I am working on a calibrated model so I am using the calib_smother command to retrieve the exogenous shocks to replicate some observable data for a given period of time. I would like to have more information on what calib_smoother does. Are the set of smoothed shocks the only solution?


See e.g. Hamilton’s 1994 textbook on the Kalman smoother. In the linear state space system with normally distributed shocks they are the optimal solution.