Covariance matrix of filtered states

Dynare help (legacy posts)
1

Hi everyone.

I’ve looked through the options and oo_. fields of the estimation command, but I haven’t found a way to get the full covariance matrix of the filtered states. Any way you can do this in dynare?

Thanks in advance,

Daniel

2

Looks like what you want is not directly available.

You’ll have to hack Dynare code a little bit (in dynare_estimation_1.m or evaluate_smoother.m).