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Document treatment of measurement error in forecasts 

Also removes wrong info on HPDTotalsup/inf
time-shift
Johannes Pfeifer 2016-06-19 16:32:42 +02:00 committed by Stéphane Adjemian (Hermes)
parent 894090e6be
commit 8341ac33f8
1 changed files with 29 additions and 10 deletions
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doc/dynare.texi
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@ -6151,6 +6151,15 @@ to change the size of the HPD interval}
@item HPDsup
Upper bound of a 90% HPD interval
@item HPDinf_ME
Lower bound of a 90% HPD interval@footnote{See option @ref{conf_sig}
to change the size of the HPD interval} for observables when taking
measurement error into account (see e.g. @cite{Christoffel et al. (2010), p.17}).
@item HPDsup_ME
Upper bound of a 90% HPD interval for observables when taking
measurement error into account
@item Mean
Mean of the posterior distribution
@ -6641,10 +6650,10 @@ where @var{FORECAST_OBJECT} is one of the following@footnote{See @ref{forecast}
Mean of the posterior forecast distribution
@item HPDinf/HPDsup
Upper/lower bound of the 90% HPD interval taking into account only parameter uncertainty
Upper/lower bound of the 90% HPD interval taking into account only parameter uncertainty (corresponding to @ref{oo_.MeanForecast})
@item HPDTotalinf/HPDTotalsup
Upper/lower bound of the 90% HPD interval taking into account both parameter and future shock uncertainty
Upper/lower bound of the 90% HPD interval taking into account both parameter and future shock uncertainty (corresponding to @ref{oo_.PointForecast})
@end table
@ -7044,18 +7053,22 @@ where @var{FORECAST_MOMENT} is one of the following:
@item HPDinf
Lower bound of a 90% HPD interval@footnote{See option @ref{conf_sig}
to change the size of the HPD interval} of forecast due to parameter
uncertainty
uncertainty, but ignoring the effect of measurement error on
observed variables
@item HPDsup
Lower bound of a 90% HPD interval due to parameter uncertainty
Lower bound of a 90% HPD interval due to parameter uncertainty, but
ignoring the effect of measurement error on
observed variables
@item HPDTotalinf
Lower bound of a 90% HPD interval of forecast due to parameter
uncertainty and future shocks (only with the @code{estimation} command)
@item HPDinf_ME
Lower bound of a 90% HPD interval@footnote{See option @ref{conf_sig}
to change the size of the HPD interval} of forecast for observed variables
due to parameter uncertainty and measurement error
@item HPDTotalsup
Lower bound of a 90% HPD interval due to parameter uncertainty and
future shocks (only with the @code{estimation} command)
@item HPDsup_ME
Lower bound of a 90% HPD interval of forecast for observed variables
due to parameter uncertainty and measurement error
@item Mean
Mean of the posterior distribution of forecasts
@ -7071,6 +7084,7 @@ Standard deviation of the posterior distribution of forecasts
@defvr {MATLAB/Octave variable} oo_.PointForecast
@anchor{oo_.PointForecast}
Set by the @code{estimation} command, if it is used with the
@code{forecast} option and if either @code{mh_replic > 0} or
@code{load_mh_file} option is used.
@ -7085,6 +7099,7 @@ Fields are of the form:
@end defvr
@defvr {MATLAB/Octave variable} oo_.MeanForecast
@anchor{oo_.MeanForecast}
Set by the @code{estimation} command, if it is used with the
@code{forecast} option and if either @code{mh_replic > 0} or
@code{load_mh_file} option is used.
@ -13873,6 +13888,10 @@ Christiano, Lawrence J., Mathias Trabandt and Karl Walentin (2011):
economy model,'' @i{Journal of Economic Dynamics and Control}, 35(12),
1999--2041
@item
Christoffel, Kai, G@"unter Coenen and Anders Warne (2010):
``Forecasting with DSGE models,'' @i{ECB Working Paper Series}, 1185
@item
Collard, Fabrice (2001): ``Stochastic simulations with Dynare: A practical guide''