Covariance matrix of filtered states

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,


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).