Latent variables from Dynare

General DSGE Modeling
1

Hi there,

I was wondering if there is a golden-rule on extracting latent variables’ series from DSGE models. In particular, I successfully replicated some central banks’ models, but would like to have the potential GDP and neutral real interest rate out of the estimation.

Can anyone help me? Thanks in advance!

2

You would have to define these concepts within the model. The Kalman smoother would then return their best estimates.