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 (https://sites.google.com/site/mandreasendk/home-1/Codes/Dynare44Pruning.zip?attredirects=0&d=1) 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.