Hello everybody,

I would like to compute the RMSE of out-of-sample forecasts for an estimated model.

My approach: I use the option filter_step_ahead = [1 2 3 4 5 6 7 8], I get forecasts and I subtract the observables data.

My problem is that FilteredVariablesKStepAhead yields forecasts as deviations from the ss (right?).

But to evaluate the RMSE I need the forecasts non-in-deviations from the ss (or the estimated steady state for each Kalman Filter iteration).

Where can I find that / do anybody has an alternative way to compute true RMSE?

Thanks everybody, and have a nice evening !

Best,

Marco