Request for help on Simult_

Dear Dr. Pfeifer,

I haven’t found the solution to my problem in the previous post (Choosing initial values for simult_) yet. Here, I am using the mod file from Iacoviello and Neri (2010) as an example. The only change I made is that I got rid of the linear trends in the model and cleaned the data using HP filter before estimation. The series in oo_.SmoothedVariables match the data very well, however I couldn’t back out the data from the estimated oo_.SmoothedShocks using the command simult_().

Your help is highly appreciated. Thank you so much.

US_data_65Q106Q4HP.m (17.5 KB)
jules1_steadystate.m (4.92 KB)
jules1.mod (17.4 KB)
rideaej1.m (2.88 KB)

I will look at it, but it will take some time

Thank you, Dr. Pfeifer. I appreciate your help. – Aaron

The answer is at [Choosing initial values for simult_)