Initial value - Conditional forecasting

Estimation ML/Bayesian estimation
1

Dear Professors,

I would like to perform a conditional forecast but with the last historical value of the data as the initial point of the forecast instead of the steady state value as it does by default. I know that the unconditional forecasting (for example with the estimation function) does it but I am wondering if there is a way to obtain the same initial value for the conditional forecast.

Thanks in advance,
Guillaume

2

If your parameter_set is different from calibration, Dynare should run the Kalman smoother on your data to extract the state values at the end of the sample for forecasting.