document smoother_redux

doc/manual/source/the-model-file.rst

@@ -6235,6 +6235,26 @@ block decomposition of the model (see :opt:`block`).
        (:math:`E_{t}{y_t}`). See below for a description of all these
        variables.
 
+    .. option:: smoother_redux
+
+       Triggers a faster computation of the smoothed endogenousd variables and shocks for large models.
+       It runs smoother only for state variables 
+       (i.e. with the same representation used for likelihood computations)
+       and computes the remaining ones ex-post.
+       Static unobserved (filtered, smoothed, updated, k-step ahead) are recovered, but there are
+       exceptions to a full recovery, depending on how static unobserved variables depend on the restricted state space adopted
+       (for example lagged shocks which are ONLY used to recover NON observed static variables).  
+       For such exceptions, the following output is provided:
+       
+           ``FilteredVariablesKStepAhead``: fully recovered
+
+           ``SmoothedVariables``, ``FilteredVariables``, ``UpdatedVariables``: recovered for all periods beyond period ``d+1``,
+            ``d`` being the number of diffuse steps.
+
+           ``FilteredVariablesKStepAheadVariances``, ``Variance``, ``State_uncertainty`` cannot be recovered, and ZERO is provided as output.
+
+       If you need variances for those variables, either do not set the option, or declare the variable as observed, using NaNs as data points.
+
     .. option:: forecast = INTEGER
 
        Computes the posterior distribution of a forecast on INTEGER