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Estimating the state vector of linearized DSGE models without the Kalman filter

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  • Kollmann, Robert

Abstract

This note presents a simple method for estimating the state vector of linearized DSGE models without using the Kalman filter. The conditional covariance matrix of the state vector is also derived. The method can easily cope with filtered data, and with arbitrary patterns of missing observations.

Suggested Citation

  • Kollmann, Robert, 2013. "Estimating the state vector of linearized DSGE models without the Kalman filter," Economics Letters, Elsevier, vol. 120(1), pages 65-66.
    • Handle: RePEc:eee:ecolet:v:120:y:2013:i:1:p:65-66
    DOI: 10.1016/j.econlet.2013.03.041
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    References listed on IDEAS

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    1. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
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    Cited by:

    1. Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, vol. 181(C), pages 22-27.
    2. Sorge, Marco M., 2013. "Generalized adaptive expectations revisited," Economics Letters, Elsevier, vol. 120(2), pages 203-205.
    3. Benmir, Ghassane & Jaccard, Ivan & Vermandel, Gauthier, 2020. "Green asset pricing," Working Paper Series 2477, European Central Bank.

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    More about this item

    Keywords

    DSGE models; Kalman filter; Smoothing;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models

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