stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Clarify terminology used for filtered variables 

Closes #317
time-shift
Johannes Pfeifer 2013-04-10 10:44:24 +02:00
parent c8a888729d
commit c071df7f78
2 changed files with 4 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

8
doc/dynare.texi
View File

@ -4261,7 +4261,7 @@ option @code{moments_varendo} to be specified.
@item filtered_vars
@vindex oo_.FilteredVariables
@anchor{filtered_vars} Triggers the computation of the posterior
distribution of filtered endogenous variables and shocks. Results are
distribution of filtered endogenous variables/one-step ahead forecasts, i.e. @math{E_{t}{y_{t+1}}}. Results are
stored in @code{oo_.FilteredVariables} (see below for a description of
this variable)
@ -4271,12 +4271,10 @@ this variable)
@vindex oo_.SmoothedMeasurementErrors
@vindex oo_.UpdatedVariables
@anchor{smoother} Triggers the computation of the posterior distribution
of smoothered endogenous variables and shocks. Results are stored in
of smoothered endogenous variables and shocks, i.e. the expected value of variables and shocks given the information available in all observations up to the @emph{final} date (@math{E_{T}{y_t}}). Results are stored in
@code{oo_.SmoothedVariables}, @code{oo_.SmoothedShocks} and
@code{oo_.SmoothedMeasurementErrors}. Also triggers the computation of
@code{oo_.UpdatedVariables}, which contains the estimation of the
expected value of variables given the information available at the
@emph{current} date. See below for a description of all these
@code{oo_.UpdatedVariables}, which contains the estimation of the expected value of variables given the information available at the @emph{current} date (@math{E_{t}{y_t}}). See below for a description of all these
variables.
@item forecast = @var{INTEGER}

2
matlab/prior_posterior_statistics.m
View File

@ -301,7 +301,7 @@ if options_.filtered_vars
'',varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'UpdatedVariables',DirectoryName, ...
'_update');
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast',...
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast (filtered variables)',...
'',varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'FilteredVariables',DirectoryName,'_filter_step_ahead');
end