Hello.
I like to know the difference between oo_.smoothedvariables and oo_.updatedvariables.
It’s difficult to know the exact difference through manual.
Specifically, which value should I use for estimation of endogenous variables (for example, output gap) ?
Thank you for your help in advance!
What do you not understand? As the manual says, smoothed objects are the
[quote]expected value of variables and shocks given
the information available in all observations up to the final date (E_T (y_t)).[/quote]
They use the full sample information for inference.
In contrast, the updated variables
[quote]contains the estimation of the expected value of
variables given the information available at the current date (E_t (y_t)).[/quote]
They are basically real-time estimates as they only use information up to the current date t.
Most of the time, people are interested in smoothed values. You want to know the output gap in the past, using all available information to estimate it.
Dear Jpfeifer
Thank you so much!
Best
Seungcheol