Commit 321eecad authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Merge pull request #360 from JohannesPfeifer/master

Clarification of terminology of filtered variables
parents c8a88872 c071df7f
......@@ -4261,7 +4261,7 @@ option @code{moments_varendo} to be specified.
@item filtered_vars
@vindex oo_.FilteredVariables
@anchor{filtered_vars} Triggers the computation of the posterior
distribution of filtered endogenous variables and shocks. Results are
distribution of filtered endogenous variables/one-step ahead forecasts, i.e. @math{E_{t}{y_{t+1}}}. Results are
stored in @code{oo_.FilteredVariables} (see below for a description of
this variable)
......@@ -4271,12 +4271,10 @@ this variable)
@vindex oo_.SmoothedMeasurementErrors
@vindex oo_.UpdatedVariables
@anchor{smoother} Triggers the computation of the posterior distribution
of smoothered endogenous variables and shocks. Results are stored in
of smoothered endogenous variables and shocks, i.e. the expected value of variables and shocks given the information available in all observations up to the @emph{final} date (@math{E_{T}{y_t}}). Results are stored in
@code{oo_.SmoothedVariables}, @code{oo_.SmoothedShocks} and
@code{oo_.SmoothedMeasurementErrors}. Also triggers the computation of
@code{oo_.UpdatedVariables}, which contains the estimation of the
expected value of variables given the information available at the
@emph{current} date. See below for a description of all these
@code{oo_.UpdatedVariables}, which contains the estimation of the expected value of variables given the information available at the @emph{current} date (@math{E_{t}{y_t}}). See below for a description of all these
variables.
@item forecast = @var{INTEGER}
......
......@@ -301,7 +301,7 @@ if options_.filtered_vars
'',varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'UpdatedVariables',DirectoryName, ...
'_update');
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast',...
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast (filtered variables)',...
'',varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'FilteredVariables',DirectoryName,'_filter_step_ahead');
end
......
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