Filter decomposition of k-steps ahead filtered values

Estimation ML/Bayesian estimation
1

Dear all,

I would like to get the historical shock decomposition of the k-steps ahead filtered values. I use this estimation command:

estimation(optim=('MaxIter',200),datafile=DATA_Poland_wgrowth_R3M_I,mode_compute=1,mode_check,mh_replic=1000,mh_nblocks=2,mh_jscale=0.35,nograph,smoother,moments_varendo,filtered_vars,filter_step_ahead=[20],filter_decomposition) Rn K RK QQ rk;

I get the filtered values of the 20-steps ahead forecast. However, no filter decomposition of the forecast is calculated. How can I get the historical shock decomposition for a k-step ahead filtered forecast?

Many thanks in advance!
Best
Martin

2

From what I can see, that is only available for the classical or calibrated smoother, not with an MCMC.