Advanced Search
MyIDEAS: Login

Odhad parametrù modelù ve stavovém tvaru

Contents:

Author Info

  • Jan Vlèek

Abstract

Èlánek struènì shrnuje dosavadní pøístupy k odhadu parametrù a poèáteèních podmínek pro modely ve stavovém tvaru. Ukazuje možnosti využití jednotlivých metod, stejnì jako jejich výhody a nevýhody. Podrobnìji je zde zmiòována metoda maximální vìrohodnosti pro modely ve stavovém tvaru, která k výpoètu vìrohodnostní funkce využívá výstupy Kalmanova filtru. Výhodou této metody je její relativní jednoduchost, a zejména možnost použití pro odhad parametrù a poèáteèních podmínek pro modely ve stavovém tvaru. V druhé èásti èlánku je metoda využita pro odhad parametrù malého monetárního modelu otevøené ekonomiky. Model je odvozen na mikroekonomických základech a odhadnut prezentovanou metodou na èeských datech.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journal.fsv.cuni.cz/storage/356_275_286.pdf
Download Restriction: no

Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 52 (2002)
Issue (Month): 5 (May)
Pages: 275-286

as in new window
Handle: RePEc:fau:fauart:v:52:y:2002:i:5:p:275-286

Contact details of provider:
Postal: Opletalova 26, CZ-110 00 Prague
Phone: +420 2 222112330
Fax: +420 2 22112304
Email:
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC

Related research

Keywords: stavový popis; maximální vìrohodnost; Kalmanùv filtr;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:52:y:2002:i:5:p:275-286. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.