i want to estimate a model for time t = 1 to t = T. Suppose one of the observables (lets call it x) that i want to use has data starting at t = 5. My question is can i still use x as an observable in bayesian estimation? can i do this in dynare? if yes, then how should i feed the data in dynare to tell it that this particular time series starts at a later date?

thanks

Dynare will use the Kalman filter to infer the value of the missing variables. See the description in the manual and the references therein. You donâ€™t have to specify anything, you just have to enter the dataset with the missing observations left empty (in Excel) or with NaN (in Matlab).