diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 432db043b1a45bfdf7579d83f6d707f26f71fcde..91ad49231db74e496b3ee1be137dfe786512b43f 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -588,7 +588,7 @@ end
if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.pshape> 0) && options_.load_mh_file)) ...
|| ~options_.smoother ) && ~options_.partial_information % to be fixed
- %% ML estimation, or posterior mode without Metropolis-Hastings or Metropolis without Bayesian smoothes variables
+ %% ML estimation, or posterior mode without Metropolis-Hastings or Metropolis without Bayesian smoothed variables
if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
[~, ~, ~, ~, ~, ~, ~, ~, ~, ~, oo_, atT, innov] = occbin.IVF_posterior(xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_);
updated_variables = atT*nan;
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index cde28a7007723875ddb92cb3b35b22139c596f6b..3b3fba2a24c53b400ed5652f3bf1b0f818cda7fb 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -699,4 +699,19 @@ if options_.occbin.likelihood.status && options_.occbin.likelihood.inversion_fil
error('IVF-filter: an observable is mapped to a zero variance shock.')
end
end
+end
+
+if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
+ if ~isempty(options_.nk)
+ fprintf('dynare_estimation_init: the inversion filter does not support filter_step_ahead. Disabling the option.\n')
+ options_.nk=[];
+ end
+ if options_.filter_covariance
+ fprintf('dynare_estimation_init: the inversion filter does not support filter_covariance. Disabling the option.\n')
+ options_.filter_covariance=false;
+ end
+ if options_.smoothed_state_uncertainty
+ fprintf('dynare_estimation_init: the inversion filter does not support smoothed_state_uncertainty. Disabling the option.\n')
+ options_.smoothed_state_uncertainty=false;
+ end
end
\ No newline at end of file
diff --git a/matlab/missing_DiffuseKalmanSmootherH3_Z.m b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
index 6ba116349471c14480f39fe4375d9a36e07bfd53..8f100f5286e1730b9b3a0674345fd334ea83cccf 100644
--- a/matlab/missing_DiffuseKalmanSmootherH3_Z.m
+++ b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
@@ -341,6 +341,9 @@ while notsteady && t<smpl
varargout{2} = [];
varargout{3} = [];
varargout{4} = [];
+ varargout{5} = [];
+ varargout{6} = [];
+ varargout{7} = [];
return
end
@@ -363,6 +366,7 @@ while notsteady && t<smpl
P(:,:,t) = Px(:,:,1);
P1(:,:,t) = P1x(:,:,2);
P(:,:,t+1) = Px(:,:,2);
+ aK(1,:,t+1) = a1(:,t+1);
for jnk=1:nk
PK(jnk,:,:,t+jnk) = Px(:,:,1+jnk);
aK(jnk,:,t+jnk) = ax(:,1+jnk);
@@ -455,14 +459,16 @@ while notsteady && t<smpl
end
PK(jnk,:,:,t+jnk) = Pf;
end
- if isoccbin && (t>=first_period_occbin_update || isinf(first_period_occbin_update))
- if smoother_redux
- aK(jnk,:,t+jnk) = out.piecewise(jnk,oo_.dr.order_var(oo_.dr.restrict_var_list)) - out.ys(oo_.dr.order_var(oo_.dr.restrict_var_list))';
+ if jnk>1
+ if isoccbin && (t>=first_period_occbin_update || isinf(first_period_occbin_update))
+ if smoother_redux
+ aK(jnk,:,t+jnk) = out.piecewise(jnk,oo_.dr.order_var(oo_.dr.restrict_var_list)) - out.ys(oo_.dr.order_var(oo_.dr.restrict_var_list))';
+ else
+ aK(jnk,oo_.dr.inv_order_var,t+jnk) = out.piecewise(jnk,:) - out.ys';
+ end
else
- aK(jnk,oo_.dr.inv_order_var,t+jnk) = out.piecewise(jnk,:) - out.ys';
+ aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
- elseif jnk>1
- aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
end
end
diff --git a/matlab/store_smoother_results.m b/matlab/store_smoother_results.m
index 850832603c29bad363bdca68a438933569b4100e..534f7ba7288514a6d82c1cc8300fdb7e9fbe8140 100644
--- a/matlab/store_smoother_results.m
+++ b/matlab/store_smoother_results.m
@@ -72,6 +72,18 @@ function [oo_, yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,da
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+if nargin<15
+ PK=[];
+end
+if nargin<16
+ decomp=[];
+end
+gend=dataset_.nobs;
+if nargin<17
+ Trend=zeros(options_.number_of_observed_variables,gend);
+end
+
+
%make sure there are no stale results
field_names={'Smoother','SmoothedVariables','UpdatedVariables','FilteredVariables','FilteredVariablesKStepAhead','FilteredVariablesShockDecomposition','FilteredVariablesKStepAheadVariances','SmoothedShocks','SmoothedMeasurementErrors'};
for field_iter=1:length(field_names)
@@ -86,10 +98,6 @@ else
oo_.Smoother.occbin = false;
end
-gend=dataset_.nobs;
-if nargin<16
- Trend=zeros(options_.number_of_observed_variables,gend);
-end
if options_.loglinear
oo_.Smoother.loglinear = true;
diff --git a/tests/occbin/filter/NKM.mod b/tests/occbin/filter/NKM.mod
index c8b17848ec38170ffc093a0e3d5c21abf1e3e6af..cd871d250a839b3071884e5fd2f4048f2f00ab19 100644
--- a/tests/occbin/filter/NKM.mod
+++ b/tests/occbin/filter/NKM.mod
@@ -317,7 +317,7 @@ varobs yg inom pi;
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother,
- nodisplay,consider_all_endogenous,heteroskedastic_filter);
+ nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
oo0=oo_;
// use inversion filter (note that IF provides smoother together with likelihood)
@@ -327,7 +327,7 @@ varobs yg inom pi;
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother,
- nodisplay, consider_all_endogenous,heteroskedastic_filter);
+ nodisplay, consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// show initial condition effect of IF
figure,