From 8b21443284156aeba6d0c47ace5eeee76fa4e3f1 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Sun, 10 Apr 2016 20:07:57 +0200 Subject: [PATCH] Document oo_.Smoother.Variance --- doc/dynare.texi | 16 +++++++++++++++- 1 file changed, 15 insertions(+), 1 deletion(-) diff --git a/doc/dynare.texi b/doc/dynare.texi index 2c2980023..479796498 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -5585,7 +5585,8 @@ recursions as described by @cite{Herbst, 2015}. This setting is only used with @item filter_covariance @anchor{filter_covariance} Saves the series of one step ahead error of -forecast covariance matrices. +forecast covariance matrices in @ref{oo_.Smoother.Variance}. Not available +with Metropolis. @item filter_step_ahead = [@var{INTEGER1}:@var{INTEGER2}] See below. @@ -6057,6 +6058,19 @@ After an estimation with Metropolis, fields are of the form: @end example @end defvr +@defvr {MATLAB/Octave variable} oo_.Smoother.Variance +@anchor{oo_.Smoother.Variance} +Three-dimensional array set by the @code{estimation} command (if used with the +@code{smoother}) without Metropolis, +or by the @code{calib_smoother} command, if the @code{filter_covariance} option +has been requested. +Contains the series of one-step ahead forecast error covariance matrices +from the Kalman smoother. The @code{M_.endo_nbr} times @code{M_.endo_nbr} times +@code{T+1} array contains the variables in declaration order along the first +two dimensions. The third dimension of the array provides the +observation for which the forecast has been made. +@end defvr + @defvr {MATLAB/Octave variable} oo_.PosteriorTheoreticalMoments @anchor{oo_.PosteriorTheoreticalMoments} Variable set by the @code{estimation} command, if it is used with the