Forecast vs filter_step_ahead

Dear all,

What is the difference between the output produced with the command “forecast” and the command " filter_step_ahead"?
Shouldn’t they be the same thing? I do not understand why they should be different from the manual.

Thank you very much for your help!

The forecast option computes the forecasts at the end of the sample, i.e. E_T(y_{T+h}). In contrast, the filter_step_ahead option generates E_t(y_{t+h}) \: \forall t\in (\texttt{first_obs}:T) . Thus, for t=T at the end of the sample, the two will coincide (though the treatment of the error bands may differ)

If I take oo_.MeanForecast.Mean.‘X’ and oo_.FilteredVariablesKStepAhead(:, strcmp(M_.endo_names, ‘X’), T) they produce different outputs.

Why do they differ?


Without more context, it is impossible to tell. What did you specify in your estimation-command?