Hi all:

I´m trying to use the Kalman filter that dynare uses. It will be helpful to estimate unobservable variables linked to a DSGE model (such us the natural interest rate). I found some programs that do the smother estimation (DiffuseKalmanSmootherH3.m), however I cannot find the one that does the kalman filter.

Can someone tell me which programme from dynare to use? How would be the easiest way to implement it inside a *.mod file?

Cheers,

Carlos