Dear all,

could it be that there is a mistake in the manual? It currently says:

filter_step_ahead = [INTEGER1:INTEGER2]

Triggers the computation k-step ahead filtered values. Stores results in oo_.FilteredVariablesKStepAhead and oo_.FilteredVariablesKStepAheadVariances.

But this seems to be only true for “%% ML estimation, or posterior mode without metropolis-hastings or metropolis without bayesian smooth variable“ as the comment in dynare_estimation_1 before the call to DsgeSmoother says. Instead, for Bayesian estimation, the respective field seems to be oo_.filtered_variables.

Best,

Johannes

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Johannes Pfeifer

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