How to infer missing values with Kalman filter?

Hi Professor,
In case of missing observations of single or some series, is there any command in Dynare that can use the Kalman filter to infer their values?


The smoothed values returned do that by default.

Thank you Professor Jpfeifer!

Where is the inferred missing observations stored? In oo_.UpdatedVariables ?

One more question… We must use the command estimation to trigger the computation of missing observations, right? So… such inference depends on the model as well as on the shock, even on the computation method used in estimation, right?

Thanks so much!

  1. No, it would be oo_.SmoothedVariables.
  2. No, you can run the calib_smoother. You do not need to run estimation. But the results will always depend on the “estimated” shocks computed by the Kalman smoother.

Thank you so much, Professor!