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Constrained Filters

 

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Compute constrained update and smooth estimates of the state variables, state shocks or measurement errors at initial or posterior mode parameter values, or a sample from the prior or the posterior distribution of the parameters. In the event that a sample from the posterior is selected, the number of parameters in the sample is determined by the number of post burn-in posterior draws and the percentage use of posterior draws for impulse responses, variance decompositions and other functions of the parameters. These values are set in the posterior sampling frame on the Options tab.

The constraints are imposed on the state variables using the information from the selected state variable constraints.

 

Additional Information

A more detailed description about constrained estimation of state variables, state shocks and measurement errors can also be found in Section 11.12 of the YADA Manual.

NOTE: Constrained filters are only available in the version of YADA that is exclusive to the NAWM team within the Directorate General Research of the European Central Bank and the Modelling Unit of the Monetary Policy Department of Sveriges Riksbank. The publicly available version of YADA does not include the code for this tool.

 

 


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