Fan Chart (Predictive Density) - Forecast from a State-Space

Estimation ML/Bayesian estimation
2
  1. Isn’t the forecast option of the estimation command already what you are looking for?
  2. For building the transition matrix, you are on the right track. See [How to build transition and measurement equations)
  3. For retrieving the smoothed states: they are stored in oo_.SmoothedVariables. Alternatively, you may be able to use smoother2histval (see the manual).