Hi, Can anybody please help me with a naive question? I have a DSGE model with five shocks. i use 5 observables with a sample period of 40 and estimate my model with the standard Bayesian routine. I want to recover these five shocks using my estimated model? In fact, when I run such a programme, I get a simulated series of 5 smoothed shocks. I guess that these are the recovered shocks but the period horizon for these smoothed shocks is not the same as the sample period that I have. For example, I have a sample periiod of 40 which means I have 40 observations. However, i get 136 smoothed shocks. Shouldn’t I get also 40 smoothed shock corresponding to my sample period? How does dynare create 136 smoothed shocks? Manual does not sayanything about it.
Thanks in advance foryour help.