Hello
Apologies for possible double posting. If I understand correctly, prefilter=1 demeans observable variables. After the model is estimated and used for N step ahead forecasting, is the sample mean added back or not?
Thanks
Hello
Apologies for possible double posting. If I understand correctly, prefilter=1 demeans observable variables. After the model is estimated and used for N step ahead forecasting, is the sample mean added back or not?
Thanks
Yes, the data mean should be added back. If you encounter suspicious behavior, please report back.