Dear all,
I have a calibrated model where I would like to run the smoother (i.e. use the function calib_smoother). However, I would like to do this for a model that is approximated to the second-order. Is this possible at all?
Thanks so much!
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No. At first order, we can use the Kalman smoother. That is what Dynare does. At higher order, you would need e.g. a particle smoother which is not available.
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Dear Professor Pfeifer,
Thank you so much for your answer. That is very unfortunate but I was sort of expecting this answer.
Thx