14 Sep
2015
14 Sep
'15
4:55 p.m.
Hi,
Following http://www.dynare.org/phpBB3/posting.php?mode=reply http://www.dynare.org/phpBB3/posting.php?mode=reply&f=1&t=7287 &f=1&t=7287, what would be the easiest way to do out of sample forecasting, i.e. use say observations 1 to 100 to estimate the model and the run a forecasting exercise on the next 100 observations? The calib_smoother command implicitly has to capability via the filtered_variables, but this would allow point-forecasts. Is there a better way? If not, we should maybe provide the capacities for this.
Best,
Johannes