# Any papers or sources to learn the methods to compute the smoothed shocks?

**URL:** <https://forum.dynare.org/t/any-papers-or-sources-to-learn-the-methods-to-compute-the-smoothed-shocks/17868>\
**Category:** ML/Bayesian estimation\
**Created:** [12 April 2021 16:46 UTC](https://forum.dynare.org/t/any-papers-or-sources-to-learn-the-methods-to-compute-the-smoothed-shocks/17868 "2021-04-12T16:46:18Z")\
**Posts on this page:** 1\
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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [13 April 2021 15:38 UTC](https://forum.dynare.org/t/any-papers-or-sources-to-learn-the-methods-to-compute-the-smoothed-shocks/17868/4 "2021-04-13T15:38:16Z")

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See

> [@Variance Decomposition](https://forum.dynare.org/t/variance-decomposition/4659/2):
>
> Dynare uses standard time series techniques for linear state space models. For forecast error variance decompositions, see Lütkepohl (2005): New Introduction to Multiple Time Series Analysis, Chapter 2.3.3. For the shock decomposition, A Kalman Filter/Smoother Approach is used. See Durbin/Koopman (2012): Time Series Analysis by State Space Methods or Hamilton (1994)

But that will not work for nonlinear models. The starting point in this case may be [https://www.stats.ox.ac.uk/~doucet/doucet\_johansen\_tutorialPF2011.pdf](https://www.stats.ox.ac.uk/~doucet/doucet_johansen_tutorialPF2011.pdf)

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