This question was answered previously
viewtopic.php?f=1&t=1796&hilit=filtered+variables
but I just wanted to make entirely sure that it is correct. I want to find one-step ahead forecast errors for my data after estimating a DSGE. I have been using the filtered variable in oo_.FilteredVariables.VARNAME and removing the first observation from that series. Is this correct or is the last value actually the forecast for time T+1, in which case I should be removing that?
Thanks.
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Filtered variables
by dajmcdon » Mon Nov 16, 2009 8:15 pm
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