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?
the measurement equation is trivial:
y^_t = Zyhat_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