Dear Michel,

I am trying to build a state transition and measurement equation from the decision rules that DYNARE produces. I saw that the transition equation can be build giving the command kalman_transition_matrix(dr_)after stoch_simul. But what about the measurement equation?

Many thanks!

R.

Dear Rossana,

the measurement equation is trivial:

y^*_t = Z*yhat_t + ybar^* + trend + measurement error

y^*t are the observed variables
ybar_t are the difference to the steady state obtained from the transition equation
Z is a selection matrix (which variables are observed)
ybar^* is the steady state for the observed variables

trend is the deterministic trend for the observed variables

Best

Michel