Questions about filtered_vars and identification

Dynare help (legacy posts)
3

  1. Identification at the current stage does not support correlations and measurement errors. You would need to circumvent this by using a common shock, see e.g. [Identification command when correlation coef. is estimated)

  2. This is a small bug. When you do not specify the smoother command (as in the Question1.mod), Dynare will produce the Bayesian filtered variables as documented in the manual and “ML” filtered variables based on parameters at the posterior mean. This explains why both are present.