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Commit 5fa62659 authored by Marco Ratto's avatar Marco Ratto Committed by Johannes Pfeifer
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Implement new option smoother_redux, to allow fast smoother for very large...

Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post

Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
parent 3e7cd877
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1 merge request!1859Implement new option smoother_redux, to allow fast smoother for very large...
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