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Implement new option smoother_redux, to allow fast smoother for very large...

Merged Johannes Pfeifer requested to merge JohannesPfeifer/dynare:smoother_redux into master
  1. May 27, 2021
    • Marco Ratto's avatar
      Implement new option smoother_redux, to allow fast smoother for very large... · 5fa62659
      Marco Ratto authored and Johannes Pfeifer's avatar Johannes Pfeifer committed
      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.)
      5fa62659
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