In paper reading I’ve realized that many empirical economists, instead of using initial value to start Kalman filter by some guess values, deploy training sample to reach that end. For example, the sample range is from 1960Q1 to 2012Q4; the training sample starts from 1950Q1 to 1959Q4. In most common case, beta and sigma by OLS will be used as initial values for kalman filter and ML estimation.
So I read Dynare manual, and only find presample option. I have no idea whether this option is designed to do the same as training sample. If not, then how am I supposed to do?
Thanks in advance.