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Discussions under Kalman Filtering

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Estimating DSGE Models with Forward Guidance

first post: ikarib wrote: I am replicating FRBNY model in IRIS and, in order to implement zer...

latest post: ikarib wrote: I found how to solve this problem by setting standard deviation to ...

answered by: ikarib wrote: I found how to solve this problem by setting standard deviation to ...

robust Bayesian estimation

first post: Mane_Mane wrote: Dear all, I am new in Iris and have some problem in Bayesian est...

Range frequency and input frequency

first post: zizou21 wrote: Dear all, I have a rather basic question I hope you can help me w...

latest post: zizou21 wrote: Thanks a lot!

answered by: ikarib wrote: You can also specify the date format (without changing the csv file...

deterministic trends

first post: ikarib wrote: How do I add deterministic trend to measurement variable in a stati...

latest post: jaromirbenes wrote: Hi Iskander The syntax ``` y += 1 ``` means that a constant of ...

answered by: michaeljohnston wrote: The `dtrends` block affects the measurement block, not the state bl...

Nonlinear Kalman Filter: Theoretical Background

first post: AndreyO wrote: Greetings! I was wondering what algorithm lies behind the exact n...

latest post: AndreyO wrote: Thank you, Jaromir!

answered by: jaromirbenes wrote: Hi Andrey It is computed using the equation-selective nonlinear al...

Question about function "filter()"

first post: nathanyi wrote: In the IRIS toolbox mannual, on page 91, "filter()" calculate "kalm...

latest post: jaromirbenes wrote: Yes, IRIS runs all three steps. You can use the option ```'output='...

answered by: jaromirbenes wrote: Yes, IRIS runs all three steps. You can use the option ```'output='...

imposing constant ratio between standard errors of shocks

first post: CristianB wrote: Hello everyone, I would like to know if it is possible to impose ...

System Matrices - Forecast of backward-looking variables

first post: hherrada wrote: Hello, folks. I have a DSGE model with 'nb' number of backward-look...

latest post: hherrada wrote: Thank you!

answered by: jaromirbenes wrote: Hi You're absolutely correct. You can decouple the dynamics of bkw...

Measurement equations notation and deterministic trends

first post: gabrielbruneau wrote: Hello, I am little bit confused about the notation of measurement...

Analytical gradient

first post: gabrielbruneau wrote: Hello, Is there any (short- or long-term) plan to include the ana...

latest post: gabrielbruneau wrote: Thanks! Probably a lot simpler this way. Happy new year Jaromir, ...

answered by: jaromirbenes wrote: ...a much better strategy is actually to first run estimation based...