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document behavior of filtered_vars, filter_covariance and filter_step_ahead

time-shift
Marco Ratto 2017-01-19 09:13:16 +01:00 committed by Stéphane Adjemian (Charybdis)
parent 4f93c3df15
commit a9732afaf6
1 changed files with 5 additions and 3 deletions
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doc/dynare.texi
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@ -6047,7 +6047,8 @@ is not yet compatible with @code{analytical_derivation}.
@item filter_covariance
@anchor{filter_covariance} Saves the series of one step ahead error of
forecast covariance matrices. With Metropolis, they are saved in @ref{oo_.FilterCovariance},
otherwise in @ref{oo_.Smoother.Variance}.
otherwise in @ref{oo_.Smoother.Variance}. Saves also k-step ahead error of
forecast covariance matrices if @code{filter_step_ahead} is set.
@item filter_step_ahead = [@var{INTEGER1}:@var{INTEGER2}]
See below.
@ -6055,8 +6056,9 @@ See below.
@item filter_step_ahead = [@var{INTEGER1} @var{INTEGER2} @dots{}]
@anchor{filter_step_ahead}
Triggers the computation k-step ahead filtered values, i.e. @math{E_{t}{y_{t+k}}}. Stores results in
@code{oo_.FilteredVariablesKStepAhead} and
@code{oo_.FilteredVariablesKStepAheadVariances}.
@code{oo_.FilteredVariablesKStepAhead}. Also stores 1-step ahead values in @code{oo_.FilteredVariables}.
@code{oo_.FilteredVariablesKStepAheadVariances} is stored if @code{filter_covariance}.
@item filter_decomposition
@anchor{filter_decomposition} Triggers the computation of the shock