Calib_smoother

[mautf]

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?

Thanks

[jpfeifer]

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.