Compute smooth, update and 1-step ahead forecast estimates of the state variables at initial or posterior mode parameter values, or a sample from the prior or the posterior distribution of the parameters. In the event that a sample from the posterior is selected, the number of parameters in the sample is determined by the number of post burn-in posterior draws and the percentage use of posterior draws for impulse responses, variance decompositions and other functions of the parameters. These values are set in the posterior sampling frame on the Options tab. When initial or posterior mode values have been selected for the exercise, YADA can optionally display recursive smooth estimates of the state variables.
For both fixed parameter values and draws from a distribution, the user can optionally compute the distribution of the state variables conditional on all the data instead. This distribution is computed with the so called simulation smoother, whose mean is the smooth estimate; see Durbin and Koopman (2002) for details.
Additional Information
• | A more detailed description about smooth estimation of state variables can also be found in Section 5.5 of the YADA Manual. |
• | 1-step ahead forecast and update estimates are discussed in Section 5.2 and 5.3 of the YADA Manual. |
• | The simulation smoother is discussed in Sections 5.10 and 11.1 of the YADA Manual. |
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