 2008 12:04 pm
Hi Carlos,
You should use DsgeSmoother.m instead. Smoothed but also filtered variables are returned by this function (because filtered variables are needed to compute the smoothed variables).
Best,
Stéphane.
You should use DsgeSmoother.m instead. Smoothed but also filtered variables are returned by this function (because filtered variables are needed to compute the smoothed variables).
Best,
Stéphane.
- StephaneAdjemian
- Posts: 429
- Joined: Wed Jan 05, 2005 4:24 pm
- Location: Paris, France.
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