obtain UPDATED VARIABLES (Bayesian estim)

[hodabbbb]

Hi all, and Prof. Pfeifer,

I read from the dynare documentation that if I include the '' smoother'' option under the ''estimation'' command I can get the expected value of (endogenous) variables given info at date ''t'' (I am quoting below the extract from doc.pdf).

// estimation (OPTIONS. . . ) [VARIABLE_NAME. . . ]; [Command]
// smoother
% Triggers the computation of the posterior distribution of smoothed endogenous variables and shocks,
% i.e. the expected value of variables and shocks given the information available in all observations up to
% the final date (ET yt). Results are stored in oo_.SmoothedVariables, oo_.SmoothedShocks and oo_.SmoothedMeasurementErrors.
% Also triggers the computation of oo_.UpdatedVariables, which contains the estimation of the expected value
% of variables given the information available at the current date (Etyt). See below for a description of all these
% variables.

acutally I tried this option and with the MH replications greater than 10,000 but in the ''oo_'' folder I could not see any folder with the name ''oo_.UpdatedVariables''

Is there something I am missing here?
Should I activate any other option to get these results?

thanks in advance for any comments !

[jpfeifer]

Please provide the files (in a zip file) and state which version you are using.

[hodabbbb]

Thank you Prof. Pfeifer for your reply,

I am attaching the relevant (ZIP) files attached .
Obviously I could not send the FILENAME_results.mat file so you could check it right away (without running hte estimation yourself)

As I said the ''oo_UpdatedVariables '' folders does not come up once the MH replications are done.


Thanks again for your time !

UPDATE: I tried in Dynare 4.4.3 and in the unstable version as well (11 December2016 version)

[jpfeifer]

This is a mistake in the manual. You need to invoke

Code: Select all

filtered_vars

as well.

[hodabbbb]

It worked.

Thanks a lot for dealing with it Prof. Pfeifer!