Option "smoother" with estimation

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Option "smoother" with estimation

Postby Stefan_Boeters » Wed Apr 19, 2017 3:03 pm

You can use the option "smoother" with estimation. If you don't have provided a list of variables after the estimation command, Dynare asks you:

"Choose one of the following options: [1] Consider all the endogenous variables. [2] Consider all the observed endogenous variables. [3] Stop Dynare and change the mod file."

and waits for an answer. This is unhandy for batch processing. Is there a way to tell Dynare right away which option to select? (I tried "smoother = 1", but this doesn't work.)
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Re: Option "smoother" with estimation

Postby jpfeifer » Wed Apr 19, 2017 3:44 pm

Use
Code: Select all
selected_variables_only

(see the manual)
------------
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Re: Option "smoother" with estimation

Postby jpfeifer » Fri Apr 21, 2017 10:30 am

Did you select variables after the estimation command? E.g.
Code: Select all
estimation(smoother,selected_variables_only,...) y c i;
------------
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Re: Option "smoother" with estimation

Postby Stefan_Boeters » Mon Apr 24, 2017 12:07 pm

I'm still confused about this. The Dynare manual says:
selected_variables_only
Only run the smoother on the variables listed just after the estimation command. Default: run the smoother on all the declared endogenous variables.

So I thought that if I do not provide a list with variables after the estimation command, the smoother would be applied to all endogenous variables. But this doesn't seem to be the case. At least, after running "estimation" with options "smoother" and "selected_variables_only", but without a list of variables, the output does not contain an oo_.SmoothedVariables field.
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Re: Option "smoother" with estimation

Postby jpfeifer » Mon Apr 24, 2017 12:37 pm

If you want to have all variables, you need to use
Code: Select all
consider_all_endogenous

And you need to use the unstable version, because that's where this option has been introduced.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Option "smoother" with estimation

Postby Stefan_Boeters » Mon Apr 24, 2017 12:57 pm

OK, thanks, I'll give it a try.
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