Conditional moments in pruned state-space system

Hello everyone,

I am using the pruned state-space system by Andreasen, Fernandez-Villaverde, and Rubio-Ramirez (2018) for Dynare and I would like to compute one-step ahead conditional variances as part of the simulation output.

How does this work? I am using the pruning package provided on Martin Andreasen’s website ( and I intend to compute the one-step ahead variance of a control variable in the Simulate_Pruning_LinearInov function.

Thanks in advance for the help.