Hi everyone.
I've looked through the options and oo_. fields of the estimation command, but I haven't found a way to get the full covariance matrix of the filtered states. Any way you can do this in dynare?
Thanks in advance,
Daniel
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Covariance matrix of filtered states
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Covariance matrix of filtered states
by danielsolomon79 » Fri Oct 07, 2011 9:51 am
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Re: Covariance matrix of filtered states
by SébastienVillemot » Thu Oct 27, 2011 2:13 pm
Looks like what you want is not directly available.
You'll have to hack Dynare code a little bit (in dynare_estimation_1.m or evaluate_smoother.m).
You'll have to hack Dynare code a little bit (in dynare_estimation_1.m or evaluate_smoother.m).
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
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