shock_decomposition and DiffuseKalmanSmoother1

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shock_decomposition and DiffuseKalmanSmoother1

Postby Aldo » Fri Aug 07, 2015 4:55 pm

Greetings 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
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Re: shock_decomposition and DiffuseKalmanSmoother1

Postby jpfeifer » Tue Aug 11, 2015 6:45 am

Dear Aldo, do you have specific questions?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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