Filtered_var, Kalman filter

Dear Professor Jpfeifer

Recently I am researching how to use DSGE model to calculate natural interest rate. Now I am at the last stage. I need to paint a graph that shows the natural interest rate changing over time. I don’t know what to do. Could you please give me some suggestions?

The key questions of mine are below:

  1. Can dynare help me to paint the graph of interest rate changing over time?
  2. I have seen some articles, which claim that they use Kalman-filter to paint the graph. Can this be realized in dynare?
  3. I have seen the order “filtered_vars”. Will this order report the forecasting values of the variables? I found that the results of “filter_vars” are much different from the real movement of the varialbles, for example output, inflation…


  1. That depends on what you are trying to do. But yes, structural estimates are usually possible.
  2. Yes, Dynare supports both Kalman filtering and smoothing.
  3. Filtering is different from forecasting. Which information set do you have in mind for your results?